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I am trying to implement Forex strategies based on multi-time-frame-bars.
The following code
class MultiTimeFrameForexScalping(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2015, 12, 1) #Set Start Date
self.SetEndDate(2015, 12, 5) #Set End Date
self.SetCash(5000) #Set Strategy Cash
self.forexPair = "EURUSD"
self.AddForex(self.forexPair, Resolution.Minute, Market.Oanda)
fiveMinutesConsolidator = TradeBarConsolidator(timedelta(minutes=30))
fiveMinutesConsolidator.DataConsolidated += self.fiveMinutesBarHandler
sixtyMinutesConsolidator = TradeBarConsolidator(timedelta(minutes=60))
sixtyMinutesConsolidator.DataConsolidated += self.sixtyMinutesBarHandler
self.SubscriptionManager.AddConsolidator(self.forexPair, fiveMinutesConsolidator)
self.SubscriptionManager.AddConsolidator(self.forexPair, sixtyMinutesConsolidator)
self.fiveMinutesBars = queue(5)
self.sixtyMinutesBars = queue(5)
def fiveMinutesBarHandler(self, sender, consolidated):
self.fiveMinuteBars.put(consolidated)
def sixtyMinutesBarHandler(self, sender, consolidated):
self.sixtyMinuteBars.put(consolidated)throws
During the algorithm initialization, the following exception has occurred: ArgumentException : Type mismatch found between consolidator and symbol. Symbol: EURUSD does not support input type: TradeBar. Supported types: QuoteBar.
at QuantConnect.Data.SubscriptionManager.AddConsolidator (QuantConnect.Symbol symbol, QuantConnect.Data.Consolidators.IDataConsolidator consolidator) [0x000f5] in <0231d19d68ca47818f527e368535d623>:0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in <b0e1ad7573a24fd5a9f2af9595e677e7>:0
at Initialize in main.py:line 44
Is that the correct way to do something like that? What is wrong with the code?
Rahul Chowdhury
Hey Filib,
FX data is returned as QuoteBars, not TradeBars. This means you must create QuoteBarConsolidators instead of TradeBarConsolidators for your FX data.
fiveMinutesConsolidator = QuoteBarConsolidator(timedelta(minutes=5))
fiveMinutesConsolidator.DataConsolidated += self.fiveMinutesBarHandler
sixtyMinutesConsolidator = QuoteBarConsolidator(timedelta(minutes=60))
sixtyMinutesConsolidator.DataConsolidated += self.sixtyMinutesBarHandler
self.SubscriptionManager.AddConsolidator(self.forexPair, fiveMinutesConsolidator)
self.SubscriptionManager.AddConsolidator(self.forexPair, sixtyMinutesConsolidator)
Filib Uster
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