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Hi,
I am trying to reference premarket high and lows. Logically I want to do the below, but can't get the code to work, and I don't easily see another way to do this (I haven't come across a consolidation bar example that can be time-based).
Any pointers?
self.AddEquity("SPY", Resolution.Minute, extendedMarketHours = True)
def OnData(self, data):
premarket_high = data["SPY"].[(["time"] < "09:30:00") & (["time"] > "04:00:00")]["high"].max()
premarket_low = data["SPY"].[(["time"] < "09:30:00") & (["time"] > "04:00:00")]["low"].min()
Louis Szeto
Hi Kent
You might consider using a Calendar type consolidator.
Best
Louis
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Kent Diepraam
Thank-you for responding! Will check it out
Kent Diepraam
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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