Hi,

I am new to QC and hope to be continuing here for foreseeable future. While i am getting the hang of architecture, i am trying to fetch the price for ES.

 

In initialize, i have the following: self.future = self.AddSecurity( SecurityType.Future, 'ES', Resolution.Tick) self.future.SetFilter(lambda x: x.FrontMonth()) self.future_ES = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute) On onData block, i wrote something like; if self.Time.microsecond == 0 and self.Time.second == 0: self.barOpen = 0 self.barClose = 0 self.barVolume = 0 self.Debug('Calling new function {}'.format(float(self.Securities[self.future_ES].Price))) self.OnDataGetFutureData(slice) And a function: def OnDataGetFutureData(self, slice): """Check for future open close volume for charting.""" try: for chain in slice.FutureChains: for contract in chain.Value: self.barOpen = self.Securites[contract.Symbol].Open self.barClose = self.Securites[contract.Symbol].Close self.barVolume = self.Securites[contract.Symbol].Volume self.Debug('Open: {} Close: {} Volume:{}'.format(self.barOpen,self.barClose,self.barVolume)) except: return

Unfortunately, I am getting type error on self.Securities[self.future_ES].price and if i comment that, the function is not setting the values properly.

I did try looking into documentation with no avail. I started working on QC only few days ago. Any help would be appreciated.

 

Author