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I am working on a strategy that uses multiple time frames of the VWAP indicator and I struggle to get the rolling window updated. For normal price bars, I get the first entry (current price) from the rolling window but strangely enough not the second, previous, one.
The big hazzle is all about when using a TradeBarConsolidator for 10, 15, and 60 minutes. I get the VWAP updated, that seems to work, but for magic reasons, I cannot get the updated value in the rolling window.
I have tried updating the RollingWindow in the BarHandler, like so:
self.window_vwap_fifteen.Add(self.vwap_fifteen.Current)
However, that throws a runtime error:
Runtime Error: Trying to dynamically access a method that does not exist throws a TypeError exception.
Technically, I could use the scheduler to update the RollingWindow every 10 / 15 / 60 minute, but I am concerned that would not correctly time sync let alone it looks a like a pretty stupid solution.
Is there a good way to update the rolling window(s) of an indicator on multiple timeframes?
I really don't know what's so hard, so any help (in python) is appreciated. Backtest attached.
Thanks in advance!
Marvin
Douglas Stridsberg
First of all, I don't see that you're doing any kind of checking of whether self.tradeBar_Window is ready. Your problem could be that you're trying to access index [1] before two samples have been pushed onto the window. I don't see why your other code shouldn't work.
I haven't used volume indicators before but an easier way to subscribe indicators directly onto consolidators would be the following lambda code in C#:
var vwap_ten = new VolumeWeightedAveragePriceIndicator(sym, VWAPPeriod); var tenMinutesConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(10)); tenMinutesConsolidator.DataConsolidated += (sender, data) => { vwap_ten.Update(data) };Not sure if the same can be achieved in Python though.
Thank you Douglas,
this is the weirdest part: when I add a check to test if tradeBar_Window is ready, the algo never executes so essentially the rolling window is never flipping the flag to ready. The attached backtests shows the issue in a comment. Therefore, I have disabled the check for now.
Also, I register my indicators to auto-update like so:
# Register the consolidated bar data to automatically update the indicator # https://www.quantconnect.com/docs/algorithm-reference/indicators self.RegisterIndicator(self.sym, self.vwap_ten, tenMinutesConsolidator)That seems to work. I am pretty sure there is a more functional / pythonic way but I stick with the working code base until I get the annoying bugs fixed. When I try the sample code from the documentation [1] to add an indicator to the rolling window, I get an AttributeError.
In a nutshell, there are multiple issues going on here so I have filed a ticket with the support to sort this out. Will post an update after I checked with them,
Anyway, thanks for your help.
[1] https://www.quantconnect.com/docs/algorithm-reference/rolling-window
SOLVED:
There is a sample backtest for FOREX, which I have adapted to my case.
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