Access slice.Bars by symbol text by Hugh Todd

Hugh Todd INVESTOR

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The docs for Handling Data include sample code like:

For example ibmBar = slice.Bars["IBM"]

When I try this I get the error message:

Runtime Error: TypeError : unindexable object at OnData in main.py:line 96
TypeError : unindexable object

My ondata code looks like this:

    def OnData(self, slice):

        #self.Debug('Begin OnData ' +'  '+str(self.Time)+'  '+str(slice.Bars.Count)+'  '+str(self.curPositions))



        if slice.Bars.Count == 0: return

        #if self.changes == None: return



        for tradeBar in slice.Bars.Values:

            sym = tradeBar.Symbol.Value

            self.Log('tradeBar Sym: '+ sym)

        



        crmBar = slice.Bars["CRM"]

        self.Log ('slice.count: '+str(slice.Bars.Count)+'  crm: '+str(crmBar.Symbol.Value))

The universe is loaded by a custom list and the code properly logs the four symbols in the slice, including CRM, before failing at crmBar=slice.Bars['CRM'].

This is obviously test code, but related to my goal to evaluate the symbols in slice in the order they are loaded in the custom universe. I want to evaluate potential trades in that order because the symbols loaded first have a better profit potential than the other symbols - if the trade is triggered.

Thanks for some help, I've spent way too much time on this simple issue.

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Hugh Todd

Accepted Answer

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Jing Wu

242.2k Pro ,

Hi Hugh,

For equity, you could simply use slice["CRM"]. It is already a TradeBar.

slice["CRM"].Open

slice["CRM"].Close

slice["CRM"].EndTime

slice["CRM"].Volume

Hugh Todd

1.5k Pro ,

Jing Wu Thanks for the suggestion, but unfortunately it does not work - when the symbols are added via the custom universe. As a test I tried adding the same four symbols in initialize using AddEquity and your suggestion worked, but not with the custom universe. The error message was different though. Where it was generating an "unindexable object" error using slice.Bars, it is now generating a "KeyNotFound" exception.

Below is my code using the custom universe logic. It properly logs the four symbols in the slice, and then dies at the slice["CRM'] command.

import numpy as np

import decimal as d



class BasicTemplateAlgorithm(QCAlgorithm):

    

    def Initialize(self):

        self.SetStartDate(2018,4,6) #(2013,1,1)

        self.SetEndDate(2018,4,10)



        self.backtestSymbolsPerDay = {}

        self.current_universe = []

        self.cuDate = 'x'

        

        self.UniverseSettings.Resolution = Resolution.Hour;

        self.AddUniverse("my-dropbox-universe", self.universeGetter)

        

        self.symDatas = {}  # holds symbolData objects

        self.curPositions = 0



    def universeGetter(self, date):



        # handle live mode file format

        if self.LiveMode:

            # work on this later

            return self.current_universe



        # backtest - first cache the entire file

        #if len(self.backtestSymbolsPerDay) == 0:

        #    str = self.Download("https://www.dropbox.com/s/rmiiktz0ntpff3a/daily-stock-picker-backtest.csv?dl=1")

        #    for line in str.splitlines():

        #        data = line.split(',')

        #        self.backtestSymbolsPerDay[data[0]] = data[1:]

        # Dummmy this up for now

        if len(self.backtestSymbolsPerDay) == 0:

            self.backtestSymbolsPerDay['20180406'] = ['ABMD', 'BZUN', 'CRM', 'NOW']

            self.backtestSymbolsPerDay['20180413'] = ['PAYC', 'ULTI', 'CRM', 'ADBE']

            self.backtestSymbolsPerDay['20180420'] = ['PAYC', 'ADBE', 'CRM', 'RHT']

            self.backtestSymbolsPerDay['20180427'] = ['PAYC', 'CRM', 'RHT', 'BOOT']



        index = date.strftime("%Y%m%d")

        if index in self.backtestSymbolsPerDay:

            self.cuDate = index

        self.current_universe = self.backtestSymbolsPerDay.get(index, self.current_universe)



        return self.current_universe



    def OnData(self, slice):

        #self.Debug('Begin OnData ' +'  '+str(self.Time)+'  '+str(slice.Bars.Count)+'  '+str(self.curPositions))



        if slice.Bars.Count == 0: return

        #if self.changes == None: return



        for tradeBar in slice.Bars.Values:

            sym = tradeBar.Symbol.Value

            self.Log('tradeBar Sym: '+ sym +'  '+ str(tradeBar.Close))

        



        crmBar = slice["CRM"]

        self.Log('Close: for ' + crmBar.Symbol.Value +' is '+str(crmBar.Close))



        



        # reset changes

        self.changes = None

        

        #self.Debug(str(self.Time) +'  '+'end OnData')

        

    def OnSecuritiesChanged(self, changes):

        self.changes = changes

        



        # remove symbolData for removed symbols

        #for sec in self.changes.RemovedSecurities:

        #    self.symDatas.pop(sec.Symbol, None)

Thanks. Any other ideas?

Hugh Todd

1.5k Pro ,

Let me go at this another way - if slice[symbol string] doesn't work but slice[symbol object] does work, how can I get symbol object from symbol string?

Jared Broad

Pro ,

Like this:

symbol = Symbol.Create("IBM", SecurityType.Equity, Market.USA)

Hugh Todd

1.5k Pro ,

Jared Broad

Thank you very much. That works and let's me move forward.

Hugh Todd INVESTOR

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