Updating indicators and getting their values for multiple symbols? by Tadas Talaikis

Tadas Talaikis

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Good day, guys, what's the fastest way to update custom indicator(s) and getting their data for multiple symbols? SymbolData(), dictionary/list of values, dynamic objects dictionary? Better I'll ask as seen too many too different things :)

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7 Comments

Michael Handschuh

Hey @Tadas!

I like to define a special SymbolData class inside my algorithm. I used this to hold all the data I want for a particular symbol in a convenient place. It's easy to tack on indicators, functions, and other behavior. Then creating a Dictionary allows for easy lookup.

class SymbolData

{

    public readonly string Symbol;

    public readonly ExponentialMovingAverage Fast;

    public readonly ExponentialMovingAverage Slow;



    public SymbolData(string symbol, QCAlgorithm algorithm)

    {

        Symbol = symbol

        Fast = algorithm.EMA(symbol, 10);

        Slow = algorithm.EMA(symbol, 50);

    };

}



private Dictionary Symbols = new Dictionary();



// in initialize

foreach (var symbol in SymbolList)

{

    AddSecurity(SecurityType.Equity, symbol);

    Symbols.Add(symbol, new SymbolData(symbol, this));

}



// in on data

foreach (var symbolData in Symbols.Values)

{

   if (symbolData.Fast > symbolData.Slow) SetHoldings(symbolData.Symbol, 1.0);

   else Liquidate(symbolData.Symbol);

}

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Jared Broad

Cool idea, never thought of symbol-data like that. @Michael, perhaps a symbol-indicator wrapper is a good candidate to be put on the slice class? slice.Indicators["SPY"].[DotSomething]

Michael Handschuh

@Jared, it would be cool to be able to say:data["SPY"].mavg(7) > data["SPY"].mavg(14)

Tadas Talaikis

82.9k ,

Seems nice, I've just understood algorithm is also an object :)

Still have questions until I'll get that working. How to declare, for example, window indicator?



/.../

        //_window = algorithm ???

/.../

Tadas Talaikis

82.9k ,

Duh, never mind, seems I do too much different things and forget the basics.

Michael Handschuh

@Tadas, apologies for the delay, there currently is no built in helper function to define an automatically updated RollingWindow on QCAlgorithm, but maybe there should be! Consider submitting a feature request to the github issues list!

You could manually define it using code similar to the following:

var consolidator = new TradeBarConsolidator(period);

SubscriptionManager.AddConsolidator("SPY", consolidator);

var window = new RollingWindow(windowSize);

consolidator.DataConsolidated += (sender, tradeBar) => window.Add(tradeBar);

Now everytime the consolidator makes new data it will be pumped into the window! This would also work for indicator values using indicator.Updated event.

Tadas Talaikis

82.9k ,

No problem, @Michael, thank you.

, , edit

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