NYSE ADvance decline and NewHighNewLow indicators

Here's how to help Dharmesh:

Is it correct to use:

ad_nyse_symbol = Symbol.create("$ADD.ny", SecurityType.INDEX, Market.USA)
nyse_history = self.algorithm.history(ad_nyse_symbol, 1, Resolution.DAILY)

ad_nasdaq_symbol = Symbol.create("$ADD.nq", SecurityType.INDEX, Market.USA)
nq_history = self.algorithm.history(ad_nasdaq_symbol, 1, Resolution.DAILY)

nhnl_symbol = Symbol.create("$NHNL", SecurityType.INDEX, Market.USA)
nhnl_history = self.algorithm.history(nhnl_symbol, 1, Resolution.DAILY)

Direct Answer

No, this is not the correct way on QuantConnect.

• $ADD.NY, $ADD.NQ, and $NHNL are NOT official index tickers in QuantConnect's data sets as of now.
• QuantConnect's "Index" data covers indices like SPX, NDX, RUT, VIX, etc., but not these NYSE/Nasdaq advance-decline or new highs/lows breath indicators as native symbols.

What Does Work?

For Advance-Decline:

• You must use QuantConnect's adr() (Advance/Decline Ratio) method, which is designed for this purpose.
  You provide a list of actual equity symbols (for example, the full NYSE or Nasdaq universe or a sample of them), not a single index symbol.

Example:

nyse_symbols = [self.add_equity(ticker, Resolution.DAILY).symbol for ticker in nyse_tickers_list]  # list of tickers
self.nyse_adr = self.adr(nyse_symbols, Resolution.DAILY)

You'd have to create a nyse_tickers_list (possibly ~3000 tickers for full breadth; often a subset is used for speed). For Nasdaq: repeat for that universe.

For New Highs/New Lows:

• There is currently no native indicator or index symbol like $NHNL.
• You'd need to compute it yourself by iterating through your universe and checking which made a new high or low on each day.

Summary

• You cannot use Symbol.Create + History for NYSE/Nasdaq ADD/NHNL—these symbols are not supported.
• Use built-in methods like adr() with a list of tickers for advance/decline.
• Program your own logic for new highs/new lows.

If Dharmesh needs code to show how to do this using QuantConnect’s actual features (not unsupported index symbols), just ask!

Sources: US Equities - QuantConnect.com, Index - QuantConnect.com, Cash Indices - QuantConnect.com, Custom Data Universe Algorithm, US Equity - QuantConnect.com