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Is history called within Initialize(self) ? I believe that is called only once, and maybe putting that into an Alpha Model or some scheduled function would work better.

Thanks for the response. 

Here's what I'm trying:

class BetaAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 1, 1)   # Set Start Date
        self.SetEndDate(2015, 1, 2)     # Set End Date
        self.SetCash(100000)             # Set Strategy Cash

        self.symbols = [self.AddEquity(ticker).Symbol
            for ticker in ['SPY', 'GLD'] ]  

        self.m = len(self.symbols)
        # Benchmark
        self.benchmark = Symbol.Create('SPY', SecurityType.Equity, Market.USA)

        # Set number days to trace back
        self.lookback = 300

        # Schedule Event: trigger the event at the begining of each month.
        self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]),
                         self.TimeRules.AfterMarketOpen(self.symbols[0]),
                         self.Rebalance)

    def Rebalance(self):

        # Fetch the historical data to perform the linear regression
        history = self.History(
            self.symbols, 
            self.lookback,
            Resolution.Daily).close.unstack(level=0)

        prices = pd.DataFrame.ewm(history, span = self.lookback).as_matrix(self.symbols)
     

When I look at the history history object, its blank.

The code should be working, so I think there might be something going on under the hood with how events are scheduled in Initialize. Can you try increasing the end date (say a week) and see if it is still empty?

Hi Arun Quant ,

I ran the algorithm from your code snippet and there is data in the history request (line 27).

Thanks Alexandre and Adam! I need to debug some more.