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Stephen INVESTOR

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Hello!

Quick quesiton on getting a single historical value (for example). Let's say I'm looking for the close of IBM at 2019-05-23 00:00:00. If I use the following code to create the history for this - how can I call that single index via the DataFrame (this is in py) to get this value. It may just be me not knowing much about DataFrames, but it seems like I can't call this via the index.

self.SetStartDate(2019, 5, 24)

self.SetCash(100000)



date1 = datetime.datetime(2019, 5, 23,0,0,0)

self.AddEquity("IBM", Resolution.Minute)

df = self.History(self.Symbol("IBM"), 2880, Resolution.Minute)



#what I thought would work but does not:

self.Log(df.loc[date1,'close'])

Any help would be appreciated! I'm sure I'm doing something silly here.

Best,

Update Backtest

Stephen

Accepted Answer

Update Backtest

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Alexandre Catarino

100.5k Pro ,

Hi Stephen ,

The History request data frame is index by Symbol and datetime, if we want the series with all the columns of a given multi-index:

df1 = df.loc["IBM"].loc[date1]

or if we want the close price of a given datetime:

df2 = df.loc[(slice(None), date1),:].close

Stephen

1.4k Pro ,

Hi Alex!

Thank you, yet again, for one of your responses. But, this doesn't seem to do the trick for the close price. I get the following runtime:

During the algorithm initialization, the following exception has occurred: Trying to retrieve an element from a collection using a key that does not exist in that collection throws a KeyError exception. To prevent the exception, ensure that the 2019-05-23 00:00:00 key exist in the collection and/or that collection is not empty.
at Initialize in main.py:line 13
KeyError : Timestamp('2019-05-23 00:00:00')

But it seems like that timestamp should be within my dataframe from my historical call, so I'm confused still!

import datetime

class HorizontalResistanceProcessor(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2019, 5, 24)  # Set Start Date

        self.SetCash(100000)  # Set Strategy Cash

        

        date1 = datetime.datetime(2019, 5, 23,0,0,0)

        self.AddEquity("IBM", Resolution.Minute)

        df = self.History(self.Symbol("IBM"), 2880, Resolution.Minute)

        self.Log(date1)

        self.Log('-----------')

        df2 = df.loc[(slice(None), date1),:].close





    def OnData(self, data):

        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

            Arguments:

                data: Slice object keyed by symbol containing the stock data

        '''



        # if not self.Portfolio.Invested:

        #    self.SetHoldings("SPY", 1)

Alexandre Catarino

100.5k Pro ,

Hi Stephen ,

The algorithm is trying to get a date/time that is not in the historical data.
Since it is a request for Equity data, we shouldn't expect data at 23:00 since the market is closed.

For all the date/time in a data frame, we can use:
index = df.index.get_level_values('time')

Stephen

1.4k Pro ,

Oh, this makes sense. I was actually looking to attain some pre-market values. Particuarly a 0900 value. Does the history call not have any pre-market available at all?

Alexandre Catarino

100.5k Pro ,

Hi Stephen ,

You can subscribe to data that includes extended market hours:

date1 = datetime.datetime(2019, 5, 23,9,0,0)

symbol = self.AddEquity("IBM", Resolution.Minute, Market.USA, True, 1, True).Symbol

df = self.History(symbol, 2880)

df2 = df.loc[(slice(None), date1),:].close

df2:

symbol            time               

IBM R735QTJ8XC9X  2019-05-23 09:00:00    132.358568

Stephen INVESTOR

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