QUANTCONNECT COMMUNITY
Hello all,
I am attempting to build a rollingwindow of 15 minute VWAP data from the EURUSD in python. When I do so using a quotebar consolidator, I am told that the VWAP indicator needs a tradebar consolidator, however when I use a tradebar consolidator, I am told that the EURUSD does not support tradebars. Any help in resolving this would be greatly appreciated.
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Jack Simonson
Hi Harrison,
Can you attach a backtest or the code that you are testing so that myself or a member of the community can help debug the algorithm? Without seeing the code, I can tell you that QuantConnect's VolumeWeightedAveragePrice indicator accepts only TradeBars, and so it would only accept a TradeBarConsolidator. Additionally, we don't provide Forex volume data in the cloud, but if you want to build the rolling VWAP window locally in Lean, then check out this thread for information on how to download Forex volume data and then you could use this and a consolidator to build the VWAP indicator.
Harrison Burdge
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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