QUANTCONNECT COMMUNITY
Hi all,
I am trying to have my stragety to run on two resolution, second and daily. Went to some of the good posts from Michael, but I am unfortunately stuck on
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.
QuantConnect™ 2024. All Rights Reserved
|
|
Share New Research 
Wally Tung
I guessed that I could not attach backtest with the runtime error
Failed to initialize algorithm: Initialize(): Python.Runtime.PythonException: NameError : name 'ResolveConsolidator' is not defined
at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.Initialize () [0x00045] in <2065e8e0d4584e7db60b4118fb8f00d8>:0
at QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler+<>c__DisplayClass19_0.<Setup>b__0 () [0x0007c] in <70b4d6c40a9a4eaf8468e63c5ee127dc>:0 (Open Stacktrace)
from clr import AddReference # .NET Common Language Runtime (CLR) <- http://pythonnet.github.io/ AddReference("System") AddReference("QuantConnect.Algorithm") # to load an assembly use AddReference AddReference("QuantConnect.Common") from QuantConnect.Algorithm import * from QuantConnect.Data import * import pandas as pd from collections import deque # double queue container from my_custom_data import * # QuandlFuture, CboeVix, CboeVxV import decimal class MyAlgorithm(QCAlgorithm): def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2013,1,1) #Set Start Date self.SetEndDate(2013,11,1) #Set End Date self.SetCash(100000) #Set Strategy Cash # Find more symbols here: http://quantconnect.com/data self.AddEquity("SPY", Resolution.Second) # consolidator = TradeBarConsolidator(timedelta(1)) # consolidator.DataConsolidated += self.OnDailyData # self.SubscriptionManager.AddConsolidator("SPY", consolidator) # self.daily = RollingWindow[TradeBar](2) # self.window = RollingWindow[TradeBar](2) self.initRollingWindow() def initRollingWindow(self): self.vix_symbol = "CBOE/VIX" self.vxv_symbol = "CBOE/VXV" vix_symbol = self.AddData(QuandlVix, self.vix_symbol, Resolution.Daily) vxv_symbol = self.AddData[Quandl](self.vxv_symbol, Resolution.Daily) barPeriod = timedelta(1) # This is the number of consolidated bars we'll hold in symbol data for reference rollingWindowSize = 10 self.Data = {} self.Data[self.vix_symbol] = SymbolData(vix_symbol, barPeriod, rollingWindowSize) self.Data[self.vix_symbol] = SymbolData(vxv_symbol, barPeriod, rollingWindowSize) for symbol, symbolData in self.Data.items(): self.Debug("symbol: %s"%(symbol)) # define a consolidator to consolidate data for this symbol on the requested period consolidator = ResolveConsolidator(symbol, Resolution.Daily); # consolidator = TradeBarConsolidator(barPeriod) # if symbolData.Symbol.SecurityType == SecurityType.Equity else QuoteBarConsolidator(BarPeriod) # write up our consolidator to update the indicator consolidator.DataConsolidated += self.OnDataConsolidated # we need to add this consolidator so it gets auto updates self.SubscriptionManager.AddConsolidator(symbolData.Symbol, consolidator) # symbolData.EMA = self.EMA(symbol, rollingWindowSize)Wally Tung
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.
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!