Getting previous day close when I'm subscribed to higher resolution data by Herman Ho

Herman Ho

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hi guys,

I am looking at a way to get prev day's close for stocks when I am subscribed to tick/second/min data?

I searched and only saw suggestions with rollingwindow which isn't exactly something like Security.PrevClose and not programmatically clean.

Rolling window ones I found:

https://www.quantconnect.com/forum/discussion/669/how-to-look-back-at-previous-bars

https://www.quantconnect.com/forum/discussion/1332/get-previous-close-price

with the second above requiring to count number of minuites back if I want to check previous close at any time during the trading day.

Is there a good way to get prev close?

Thanks in advance, Herman

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5 Comments

Herman Ho

, ,

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Alexandre Catarino

We can accomplish that in two lines!
Use the Identity indicator helper to get the previous day information automatically:

// Define the field:

private Identity _prevClose;



// In Initialize:

_prevClose = Identity("SPY", Resolution.Daily, Field.Close);

Jared Broad

Just a note; "Identity" provides the current value. Assuming you have lower resolution (say minute) data flowing through the algorithm the code above will work as the daily close is only passed in at the end of the day. If your algorithm has only daily data this won't work as all the daily bars will be synchronized and arrive at midnight.

There currently isn't an explicit "yesterday's close" property but its easy to get by a simple variable. If there's enough demand we can add a helper to achieve this.

Herman Ho

948 ,

Cool, so to clarify:

Identity("SPY", Resolution.Daily, Field.Close);

but SPY would be subscribed at the minute resolution, that would indeed return previous close price?

Alexandre Catarino

Yes. As long as the resolution of the data we subscribed is lower than the Identity indicator resolution, this approach works.

Here is yet another approach:

// Define the field:

private decimal _prevClose;



// Sets up the field when the day ends

public override void OnEndOfDay()

{

    _prevClose = Securities["SPY"].Close;

}

Herman Ho

948 ,

I see, thanks! In live, to get the prev close I assume need to run it with some warm up then?

Herman Ho

, , edit

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