Hello All, 

I was wondering if someone could help me with this: 

I am trying to create daily consolidated prices (tradebars) rolling windows for a list of tickers, say : ["SPY", "TLT", "BND"]. Would this script do the trick? In the current script, I have two different classes, one for prices rolling windows, and another for the indicator rolling window. After which, I combine two dictionaries containing results of the indicator and prices rolling windows into one dictionary. I feel there should be an easier way of doing that resulting in a cleaner code. 

How can we combine both the price daily rolling windows and the indicator (ADX in this case) daily rolling window in the same class?

Also, Is there a fast way to calculate, let's say, the 3 day high (i.e. the highest price the stock reached in the last 3 days? 

The resolution in this code is hourly, also can be minutes. 

The resolution for the price and indicator rolling windows should be daily. 

Thanks a lot.

 

from collections import defaultdict class MyAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2019,1,1) self.SetCash(100000) self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) tickers = ["SPY", "TLT", "BND"] # Creates empty dictionary to later hold daily Tradebar price rolling windows self.symbolData_window = {} # Creates empty dictionary to later hold ADX daily values self.symbolData = {} for ticker in tickers: self.equity = self.AddEquity(ticker, Resolution.Hour) self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw) self.equity.SetLeverage(1.0) symbol_window = self.equity.Symbol symbol = self.equity.Symbol # Consolidating lower resolution data into daily data for daily rolling windows consolidator_daily = TradeBarConsolidator(timedelta(days = 1)) consolidator_daily.DataConsolidated += self.OnDailyData self.SubscriptionManager.AddConsolidator(symbol_window, consolidator_daily) # Creating symbol data for respective symbol self.symbolData_window[symbol_window] = SymbolData_window(self, symbol_window) # Creates daily ADX rolling windows self.symbolData[symbol] = SymbolData(self, symbol) self.SetWarmUp(100) # Adding daily bar data to 4, 3, 2 etc.. rolling windows def OnDailyData(self, sender, bar): self.symbolData_window[bar.Symbol].window4.Add(bar) self.symbolData_window[bar.Symbol].window3.Add(bar) self.symbolData_window[bar.Symbol].window2.Add(bar) def OnData(self, data): for symbol, value in self.symbolData.items(): if not data.ContainsKey(symbol.Value): return for symbol, value in self.symbolData_window.items(): if not data.ContainsKey(symbol.Value): return for symbol, value in self.symbolData_window.items(): value.window4.Add(data[symbol.Value]) value.window3.Add(data[symbol.Value]) value.window2.Add(data[symbol.Value]) if self.IsWarmingUp: return # ADX rolling window ready if not all([symbol.IsReady for symbol in self.symbolData.values()]): return # Merging both dictionaries for ADX and daily rolling windows together on same key: self.symbolData_combined = defaultdict(list) for d in (self.symbolData, self.symbolData_window): for key, value in d.items(): self.symbolData_combined[key].append(value) for symbol, value in self.symbolData_combined.items(): if value[1].window4[0].High > value[1].window4[1].High > value[1].window4[2].High > value[1].window4[3].High and value[0].adxWindow[0] > value[0].adxWindow[1]: self.SetHoldings(symbol, 1/3) else: if self.Portfolio[symbol].Invested == True: self.Liquidate(symbol) class SymbolData: def __init__(self, algorithm, symbol): self.algorithm = algorithm self.symbol = symbol # Defining indicator (ADX in this case) self.adx = algorithm.ADX(symbol, 14, Resolution.Daily) # Defining rolling window to hold indicator points self.adxWindow = RollingWindow[IndicatorDataPoint](2) # Setting event handler self.adx.Updated += self.OnAdxUpdated def OnAdxUpdated(self, sender, updated): if self.adx.IsReady: # Adding updated indicator data (ADX data) to rolling window self.adxWindow.Add(updated) @property def IsReady(self): return self.adx.IsReady and self.adxWindow.IsReady class SymbolData_window: def __init__(self, algorithm, symbol): self.algorithm = algorithm self.symbol = symbol self.window4 = RollingWindow[TradeBar](4) self.window3 = RollingWindow[TradeBar](3) self.window2 = RollingWindow[TradeBar](2)