First Algo, Help Appreciated. by Ravi Bodepudi

Ravi Bodepudi INVESTOR

| Reward Discussion

Hey guys first post here. Really like the platform and hope to be contributing member of the community.

I have zero experience coding but was able to make some minor adjustments to some sample algorithims and arrived at this.

So I had a few questions on how to implement certain improvements.

1) Why is not always trading the front contract? If you look at the trades the algo makes it skips trading for a month everytime the contract it is trading expires. I feel like I am missing something here.

2) I tried to come up with a line to close all current positions if you are x days within expiry of the current contract but could not get the syntax correct, any suggestions?

3) How do I track the future itself for the SMA as opposed to an equity equivalent? I tried changing

equity = self.AddEquity("USO", Resolution.Minute) to equity = self.AddFuture("CL", Resolution.Minute)

but it ended up not trading at all. I am assuming there has to be some specfication of the contract but I am unsure how to implement.

Any and all feedback is appreciated.

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Ravi Bodepudi

Accepted Answer

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Jared Broad

Pro ,

Thomas Chang -- the "SMA" method is a helper which create a SimpleMovingAverage indicator and registers it to get data. You should only do the "SMA" method once then save the object. If you call SMA in the OnData/more than once - it'll re-register it n-times slowing down your algorithm.

Thomas Chang

1.5k Pro ,

Hi Jared,

This is a very important point. It seems it is somewhat different than that by QuantOpian. By QuantOpian I put the calculation of SMA in before_trading_start(), not in the initialize(). Do you mean I should use the SMA in initialize() and get its value in OnData() as Ravi did above, or in the scheduler_functions?

Ravi Bodepudi

350 Pro ,

Jared, I'm not sure I follow, what would the adjustment look like?

Jared Broad

Pro ,

Ravi Bodepudi - Your code is perfect; no adjustment needed. I was replying to Thomas' comment,

Thomas Chang - Correct; define the object once, then use it anywhere you like.

Ravi Bodepudi INVESTOR

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