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Easily converting history dataframe to series of slice objects?

Hello,

I'm new to Quantconnect and I'm wondering if there is a built in function to convert the pandas Dataframe returned from the history(symbol) function into a series/list of slice objects? If not, what's the easiest way to do that?

Thank you in advance

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Hi Jf,

There is no built-in way to convert dataframes to slice objects. Slice objects are essentially containers for TradeBar, QuoteBar, OptionChain, etc data. So, instead of converting our dataframe into a slice object, we can convert it into the datatype we need.

For example, we can create a TradeBar using data from the history dataframe.

history = algorithm.History(symbol, period, Resolution.Daily)
for bar in history.itertuples():
tradebar = TradeBar(bar.Index[1], symbol, bar.open, bar.high, bar.low, bar.close, bar.volume)

Learn more about the data types in Lean in theĀ documentation.

Best
Rahul

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks a lot, that is exactly what I was looking for! I didn't know one can create a TradeBar just by that constructor...

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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