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Joseph Testa INVESTOR

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I created a brand new algorithm and followed the documentation to create a RollingWindow of decimals. Here is my code:

from decimal import Decimal



class ParticleMultidimensionalShield(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2018, 10, 8)  # Set Start Date

        self.SetCash(100000)  # Set Strategy Cash

        

        self.closeWindow = RollingWindow[Decimal](4)





    def OnData(self, data):

        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

            Arguments:

                data: Slice object keyed by symbol containing the stock data

        '''



        # if not self.Portfolio.Invested:

        #    self.SetHoldings("SPY", 1)

However, running this code returns an error:

During the algorithm initialization, the following exception has occurred: TypeError : type(s) expected

  at Initialize in main.py:line 13

 TypeError : type(s) expected

What's the problem?

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Joseph Testa

Accepted Answer

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Halldor Andersen

16.1k ,

Hi Joseph.

In the method Initialize(), add a security using AddEquity:

# In Initialize

self.spy = self.AddEquity("SPY", Resolution.Daily)

The rolling arrays are updated by adding a new element using the Add method:

# In OnData

if data.ContainsKey("SPY"):

 # Add SPY bar close in the rolling window

 self.closeWindow.Add(data["SPY"].Close)

I've attached a backtest for you reference.

Joseph Testa

20 ,

@Halldor,

Thanks for your response.

I added a security and copy/pasted the OnData from your backtest but it did not resolve the problem.

However, your backtest gave me a clue about the problem.

Actually, the problem stems from the import statement at the beginning of my code:

from decimal import Decimal

According to the documentation for RollingWindow in Python, we need to import Decimal. It's even in the code snippet on the documentation page and labeled as "important":

from decimal import Decimal # Important: import decimal.Decimal class self.closeWindow = RollingWindow[Decimal](4) self.tradeBarWindow = RollingWindow[TradeBar](2) self.quoteBarWindow = RollingWindow[QuoteBar](2)

But this actually breaks the code. I think it's a good idea for QC to update this part of the documentation as it just led me to broken code and confusion.

Regards

Jack Simonson

49.4k ,

Hi Joseph,

You're correct, and thank's for pointing this out and we've updated the documentation. It's a legacy from before updated LEAN so that decimal was compatible across C# and Python without the need for importing Decimal. Glad to hear the code is working for you now!

Wouter vH

267 ,

Dear mister Simonson, Jack Simonson

I am struggling with the same issue, however I haven't been able to fix it. I am also getting a Type error, but for the QuoteBar, while I have followed the documentation on the QuoteBar, could you please help me out? Thank you in advance. For some reason, i can't see the most recent backtest so i am unfortunately not able to attach that. I hope the code snippet will still help

import decimal as d

from datetime import timedelta



class MovingAverageCrossAlgorithm(QCAlgorithm):



    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(2017, 1, 1)    #Set Start Date

        self.SetEndDate(2020, 10, 1)      #Set End Date

        self.SetCash(100000)             #Set Strategy Cash



        self.AddForex('EURUSD', Resolution.Hour)

        self.SetBrokerageModel(BrokerageName.OandaBrokerage)



        # create a 12 day exponential moving average

        self.fast = self.EMA("EURUSD", 5, Resolution.Daily)



        # create a 48 hour exponential moving average

        self.slow = self.EMA("EURUSD", 25, Resolution.Daily)

        

        self.SetLeverage = 1.0 

    

        self.SetWarmUp(timedelta(days=20))

        

        self.SMA("EURUSD", 225).Updated += self.SmaUpdated

        self.smaWin = RollingWindow[IndicatorDataPoint](225)



    def SmaUpdated(self, sender, updated):

        '''Adds updated values to rolling window'''

        self.smaWin.Add(updated)



    def OnData(self, data):

        # wait for our slow ema to fully initialize

        if self.IsWarmingUp: 

            return

        

        fxQuoteBars = data.QuoteBars

        eurusdQuoteBar = fxQuoteBars['EURUSD'] 

        

        self.window = RollingWindow[eurusdQuoteBar](2)

        

        self.window.Add(data["EURUSD"])

         

        currSma = self.smaWin[0]     

        pastSma = self.smaWin[self.smaWin.Count-1]

        

        slope = currSma.Value - pastSma.Value



        # define a small tolerance on our checks to avoid bouncing

        tolerance = 0.0015

        holdings = self.Portfolio["EURUSD"].Quantity



        # we only want to go long if we're currently short or flat

        if holdings <= 0 and slope + tolerance > 0.002:

            # if the fast is greater than the slow, we'll go long

            self.SetHoldings("EURUSD", 1.0)



        # we only want to liquidate if we're currently long

        # if the fast is less than the slow we'll liquidate our long

        if holdings > 0 and slope <= 0:

            self.Liquidate("EURUSD")

Derek Melchin

STAFF ,

Hi Wouter,

Refer to this related thread. In the future, please avoid creating duplicate threads.

Best,
Derek Melchin

Joseph Testa INVESTOR

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