E-mini S&P 500 futures contract based on signals derived from the VIX index: Error

Hi Elliot,

The error message 'NoneType' object has no attribute 'Close' typically occurs when you're trying to access the Close attribute of a None object. This can happen if the data for a particular symbol at a specific time slice is not available, and you're trying to access the Close attribute of this non-existent data.

In your case, it's likely that you're trying to access the Close price of the E-mini S&P 500 futures contract or the VIX index at a time when the data isn't available.

To fix this issue, you should check if the data for the symbol exists in the current time slice before trying to access its Close attribute. You can do this by using the ContainsKey method of the Slice object. Here's an example:

if self.CurrentSlice.ContainsKey(symbol):  
    if self.CurrentSlice[symbol].Close is not None:  
        last_price = self.CurrentSlice[symbol].Close

In this code, symbol is the symbol of the asset you're interested in (in your case, the E-mini S&P 500 futures contract or the VIX index). The ContainsKey method checks if the data for this symbol exists in the current time slice. If it does, the code then checks if the Close attribute of this data is not None before trying to access it.

If you're dealing with TradeBars (which is likely the case if you're working with futures), you might need to use self.CurrentSlice.Bars.ContainsKey(symbol) instead of self.CurrentSlice.ContainsKey(symbol).

Please refer to the QuantConnect forum discussion for more details on this issue.

I hope this helps! Let me know if you have any other questions.

from AlgorithmImports import *


class SPMiniAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2022, 1, 1)
        self.SetEndDate(2023, 1, 1)
        self.SetCash(100000)

        # Define symbols
        self.vix = self.AddEquity("VIX", Resolution.Daily).Symbol
        self.e_mini_sp500 = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute).Symbol

        # Initialize rolling windows and indicators
        self.lookback_days = 2
        self.vix_window = RollingWindow[float](self.lookback_days)
        self.e_mini_sp500_window = RollingWindow[float](self.lookback_days)

        # Create indicators
        self.sma = self.SMA(self.e_mini_sp500, 20, Resolution.Minute)

        # Set up consolidator for 5-minute bars
        self.consolidator = TradeBarConsolidator(timedelta(minutes=5))
        self.consolidator.DataConsolidated += self.ConsolidatorHandler
        self.SubscriptionManager.AddConsolidator(self.e_mini_sp500, self.consolidator)

        # To track the previous bar data
        self.previous_volume = None
        self.previous_close = None

        # For take profit and stop loss
        self.take_profit = None
        self.stop_loss = None

        # Daily close price for VIX and E-Mini S&P 500
        self.vix_previous_day_close = None
        self.e_mini_sp500_previous_day_close = None

    def OnData(self, data):
        if self.vix in data:
            vix_price = data[self.vix].Close
            self.vix_window.Add(vix_price)

        if self.e_mini_sp500 in data:
            # Ensure the Close price is available
            e_mini_sp500_price = data[self.e_mini_sp500].Close
            if e_mini_sp500_price is not None:
                self.e_mini_sp500_window.Add(e_mini_sp500_price)
            else:
                self.Debug("E-Mini S&P 500 data not available.")
                return

        if not self.e_mini_sp500_window.IsReady or not self.sma.IsReady:
            return

        # Check for take profit or stop loss
        if self.Portfolio.Invested:
            if self.Portfolio[self.e_mini_sp500].Invested:
                if self.Portfolio[self.e_mini_sp500].Quantity > 0:  # Long position
                    if e_mini_sp500_price >= self.take_profit or e_mini_sp500_price <= self.stop_loss:
                        self.Liquidate(self.e_mini_sp500)
                elif self.Portfolio[self.e_mini_sp500].Quantity < 0:  # Short position
                    if e_mini_sp500_price <= self.take_profit or e_mini_sp500_price >= self.stop_loss:
                        self.Liquidate(self.e_mini_sp500)

    def OnEndOfDay(self, slice):
        # Store the previous day's close price and VIX rate
        if self.e_mini_sp500 in slice and slice[self.e_mini_sp500].Close is not None:
            self.e_mini_sp500_previous_day_close = slice[self.e_mini_sp500].Close
        if self.vix in slice and slice[self.vix].Close is not None:
            self.vix_previous_day_close = slice[self.vix].Close

    def ConsolidatorHandler(self, sender, consolidated):
        if consolidated.Symbol == self.e_mini_sp500:
            self.e_mini_sp500_window.Add(consolidated.Close)
            self.previous_volume = consolidated.Volume
            self.previous_close = consolidated.Close

        if not self.e_mini_sp500_window.IsReady or not self.sma.IsReady:
            return

        # Calculate upper and lower bands based on the previous day's close and VIX
        if self.e_mini_sp500_previous_day_close and self.vix_previous_day_close:
            vix_deannualized = self.vix_previous_day_close / (252 ** 0.5) / 100
            upper_band = self.e_mini_sp500_previous_day_close * (1 + vix_deannualized) 
            lower_band = self.e_mini_sp500_previous_day_close * (1 - vix_deannualized) 

            # Generate buy/sell signals based on the strategy
            if consolidated.Close > self.sma.Current.Value and consolidated.Close < upper_band:
                # Short if price crosses below the 20-period SMA in the upper band
                if self.previous_close and self.previous_close >= self.sma.Current.Value and consolidated.Close < self.sma.Current.Value:
                    self.SetHoldings(self.e_mini_sp500, -1)
                    self.take_profit = consolidated.Close - 10
                    self.stop_loss = consolidated.Close + 10

            elif consolidated.Close < self.sma.Current.Value and consolidated.Close > lower_band:
                # Long if price crosses above the 20-period SMA in the lower band
                if self.previous_close and self.previous_close <= self.sma.Current.Value and consolidated.Close > self.sma.Current.Value:
                    self.SetHoldings(self.e_mini_sp500, 1)
                    self.take_profit = consolidated.Close + 10
                    self.stop_loss = consolidated.Close - 10

        self.previous_volume = consolidated.Volume
        self.previous_close = consolidated.Close