I decided to use History instead of RollingWindow because history gave me a multi-index pandas df that I was more used to.

However, running a couple backtests and checking the logs, the history window seems to be stuck the first instance when it was ran and doesn't move with day change as expected. Is there something wrong with the code below?

#in initialise
# History method returns a dict with a pandas.DataFrame - multi-index pandas DataFrame.
self.pxhistory = self.History(["BTCUSD","LTCUSD", "ETHUSD", "LTCBTC", "ETHBTC","LTCEUR", "ETHEUR", "BTCEUR"], TimeSpan.FromDays(self.lookback), Resolution.Daily)

#set warmup

def OnData(self, data):

if not self.pxhistory.empty:

price_history = self.pxhistory["open"]
price_history = price_history.unstack('symbol')