How to update an indicator on a timer? by Drew Baker

Drew Baker INVESTOR

| Reward Discussion

Hello!
I'm trying to build a timer to update the settings on an indicator. I've read various forums posts that talk about a Update() function but I haven't been able to figure it out. Here is some simple sample code of what I'm trying to build. Any help?

Thanks!

class MyAlgorithm(QCAlgorithm):



    def Initialize(self):



        resolutionSetting = Resolution.Minute

        macdFast = 5

        macdSlow = 15

        macdPeriod = 5



        self.__macd = self.MACD('SPY', macdFast, macdSlow, macdPeriod, MovingAverageType.Exponential, resolutionSetting)



        # Set a timer for every 10 mins

        self.Schedule.On(self.DateRules.EveryDay(), \ 

                 self.TimeRules.Every(timedelta(minutes=10)), \

                 Action(self.UpdateIndicators))



    def UpdateIndicators(self):



        # Update the MACD fast, slow, period settings here somehow?

        # self.__macd.Update(NewMacdFast, NewMacdSlow, NewMacdPeriod) maybe?

Update Backtest

Drew Baker

Accepted Answer

Update Backtest

Notebook

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.

Quant Trader

3k ,

Not sure if I help you by providing some C# code, but you need to take into account what the base class of the indicator is and then bring in new tradebars or indicator data, you cannot directly influence the values as the class does not expose them to you as the maker of the indicator has protected the code so you cannot.

//warm up https://www.quantconnect.com/forum/discussion/2557/dealing-with-futures-and-technical-indicators/p1

                        var history = History(contract.Symbol, (Math.Max(_annualizedExponentialSlope[contract.Symbol].Period, _movingAverageWindowSlow) + 2), Resolution.Daily);

                        foreach (var bar in history)

                        {

                            //if (bar.EndTime < Time) //avoid looking forward bias

                            //{                                

                                _annualizedExponentialSlope[contract.Symbol].Update(new IndicatorDataPoint(contract.Symbol, bar.EndTime, bar.Close));

                                _movingAverageSlow[contract.Symbol].Update(new IndicatorDataPoint(contract.Symbol, bar.EndTime, bar.Close));

                                _movingAverageFast[contract.Symbol].Update(new IndicatorDataPoint(contract.Symbol, bar.EndTime, bar.Close));

                                _averageTrueRange[contract.Symbol].Update(new TradeBar(bar.EndTime, contract.Symbol, bar.Open, bar.High, bar.Low, bar.Close, bar.Volume));

                            //}

                        }

Drew Baker

219 ,

Thanks @Quant_trader.

I'm not very good at C#, so if anyone can help translate this to something a little easier to understand that would be great,

Drew Baker

219 ,

If anyone is curious, here is what I ended up doing. It's not really updating the MACD, it's just replacing it with a new one on a timer.

It seems to work. If anyone spots anything wrong, please let me know as I'm new to this.

class myAlgorithm(QCAlgorithm):



    def Initialize(self):



        # Define our MACD Signal

        resolutionSetting = Resolution.Minute

        macdFast = 5

        macdSlow = 15

        macdPeriod = 5

        self.__macd = self.MACD('BTCUSD', macdFast, macdSlow, macdPeriod, MovingAverageType.Exponential, resolutionSetting)



        # Setup charts

        self.SetupCharts()



        # Set a timer for every 10 mins

        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Every(timedelta(minutes=10)), Action(self.UpdateIndicators))





    def SetupCharts(self):

        

        # Setup MACD lines chart

        macdChart = Chart('MACD')    

        macdChart.AddSeries(Series('MACD Fast', SeriesType.Line, 0))

        macdChart.AddSeries(Series('MACD Slow', SeriesType.Line, 0))        

        self.AddChart(macdChart)





    def UpdateIndicators(self):

        

        # New MACD settings

        resolutionSetting = Resolution.Minute

        macdFast = 20

        macdSlow = 60

        macdPeriod = 10

        

        self.__macd = self.MACD('BTCUSD', macdFast, macdSlow, macdPeriod, MovingAverageType.Exponential, resolutionSetting)





    def OnData(self, data):

        

        # Wait for our MACD to fully initialize

        if not self.__macd.IsReady: 

            return



        # Plot MACD manually to a chart (because I couldn't figure out how to get PlotIndicator update with new settings)

        self.plotCharts()



        # Do MACD stuff here, buy/sell, whatever...

        self.signalDeltaPercent = (self.__macd.Current.Value - self.__macd.Signal.Current.Value)/self.__macd.Fast.Current.Value





    def plotCharts(self):   

     

        # Plot MACD lines

        self.Plot('MACD', 'MACD Fast', self.__macd.Fast.Current.Value)

        self.Plot('MACD', 'MACD Slow', self.__macd.Slow.Current.Value)

Andrea Ardemagni

79 ,

Hi Drew, I'm 100% new to QuantConnect and trying to find some examples to learn from. Apologizes for my simple questions, I hope you could help me a little bit:

1. I see you don't have the start date and end date, why?

2. what's the goal of this code? You first have macdslow and macdfast at 15 and 5 but then every ten minutes you change these values to 20 and 60? I don't follow the logic.

Any suggestions it's incredibly appreciated. Thanks

Drew Baker

219 ,

Hello Andrea Andrea! Here are my answers:

1. I see you don't have the start date and end date, why?
I was just trying to show the bare basics of how to get an updating indicator working. You obviously want to put start/stop and what stock/cryto you were using etc... This is a good example of a basic algo that helped me a lot to lern how QC works.

2. what's the goal of this code? You first have macdslow and macdfast at 15 and 5 but then every ten minutes you change these values to 20 and 60? I don't follow the logic.
This code had no goal, just to show a basic example of how to update an indicator. How you use htis is up to you. One idea might be to have different MACD trend line settings for a bear or bull market...

Brent Lewis

49 ,

Drew Baker Did that update implimentation end up working? Seems like the engine runs a computation on the whole data set similar to TA-Lib if that's the case.. shouldn't be too hard to make an interface in python that you can use to just call them then. Would that be worth the time to make it though?

Drew Baker INVESTOR

Update Backtest

Notebook

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!

Platform

QuantConnect Community

Alpha League Competition: $1,000 Weekly Prize Pool

Filter Discussion by Tags

Community Ambassadors

Earn free QuantConnect cloud credits by helping others, each week we airdrop credits to the most active community members.

233,019 Quants.

Online Now

Stay Connected