Best practice to get the historical prices in OnData()

To get the historical prices and volumes in the OnData() function, you can use the History() method. This method returns a pandas DataFrame if you request more than one bar of data. The DataFrame has a multi-index with the first level being the symbol and the second level being the time.

Here is an example of how you can use the History() method to get the data you need:

def OnData(self, data):
    # Get the current price and volume of SPY
    current_price = data["SPY"].Close
    current_volume = data["SPY"].Volume

    # Get the historical data for the past 2 days
    history = self.History(["SPY"], 2, Resolution.Daily)

    # Get the high and low prices of SPY 1 day ago
    one_day_ago_high = history.loc["SPY"].iloc[-2].high
    one_day_ago_low = history.loc["SPY"].iloc[-2].low

    # Get the high and low prices of SPY 2 days ago
    two_days_ago_high = history.loc["SPY"].iloc[-1].high
    two_days_ago_low = history.loc["SPY"].iloc[-1].low

    # Get the volume of SPY 1 day ago
    one_day_ago_volume = history.loc["SPY"].iloc[-2].volume

    self.Debug(f"Current price: {current_price}, Current volume: {current_volume}")
    self.Debug(f"1 day ago high: {one_day_ago_high}, 1 day ago low: {one_day_ago_low}")
    self.Debug(f"2 days ago high: {two_days_ago_high}, 2 days ago low: {two_days_ago_low}")
    self.Debug(f"1 day ago volume: {one_day_ago_volume}")

Please note that the History() method returns the historical data in reverse chronological order, so iloc[-1] gives the data for 1 day ago and iloc[-2] gives the data for 2 days ago.

For more information about the History() method, you can refer to the QuantConnect documentation.

Thank you so much for the quick answer, Mia! I'll try that. 

You're welcome, Norris! If you have any more questions or run into any issues, don't hesitate to ask. Happy coding!