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Hey All,
I'm trying to create some renko bars from S&P500Emini ticks. The renko consolidator seems broken? when I run the following backtest with an equity (SPY) the backtest logs some renko closes. when I run the same code with the ES it fails with
During the algorithm initialization, the following exception has occurred: ArgumentException : Please subscribe to this symbol before adding a consolidator for it. Symbol:
at QuantConnect.Data.SubscriptionManager.AddConsolidator (QuantConnect.Symbol symbol, QuantConnect.Data.Consolidators.IDataConsolidator consolidator) [0x00047] in <796a9fb122d841fdaad855535a8219c0>:0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in :0
at Initialize in main.py:line 35
ArgumentException : Please subscribe to this symbol before adding a consolidator for it. Symbol:
at QuantConnect.Data.SubscriptionManager.AddConsolidator (QuantConnect.Symbol symbol, QuantConnect.Data.Consolidators.IDataConsolidator consolidator) [0x00047] in <796a9fb122d841fdaad855535a8219c0>:0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in :0 the code I'm running.
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Data import *
from QuantConnect.Data.Market import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Securities import *
from QuantConnect.Data.Consolidators import *
from datetime import timedelta
class TestFuturesAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 11)
self.SetCash(1000)
# spy_equity = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Tick).Symbol
es_future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Tick)
es_future.SetFilter(timedelta(0), timedelta(182))
renkoClose = RenkoConsolidator(0.5, RenkoType.Wicked)
renkoClose.DataConsolidated += self.HandleRenkoClose
self.SubscriptionManager.AddConsolidator(Futures.Indices.SP500EMini, renkoClose)
# self.SubscriptionManager.AddConsolidator(spy_equity, renkoClose)
def OnData(self,slice):
pass
def HandleRenkoClose(self, sender, data):
'''This function is called by our renkoClose consolidator defined in Initialize()
Args:
data: The new renko bar produced by the consolidator'''
if not self.Portfolio.Invested:
self.SetHoldings(data.Symbol, 1)
self.Log(f"CLOSE - {data.Time} - {data.Open} {data.Close}")
Douglas Stridsberg
Hi Keith - the key is in your commented out sections, where you used SPY's symbol when registering the consolidator. You need to use the actual Symbol of the future you've subscribed to in AddConsolidator.
self.SubscriptionManager.AddConsolidator(es_future.Symbol, renkoClose)In general it's good practice to use symbols rather than strings (Futures.Indices.SP500EMini translates to a constant string). Even better practice is to store each security and call upon the security's specific symbol.
As for why the strategy still doesn't trade, I can't say for sure as I'm not too familiar with how Renko consolidators work with Futures data.
Keith Mitchell
Thanks Douglas,
ha, i did try using the symbol but thought I was doing something wrong, I apprecitiate the correction and best proactice tip. Any quantConnect folks know why Equites run in this scenario and Futures don't?
Xin Wei
Hi Keith,
The problem that the strategy works for Equity but not Futures lies in the fact that the ways to retrieve data from Equity and Futures are different in QuantConnect. The data your strategy requires is contained in `FuturesContract` object, which is different from the output `es_future` of the `AddFuture` method. The output `es_future` contains a collection of individual future contracts.The futures contracts can be retrieved from `changes.AddedSecurities` under `OnSecuritiesChanged` event handler. Please refer to the backtest below for implementation details. Using `OnSecuritiesChanged` method ensures that every futures contract being added gets a consolidator, and also that the consolidators are removed when a contract drops out of the universe.
Data Library - Futures doc section will be a useful resource for requesting and using Futures data in QuantConnect. Please let me know if you have further questions.
Critical.Error
That was it. RenkoConsolidator just doesn't work with continuous futures contracts. Just had to change my AddFutures line to:
self.gc = self.AddFuture(FUTURES_CONTRACT, Resolution.Tick)
self.gc.SetFilter(timedelta(0), timedelta(182))
Critical.Error
sorry, wrong forum post there.
Keith Mitchell
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