Hello everyone,

thanks to all of your help I got my first simple algorithm working. Now I'm thinking of modifying it, so I can trade more than one stock. But I don't know how to create rolling windows for multiple stocks. I thought I'd use a list and iterate through it, but then I think I'd overwrite the same rolling window again and again. So how is this correctly done? This is the part of my code I'm unsure about:

self.AddEquity("SPY", Resolution.Second) consolidator_daily = TradeBarConsolidator(timedelta(1)) consolidator_daily.DataConsolidated += self.OnDailyData self.SubscriptionManager.AddConsolidator("SPY", consolidator_daily) consolidator_minute = TradeBarConsolidator(60) consolidator_minute.DataConsolidated += self.OnMinuteData self.SubscriptionManager.AddConsolidator("SPY", consolidator_minute) self.daily_rw = RollingWindow[TradeBar](2) self.minute_rw = RollingWindow[TradeBar](2) self.window = RollingWindow[TradeBar](2) self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 1), Action(self.one_minute_after_open_market)) self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose('SPY', 1), Action(self.before_close_market)) # Add daily bar to daily rolling window def OnDailyData(self, sender, bar): self.daily_rw.Add(bar) def OnMinuteData(self, sender, bar): self.minute_rw.Add(bar)

Thank you very much for your help.

Kind regards,

Christian Lauer

Author