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Object not callable

https://snipboard.io/D6Buzd.jpg

Is anybody aware of what causes such a bug? it always appears suddenly while running my backtest, and I've never been able to complete my backtest. 

 

 

Code

 

import pandas as pd

from functools import partial

from QuantConnect.Securities.Option import OptionPriceModels



class ParticleCalibratedCoil(QCAlgorithm):



def Initialize(self):



'''

Parameters for adjusting

'''

self.numberOfLiquidStocks = 100 # Controls the number of stocks in play





'''

Backtesting variables

'''

self.SetStartDate(2018, 1, 1)

self.SetEndDate(2020, 1, 1)

self.SetCash(1000000)



'''

Algorithm variables

'''

self.UniverseSettings.Resolution = Resolution.Minute

self.AddUniverse(self.CoarseSelectionFilter)

self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw



self.indicators = {}

self.rankingOfAbsoluteIV = []



self.dayCounter = 0

self.Schedule.On(self.DateRules.EveryDay(), \

self.TimeRules.At(9, 40), \

self.EveryDayAfterMarketOpen)



def CoarseSelectionFilter(self, coarse):

'''

1. Sorts each element of the coarse object by dollar volume

2. Returns a list of coarse object, limited to top 100 highest volume

3. Returns a list of symbols we want to initialise into the algorithm

'''



self.sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)

self.topHundredMostLiquid = self.sortedByDollarVolume[:self.numberOfLiquidStocks]



return [stock.Symbol for stock in self.topHundredMostLiquid]



def OnSecuritiesChanged (self,changes):



for underlying in changes.AddedSecurities:

if underlying.Symbol.SecurityType != SecurityType.Equity: continue

option = self.AddOption(underlying.Symbol.Value, Resolution.Minute)

option.SetFilter(-5, +2, timedelta(30), timedelta(60))

option.PriceModel = OptionPriceModels.CrankNicolsonFD()





if not underlying.Symbol.Value in self.indicators:

self.indicators[underlying.Symbol.Value] = {"Volatility": self.STD(underlying.Symbol.Value, 240, Resolution.Daily)}

self.indicators[underlying.Symbol.Value]["CloseWindow"] = self.SMA(underlying.Symbol.Value, 1, Resolution.Daily)



# Warm up STD indicator

history = self.History([underlying.Symbol], 240, Resolution.Daily).loc[underlying.Symbol]

for idx, row in history.iterrows():

self.indicators[underlying.Symbol.Value]['Volatility'].Update(idx, row['close'])



for underlying in changes.RemovedSecurities:

self.RemoveSecurity(underlying.Symbol)

for symbol in self.Securities.Keys:

if symbol.SecurityType == SecurityType.Option and symbol.Underlying == underlying.Symbol:

self.RemoveSecurity(symbol)





def OnData(self, slice):



for chain in slice.OptionChains.Values:



# Filter for the first ATM contract

if chain.Contracts.Count < 1:

continue



atmContract = sorted(chain, key = lambda x: abs(x.UnderlyingLastPrice - x.Strike))[0]



impliedVolatility = atmContract.ImpliedVolatility

underlyingSymbol = atmContract.UnderlyingSymbol.Value

if self.indicators[underlyingSymbol]["Volatility"].IsReady:

self.Debug((underlyingSymbol, self.indicators[underlyingSymbol]["Volatility"].current.Value))



def EveryDayAfterMarketOpen(self):

self.dayCounter += 1

self.Debug(f"This is day {self.dayCounter} at {self.Time}")

 

Update Backtest







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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.


You might be calling your history wrong. Try this 

history = self.History(self.symbols, self.lookback + 1, Resolution.Daily)

I'm not an expert but the line 67 in your picture that says ".loc[underlying.Symbol] doesn't look right to me. 

I think if you are trying to list the history data then it should be something like this afterwards 

self.prices_y[underlying] = list(history.loc[underlying.Value]['open'])[1:]

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Update Backtest





0

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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