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Hello. I've searched everywhere and could not find how to operate with ticks.
I'd like to know how to get current tick data (I need Ask and Bid price) called and debugged to console each time an event is triggered (each hour for example)
1) Do I need to set the resolution of my security to Tick?
2) If I set it for an hour - I will get ticks for an hour or not?
3) Should there be an event Ondata(self, slice)?
I'm sorry for too many questions but the tick topic is not covered in any tutorials or bootcamps. Just a quick walkthrough.
Ivan Baev
class QuantumResistanceRadiator(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 6, 18) # Set Start Date self.SetCash(100000) # Set Strategy Cash # self.AddEquity("SPY", Resolution.Minute) self.AddForex("USDCAD", Resolution.Tick, Market.FXCM ) def OnData(self, slice): if self.Time.Hour == 12: self.Debug("Tick ASK:"+ tick.AskPrice ) '''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 ''' def OnOrderEvent(self, event): return # if not self.Portfolio.Invested: # self.SetHoldings("SPY", 1) def OnSecuritiesChanged(self, securities): self.SetHoldings("USDCAD", 1) self.Debug(self.Securities("USDCAD").CurrentPrice)Ivan Baev
Okay. If anyone encounters this issue,
1) In Initialize you need to introduce a Consolidator
2) Resolution Should be tick. Your Security resolution does not have to be a tick. It can be hour or else.
self.Consolidate("USDCAD", Resolution.Tick, TickType.Trade, self.OnDataConsolidated)3) Then in OnDataConsolidated def (Self, BAR!!!), you should assing the data to your consolidator bar
def OnDataConsolidated(self, bar): self.tickbar = bar #tickbar is any name for your bar variable return4) Then you can access your Ask or Bid prices using the Ask.Open, Bid.Close its parameters
self.Debug(str(self.tickbar.Bid.Close))5) Don't forget to introduce your variable before Initialize and set it to none. Also it is a good thing to check if it is not None before doing anything.
6) If you wonder what kind of data does your bar store - just debug or log your bar.
I hope it helps someone like me next time. Case closed!
Ivan Baev
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