Hello everyone,

I am new to QC and was hoping to get some help. Trying to adapt an algorithm to QC, I am trying to create a covariance matrix but am having a hard time with the QC History Dataframes.

Here is my attempt:

hist = self.History(self.stocks, self.lookback+1, Resolution.Daily).unstack(level=0).close
hist = hist[symbols].pct_change()[1:]
covar_matrix = hist.cov

Using this code, I receive the following error while attempting to call covar_matrix.shape[0] (to determine the number of symbols being analyzed):

QuantConnect.Scheduling.ScheduledEventException: In Scheduled Event 'SPY: MonthEnd: SPY: 15 min before MarketClose', ---> System.Exception: AttributeError : 'function' object has no attribute 'shape' ---> Python.Runtime.PythonException: AttributeError : 'function' object has no attribute 'shape'
at Python.Runtime.PyObject.Invoke (Python.Runtime.PyObject[] args) [0x00035] in <945e8bed1d5b4491a3fcef472d4dd5dc>:0
at QuantConnect.Scheduling.ScheduleManager+<>c__DisplayClass15_0.b__0 (System.String name, System.DateTime time) [0x00006] in <08e06e9d6cbe44de803fb98b16360adf>:0
at QuantConnect.Scheduling.ScheduledEvent.OnEventFired (System.DateTime triggerTime) [0x00029] in <08e06e9d6cbe44de803fb98b16360adf>:0
--- End of inner exception stack trace ---
--- End of inner exception stack trace ---

 

Can you help me solve this error and correct the format of the covariance matrix?

Any assistance is greatly appreciated. Thank you!