Indicator Extension Help

Hi Taylor,

When we define the identity indicators, we need to specify what data they are subscribed to.

This will ensure that the identity indicators are receiving the proper data. Then we create the ratio.

Thanks Rahul, that was helpful.  I'd also like to try this by using a FRAMA moving average in place of the EMA.  I think the way to do that is by using the IndicatorExtensions.Of extension, but I can't figure out the specifics for initating the FRAMA in that scenario.

Hey Taylor,

FRAMA is incompatible with the data type that is out put by the ratio indicator. The FRAMA indicator is a bar indicator which means it takes bar data to updated, while the ratio is a single value. This means that using IndicatorExtensions.Of(frama, ratio) will return an error.

The other option is to create a FRAMA indicator and manually update it with data

Then using the Updated event handler for the ratio indicator, we can efficiently update the FRAMA indicator.

We still run into the same issue of needing a bar to update the FRAMA indicator. To work around this, we can create a custom bar with the OHLC values we desire.

Best
Rahul

hi Rahul,

The example on Documentation - Home - QuantConnect.com 

pep = Identity("PEP")   # Pepsi ticker
coke = Identity("KO")   # Coke ticker
delta = IndicatorExtensions.Minus(pep, coke)   # Difference between them

seems to contradict your example of Identity above. May I ask which one is or maybe both are correct? Thanks

Hi Ruming Jiang,
Both methods are correct.
 

coke = self.Identity("KO")   # Coke ticker

 The above is the method of QCAlgorithm class, the indicator is created and hooked for an automatic update at Minute Resolution, and the update field is theclose price of the asset (default value). On the other hand, the following statement creates an Identity indicator object using the class construction that needs to be manually updated:
 

coke = Identity('KO')

Best,
Varad Kabade

Hi Varad,

Thank you for your answer. I'm still looking for the right way to find references to avoid basic questions. In this case, the default value of close price was mentioned on Documentation - Home - QuantConnect.com. However, I didn't find the Minute Resolution as default value on that page, nor can I find it at the API document. Where should I look further on this? Thanks

Hi Ruming,
When I was referring to minute resolution, it was about referring to the default value of data subscription for a symbol(AddEquity) which would have been the resolution of the indicator unless specified. We recommend looking at the example code above this section of the docs on indicators for further information. In the examples, there are demonstrations of using basic indicators at the same resolution as source security and using indicators at a different (higher) resolution to the source security.
We are currently in the process of updating to a new version of the documentation
Best,
Varad Kabade

Hi Varad,

Now I finally get where the default minute resolution comes from. Thanks for your patience. 😊

Is daily considered a higher or lower resolution than hourly? From the screenshot below it sounds like higher while in reality less points in a given time period/distances means lower resolution. I guess that's where another confusion comes from.

Hi Ruming

I think Varad means time frame. For resolution, think of an image’s resolution. The higher the resolution, the finer the details you receive.

Cheers
Louis

Hi Louis,

That's what confused me. Daily is lower resolution than hour. In the screenshot example above, the RSI indicator is daily, while the resolution of SPY is hour, thus indicator has lower resolution than the security. It contradicts to what said on the document: 

The indicator resolution can be different from the resolution of your securities data. However, the resolution of the indicator should be equal to or higher than the resolution of your security.

Emm no need to be picky on words, just embrace the meaning😂😂 If subscribe to minute, you can make minute data consolidate into daily, but not vice versa