Symbol open and close values by Dee Menzies

Dee Menzies

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Hello,
I am searching for a code which can give me the previous two day's OHLC values. Also i want the opening price for today market.
e.g. Today it is 23-10-2017. so i will need OHLC value for 20-10-2017 and 19-10-2017. Also i will require to get the opening price for particular symbol when market open on 23-10-2017.

Thanks,

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Dee Menzies

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JayJayD

Pro ,

The tool you need for storing past values is the RollingWindow, another alternative is using History

To get today’s open you can use a Schelude the first minute before the market opens and store in a field.

Here is an example:

public class BasicTemplateDailyAlgorithm : QCAlgorithm { private RollingWindow<TradeBar> _dailyBars = new RollingWindow<TradeBar>(3); private TradeBar _todayFirstMinuteBar; public override void Initialize() { SetStartDate(2013, 10, 07); //Set Start Date SetEndDate(2013, 10, 18); //Set End Date SetCash(100000); //Set Strategy Cash AddEquity("SPY", Resolution.Daily); Schedule.On(DateRules.EveryDay(), TimeRules.AfterMarketOpen("SPY", 1), () => { _todayFirstMinuteBar = History<TradeBar>("SPY", TimeSpan.FromMinutes(5), Resolution.Minute).Last(); }); } public override void OnData(Slice slice) { _dailyBars.Add(slice.Bars["SPY"]); if (_dailyBars.IsReady) { var todaysOpen = _todayFirstMinuteBar.Open; // Implement your logic here. } } }

Dee Menzies

29 Pro ,

Thanks JayJayD,

I have used the code you provided, but it gives data till previous date only. I will set the start date to "2017-10-23" and end date to "2017-10-26". The code should provide minute data starting from 2017-10-23 09:30:00 to 2017-10-26 03:23:00, if the datetime.now is 2017-10-26 03:24:00.

Alexandre Catarino

Pro ,

For minute-data of the past 2 days, please use:

var lastTwoDayData = History("SPY", TimeSpan.FromDays(2), Resolution.Minute);

Please note that it fetches the last two days, not the last two trading days, so you need to addapt the code to handle Mondays, Tuesdays and days after holidays.

Dee Menzies

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