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I am trying to register a consolidated VWAP but I get:
SystemError : <bound method 'RegisterIndicator'> returned a result with an error set
fiveMinutesConsolidator = TradeBarConsolidator(timedelta(minutes=5))
fiveMinutesConsolidator.DataConsolidated += self.fiveMinutesBarHandler
self.SubscriptionManager.AddConsolidator("SPY", fiveMinutesConsolidator)
self._ema10 = ExponentialMovingAverage(10)
self._ema20 = ExponentialMovingAverage(20)
self._vwap20 = VolumeWeightedAveragePriceIndicator(20)
self.RegisterIndicator("SPY", self._ema10, fiveMinutesConsolidator)
self.RegisterIndicator("SPY", self._ema20, fiveMinutesConsolidator)
self.RegisterIndicator("SPY", self._vwap20, fiveMinutesConsolidator)
self._ema10.Updated += self._ema10Updated
self._ema20.Updated += self._ema20Updated
self._vwap20.Updated += self._vwap20Updated
self._ema10Win = RollingWindow[IndicatorDataPoint](20)
self._ema20Win = RollingWindow[IndicatorDataPoint](20)
self._vwap20Win = RollingWindow[IndicatorDataPoint](20)
Michael Manus
Pier,
QC provided a new framework for working with larger algos. their idea is to plug items together like risk manager and alpha manager ant that stuff. In works almost the same as the standard one file algo. You only have to find the right spot to put your code. That is an register indicator example from the mentioned framework:
line 125
the framework:
More register indicator examples:
Pier-Olivier Marquis
It seems that that their classical VWAP doesn't to support intraday. In their execution model they have a IntradayVwap class. This one works, I can consolidate it and put it in a Rollingwindow.
Michael Manus
There is an intraday VWAP Indicator in the documentation. If you want to use the class directly you'll have to call Update() method.
Check the examples --
https://github.com/QuantConnect/Lean/blob/cbd953437f987392f2c2e154adcb7d43d684b7f1/Algorithm.Python/EmaCrossUniverseSelectionAlgorithm.py#L102
Pier-Olivier Marquis
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