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# I cannot figure out what I am doing wrong. All I want is the Algo to buy within set parameters of 6 cents above midprice and 6 cents below midprice.
#I created the algo below to see if I can get the program to buy when price(current) is equal to midprice and above 2day VWAP. Ideally, in an intraday action, I would like this to buy or sell anytime those parameters are met. Yet every freaking time I try to this, I blow up the algo. I have been trying for over two hours. Any guidance is greatly appreciated.
from QuantConnect.Indicators import *
class BasicTemplateAlgorithm(QCAlgorithm):
'''Basic template algorithm simply initializes the date range and cash'''
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2015,9,1) #Set Start Date
self.SetEndDate(2018,5,15) #Set End Date
self.SetCash(10000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.AddEquity("SPY", Resolution.Daily)
self.MIDPRICE('SPY',1,Resolution.Daily)
self.VWAP('SPY',2,Resolution.Daily)
self.SetWarmUp(20)
self.SetBenchmark("SPY")
def OnData(self, data):
VWAP = self.VWAP.Current.Value
Mid = self.MIDPRICE.Current.Value
current = data["SPY"].Close
#need to check when to go long
if not self.Portfolio.Invested:
if current = Mid and current > VWAP:
self.SetHoldings("SPY", 1)
if current = Mid and current < VWAP:
self.SetHoldings("SPY", -1)
if self.Portfolio.Invested:
if self.Portfolio["SPY"].IsLong:
if current < Mid and current < VWAP:
self.Liquidate("SPY")
if self.Portfolio["SPY"].IsShort:
if current > Mid and current > VWAP:
self.Liquidate("SPY")
Jing Wu
Hi Joshua, "=" is an assignment operator while "==" is an equality operator. In “if” statement you should use "==" instead. Besides, you need to assign the indicator to a variable in Initialize(), so can refer to its value with "Current.Value". Also, please add " if self.IsWarmingUp: return" to skip the warm-up period as the indicator value in this period is not real indicator value. The condition "current = Mid" is too strict so you won't get any trades.
Joshua Dawson
Thank you, sir. I will make the changes and try again. I will post the updated code if i get stuck again, unless I murder my computer.
Joshua Dawson
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