How to generate the Rolling Window of 4-TradeBars by Pushpendra Kr

Pushpendra Kr INVESTOR

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Hi,

I am trying to generate a rollingwindow of 4-TradeBars for hourly-time frame. I am getting following Error on BackTest:

Backtest deployed in 14.605 seconds

13 | 17:07:40:

Runtime Error: AttributeError : 'NoneType' object has no attribute 'Open'
at OnData in main.py:line 98
AttributeError : 'NoneType' object has no attribute 'Open' (Open Stacktrace)

14 | 17:07:50:

Algorithm Id:(e619b785f730a393eb8acd9b7f269eee) completed in 10.74 seconds at 0k data points per second. Processing total of 954 data points

Can you please help to fix the issue?

Update Backtest

Pushpendra Kr

Accepted Answer

Update Backtest

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Jing Wu

242.2k ,

To obtain the bar open price in OnData(self, data),

def OnData(self, data):

    if data.Bars.ContainsKey(symbol):

       open = data[symbol].Open

In your case, you can add a None type check before retrieving the open price like "if object is not None:". For better support, please share the algorithm with the "Attach Backtest".

Pushpendra Kr

81 ,

Thanks for your suggestion. The check for 'if object is not None' helped.

Though I was wondering what would cause the TradeBar to be None.

Alexandre Catarino

Could you please attach the backest?
We will be able to find out what is the cause for TradeBar being None.

Pushpendra Kr

81 ,

attached backtest, please take a look for None TradeBars

Jack Simonson

Hi Pushpendra,

We've looked into your algorithm and it looks like the None TradBars is due to SPY paying a dividend -- the dates match up when SPY pays a quarterly dividend, which is the 3rd Friday of every March, June, September, and December. If you see the attached backtest, I've added a line checking for dividends and logging it as such. If you want, our API provides various methods for filtering around specified dates or you can use the slice.Dividends.ContainsKey() method to catch these instances.

Pushpendra Kr INVESTOR

Update Backtest

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