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VWAP not consolidating?

First time here so any and all help is welcome :)

1) When trying to use VWAP function in this algo I get the following error: "Runtime Error: NotSupportedException : VolumeWeightedAveragePriceIndicator does not support Update(DateTime, decimal) method overload. Use Update(TradeBar) instead." but can't figure out how to fix it.

2) How would I add a candlestick pattern such as the Doji following the same format as other indicators.

 

Thanks in advance!!

 

 

class MultipleSymbolConsolidationAlgorithm(QCAlgorithm):


# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
def Initialize(self):

#Initial investment and backtest period
self.SetStartDate(2019,1,1)
self.SetEndDate(datetime.now().date() - timedelta(1))
self.SetCash(100000)

#Brokerage Model
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)

# This is the period of bars we'll be creating
BarPeriod = TimeSpan.FromMinutes(20)



# This is the period of our rsi indicators
RSIPeriod = 30

# This is the period of our vwap indicators
VWAPPeriod = 10

# This is the period of our sma indicators
SimpleMovingAveragePeriod = 30

# This is the period of our last price
SimpleMovingAverageonePeriod = 1

# This is the period of our TEma indicators
TripleExponentialMovingAveragePeriod = 5

# This is the period of our ema indicators
ExponentialMovingAveragePeriod = 10

# This is the period of our tema indicators
TripleExponentialMovingAveragePeriod = 5

# This is the number of consolidated bars we'll hold in symbol data for reference
RollingWindowSize = 30


# Holds all of our data keyed by each symbol
self.Data = {}

# Contains all of our equity symbols
EquitySymbols = ["QQQ"]

# initialize our equity data
for symbol in EquitySymbols:
equity = self.AddEquity(symbol)
self.Data[symbol] = SymbolData(equity.Symbol, BarPeriod, RollingWindowSize)

for symbol in EquitySymbols:
if self.Portfolio[symbol].Invested:
self.Schedule.On(self.DateRules.EveryDay(symbol), self.TimeRules.BeforeMarketClose(symbol, 15))
self.Liquidate(symbol)


# loop through all our symbols and request data subscriptions and initialize indicator
for symbol, symbolData in self.Data.items():


# define the indicator
symbolData.VWAP = VolumeWeightedAveragePriceIndicator(self.CreateIndicatorName(symbol, "VWAP" + str(VWAPPeriod), Resolution.Minute), VWAPPeriod)


# define the indicator
symbolData.SMA = SimpleMovingAverage(self.CreateIndicatorName(symbol, "SMA" + str(SimpleMovingAveragePeriod), Resolution.Minute), SimpleMovingAveragePeriod)

# define the indicator
symbolData.RSI = RelativeStrengthIndex(self.CreateIndicatorName(symbol, "RSI" + str(RSIPeriod), Resolution.Minute), RSIPeriod, MovingAverageType.Simple)

# define the indicator
symbolData.SMAone = SimpleMovingAverage(self.CreateIndicatorName(symbol, "SMA" + str(SimpleMovingAverageonePeriod), Resolution.Minute), SimpleMovingAverageonePeriod)


# define the indicator
symbolData.TEMA = TripleExponentialMovingAverage(self.CreateIndicatorName(symbol, "TEMA" + str(TripleExponentialMovingAveragePeriod), Resolution.Minute), TripleExponentialMovingAveragePeriod)

# define the indicator
symbolData.EMA = ExponentialMovingAverage(self.CreateIndicatorName(symbol, "EMA" + str(ExponentialMovingAveragePeriod), Resolution.Minute), ExponentialMovingAveragePeriod)

# define a consolidator to consolidate data for this symbol on the requested period
if symbolData.Symbol.SecurityType == SecurityType.Equity:
consolidator = TradeBarConsolidator(BarPeriod)

elif symbolData.Symbol == symbolData.VWAP:
consolidator = TradeBarConsolidator(BarPeriod)

else:
consolidator = QuoteBarConsolidator(BarPeriod)

# write up our consolidator to update the indicator
consolidator.DataConsolidated += self.OnDataConsolidated

# we need to add this consolidator so it gets auto updates
self.SubscriptionManager.AddConsolidator(symbolData.Symbol, consolidator)


def OnDataConsolidated(self, sender, bar):

self.Data[bar.Symbol.Value].SMA.Update(bar.Time, bar.Close)
self.Data[bar.Symbol.Value].SMAone.Update(bar.Time, bar.Close)
self.Data[bar.Symbol.Value].RSI.Update(bar.Time, bar.Close)
self.Data[bar.Symbol.Value].TEMA.Update(bar.Time, bar.Close)
self.Data[bar.Symbol.Value].EMA.Update(bar.Time, bar.Close)
self.Data[bar.Symbol.Value].VWAP.Update(bar.Time, bar.Close)

self.Data[bar.Symbol.Value].Bars.Add(bar)

# OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
# Argument "data": Slice object, dictionary object with your stock data
def OnData(self,data):



# loop through each symbol in our structure
for symbol in self.Data.keys():
symbolData = self.Data[symbol]

stopLossPercent = .98
profitTargetPercent = 1.05


# this check proves that this symbol was JUST updated prior to this OnData function being called
if symbolData.IsReady() and symbolData.WasJustUpdated(self.Time):
if not self.Portfolio[symbol].Invested:
if symbolData.SMAone > symbolData.TEMA:
if symbolData.SMAone > symbolData.VWAP:



self.Liquidate()

openOrders = self.Transactions.GetOpenOrders()
if len(openOrders)> 0:
for x in openOrders:
self.Transactions.CancelOrder(x.Id)



posSize = self.CalculateOrderQuantity(symbol, 0.9)
self.MarketOrder(symbol, posSize)




self.StopLimitOrder(symbol, -posSize, float(symbolData.SMAone.Current.Value) * stopLossPercent, float(symbolData.SMAone.Current.Value) * profitTargetPercent)



# End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
# Method is called 10 minutes before closing to allow user to close out position.
def OnEndOfDay(self):

i = 0
for symbol in sorted(self.Data.keys()):
symbolData = self.Data[symbol]
# we have too many symbols to plot them all, so plot every other
i += 1
if symbolData.IsReady() and i%2 == 0:
self.Plot(symbol, symbol, symbolData.SMA.Current.Value)





class SymbolData(object):

def __init__(self, symbol, barPeriod, windowSize):
self.Symbol = symbol

# The period used when population the Bars rolling window
self.BarPeriod = barPeriod

# A rolling window of data, data needs to be pumped into Bars by using Bars.Update( tradeBar ) and can be accessed like:
# mySymbolData.Bars[0] - most first recent piece of data
# mySymbolData.Bars[5] - the sixth most recent piece of data (zero based indexing)
self.Bars = RollingWindow[IBaseDataBar](windowSize)

# The simple moving average indicator for our symbol
self.SMA = None

# Returns true if all the data in this instance is ready (indicators, rolling windows, ect...)
def IsReady(self):
return self.Bars.IsReady and self.SMA.IsReady

# Returns true if the most recent trade bar time matches the current time minus the bar's period, this
# indicates that update was just called on this instance
def WasJustUpdated(self, current):
return self.Bars.Count > 0 and self.Bars[0].Time == current - self.BarPeriod
Update Backtest







0

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.


Hi Dave,

Welcome to QuantConnect!

1) VWAP.Update takes a bar type as argument. So here is the fix:
 

self.Data[bar.Symbol.Value].VWAP.Update(bar)

2) We currently don't support candle pattern. For more indicator plotting, please refer to our documentation page.

3) On line 131-132, we could not compare two indicators with different types directly (sma vs vwap). Here is my attempt of fix:

if symbolData.SMAone.Current.Value > symbolData.TEMA.Current.Value:
if symbolData.SMAone.Current.Value > symbolData.VWAP.Current.Value:

Hope it helps.

0

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.


Update Backtest





0

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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