Passing a Slice to another object (generally: running algorithm logic outside of starting object) by Douglas Stridsberg

Douglas Stridsberg INVESTOR

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Hi,

I'm trying to design a set-up where, within one project, I have multiple different strategies, each a class of its own. They each have a run-method to take in a Slice.

In the main/starting object (the one specified in config.json), I then want to instantiate one of these strategies and pass it the Slice it needs.

This currently doesn't work - the first time I use the Slice object in my sub-strategy, the program exits telling me I'm referencing something that is not an instance of an object. The debugger shows clearly that there is a Slice object being passed. I'm also able to use that Slice object in the main strategy -- only when it gets passed to the sub-strategy, it stops working.

Is this kind of a set-up possible within Lean? I have a feeling it's not really meant to be working with any more than one algorithm inheriting QCAlgorithm. Is there a better way to do this?

If it is possible, I'd be happy to send a minimal working example over to show what I'm trying to do.

If not, I'll have to think of a different way to achieve this.

Thanks in advance,

Douglas

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Douglas Stridsberg

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Michael Manus

10.2k Pro ,

read this maybe it helps you, that is the way you have to go

https://www.quantconnect.com/forum/discussion/3682/algo-framework-etf-momentum-rebalancing-using-mean-variance-optimization

Michael Manus

10.2k Pro ,

that is something simpler but i dont know if it works

clone and take a look at daniels code:

https://www.quantconnect.com/forum/discussion/860/qcu-complete-algorithm-framework-help

Michael Manus

10.2k Pro ,

docu for first post

https://www.quantconnect.com/docs/algorithm-framework/overview

Douglas Stridsberg

5.1k Pro ,

Thanks - that's helpful but is a bit more extensive than what I'd like to achieve.

Is it possible to, in general, call a "logic" algorithm from the algorithm that's run by the launcher? I'd like that "logic" algorithm to contain everything the strategy needs, such as creating its own indicators.

I guess what I'm trying to achieve is a "light" version of this Framework you've highlighted.

Jared Broad

Pro ,

Hi Douglas -- welcome to QuantConnect @ LEAN. There are almost no restrictions to what you can do. Recommend just trying what you're asking for -- make the classes -- pass the slice around.

Douglas Stridsberg

5.1k Pro ,

Hi Jared, nice to speak to you again.

I tried just what you suggested. I'll revert with a minimal working example where my issue is shown.

Douglas Stridsberg

5.1k Pro ,

Here we go - the error first:

ERROR:: AlgorithmManager.Run(): RuntimeError: Slice: System.NullReferenceException: Object reference not set to an instance of an object.

The error then refers to the line that runs the .Add() method on _close, close to the end of the below snippet.

The minimal working example that produces it follows.

Thank you in advance for any help!

using System;

using System.Collections.Generic;

using System.Linq;

using QuantConnect.Data;

using QuantConnect.Indicators;

using QuantConnect.Configuration;



namespace QuantConnect.Algorithm.CSharp

{

	/// <summary>

	/// Main entrypoint for all algorithms, does general startup procedures and selects the symbol(s) and strategy(ies) to run

	/// </summary>

	public class MainAlgo : QCAlgorithm

	{

		public AlgoSignal signal;



		public override void Initialize()

		{

			SetStartDate( Config.GetValue<DateTime>( "startDate", new DateTime( 2017, 11, 1 ) ) );

			SetEndDate( Config.GetValue<DateTime>( "endDate", new DateTime( 2017, 12, 1 ) ) );

			SetCash( 10000 );



			var symbol = AddForex( "EURUSD", Resolution.Minute, Market.FXCM ).Symbol;



			signal = new AlgoSignal( symbol );

			

		}



		public override void OnData( Slice slice )

		{

			signal.Run( slice );

		}

	}



	/// <summary>

	/// The actual signal logic

	/// </summary>

	public class AlgoSignal : QCAlgorithm

	{

		private RollingWindow<decimal> _close;



		public Symbol symbol;



		public AlgoSignal( Symbol symbol )

		{

			this.symbol = symbol;

		}



		public void Run( Slice slice )

		{

			// Add close to rolling window

			_close.Add( slice.Bars[symbol].Close );



			// do more stuff

		}

	}

}

Michael Manus

10.2k Pro ,

please clone daniels framwork which is a framework provided by QC originally.

there is this example covered what you try to achieve

start with something working

check main.cs than alphamanager in brain code

Douglas Stridsberg INVESTOR

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