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Hi,
I have successfully implemented CustomDataNIFTYAlgorithm exemple. No problem with that.
But I am bit lost on how to work with data at portfolio level (temporal sync - day or month sync).
For example, after creating my 'portfolio'
public override void Initialize(){
xxxxx
AddData<Stock1>("Stock1");
AddData<Stock2>("Stock2");
etc...
}
I would like to implement this pseudo code on scheduled base (day or month sync)
public override void OnEndOfDay()
{
bars_stock1= RetrieveHistory("Stock1", xdays);
bars_stock2= RetrieveHistory("Stock1", xdays);
score1=calculte_MetricXX(bars_stock1); // Custom score , what you want (ROC, quantiles...)
score2=calculte_MetricYY(bars_stock1); // Custom score , what you want
CompareScoreAndSelectXBestScore();
BuyXBetterScore();
}
I don't know how to RetrieveHistory (and correctly synchronized). I am just interessed in close price (or adjusted close).
In advance thank's for your help.
Alexandre Catarino
Please checkout the docs, under the Historical Data section:
IEnumerable<TradeBar> bars = History("SPY", 14);In the Custom Data case, specifically the NIFTY case, you will use:
IEnumerable<Nifty> niftyHistory = History<Nifty>("NIFTY", 10);The results from both historical data requests can be out of sync, since, by default, AddData does not asks for fill data forward. You can check for match of Time values:
var niftyTime = niftyHistory.Select(x => x.Time);Chris Alteras
thanks. I am doing wrong since it is not working.
I put 2 breakpoints:
First hit OnData: looks OK
2nd hit: OnEndofDay: bars contains no data (_Count=0)
( I have hit more than 10 times OnEndofDay to be sure )
Final Equity graph looks Ok ( VTI buy&Hold)
Chris Alteras
I have also tried to request without success in OnData method
I can only retrieve one bar (the current bar , ie local data variable)
Chris Alteras
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