Is this correct? by Kj5159

Kj5159

| Reward Discussion

I'm trying to get "three most recent 2000 constant-volume bars", is this code correct?

for number in self.bond_price:
vol_bar_one = self.Volume[0:2001]
vol_bar_two = self.Volume[2001:4001]
vol_bar_three = self.Volume[4001:6001]

vol_bar_one_price = bond_price.vol_bar_one["close"]

vol_bar_two_price = bond_price.vol_bar_two["close"]

vol_bar_three_price = bond_price.vol_bar_three["close"]

My worry is that these bars will not remain static but will update with each new contract traded, kicking out the oldest value in the slice and inserting a new one for the "most recent value.

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Kj5159

Accepted Answer

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Gurumeher Sawhney

14.7k ,

In the following code is self.Volume a historical data request? Unfortunately, I can not answer this question well enough without more code to analyze.

A historical data request will return a static dataframe and the bars created in this snippet can be saved for future reference in a rolling window. When historical data is requested with an integer x and not DateTime values, it will retrieve the last x bars and hence the bars created during each time loop will be new.

Kj5159

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