QuantConnect Community

You can get the previous bar with the RollingWindow.

Alternatively, you can request the minute history. 

history = self.History(["IBM"], 2, Resolution.Minute) returns a multi-index data frame with open/high/low/close instead of decimal value. To get the closing price of last minute, you need to retrieve the value with

Please see the documentation

Thank you very much for getting back to me. I also had another question, I keep getting an error message saying VIXY is not in the index.  Is there a way to go about fixing this? Thank you again.

import numpy as np
from datetime import datetime
import pandas as pd
import math


class VolTrading(QCAlgorithm):

def __init__(self):
self.previous = None
self.position = None




def Initialize(self):

self.SetStartDate(2007,1,1) #Set Start Date
#self.SetEndDate(2018,10,29) #Set End Date
self.SetCash(10000) #Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.AddEquity("VIXY", Resolution.Minute)
self.SetWarmUp(440)


def OnData(self, data):
history_s = self.History(["SPY"], 2, Resolution.Minute)
last_minute_close_s = history_s.loc["SPY"]["close"][-2]

history_v = self.History(["VIXY"], 2, Resolution.Minute)
last_minute_close_v = history_v.loc["VIXY"]["close"][-2]

self.SPercent = math.log((self.Identity("SPY").Current.Value)/
(last_minute_close_s))
self.VPercent = math.log((self.Identity("VIXY").Current.Value)/
(last_minute_close_v))


if self.IsWarmingUp:
return

if SPercent <= -.01:
if self.position == None:
self.SetHoldings("VIXY", 1)
elif self.position == "SPY":
self.Liquidate("SPY")
self.SetHoldings("VIXY", 1)
self.position = "VIXY"


elif VPercent <= -.01:
if self.position == None:
self.SetHoldings("SPY", 1)
elif self.position == "VIXY":
self.Liquidate("VIXY")
self.SetHoldings("SPY", 1)
self.position = "SPY"

Please add an empty data frame check before retrieving the value with the symbol index.  

You can obtain the current price with self.Securities["SPY"].Price instead of "self.Identity("SPY")". 

(If you have further questions, please share an algorithm with the "attach backtest" button below to demonstrate the issue instead of copying and pasting the non-formatted code. Python is structured with indentation. This procedure helps us, the community, to answer your questions quickly and effectively.)

Thank you very much for the response, I will make some changes and get back to you if anymore issues arise. Thanks.