Hi all,
I'm attempting to obtain BollingerBand's UpperBand and LowerBand properties from an IndicatorDataPoint object provided by the update method of my consolidator. I've tried a number of approaches, and perhaps this is due to my shortcomings with Python, but haven't had any luck obtaining these properties from BollingerBands.
The error I get is:
AttributeError : 'IndicatorDataPoint' object has no attribute 'UpperBand'
I would greatly appreciate guidance, or if this is possible. Thanks in advance.
class BBConsolidatorTest(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 5, 1)
self.SetEndDate(datetime.now())
self.SetCash(1000000)
future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Tick)
future.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen())
self.symbol = None
self.consolidators = dict()
self.quoteBarWindow = RollingWindow[QuoteBar](100)
self.BBIndicator = BollingerBands(12, 2, MovingAverageType.Simple)
self.BBIndicator.Updated += self.BBUpdated
self.BBWindow = RollingWindow[IndicatorDataPoint](4)
def OnDataConsolidated(self, sender, quoteBar):
self.Debug(str(self.BBWindow[0].UpperBand.Value))
self.Debug(str(self.BBWindow[0].LowerBand.Value))
def OnData(self, slice):
return
def BBUpdated(self, sender, updated):
self.BBWindow.Add(updated)
def OnSecuritiesChanged(self, changes):
if len(changes.RemovedSecurities) > 0:
if self.symbol is not None and self.consolidator is not None:
self.SubscriptionManager.RemoveConsolidator(self.symbol, self.consolidator)
self.BBIndicator.Reset()
self.symbol = changes.AddedSecurities[0].Symbol
# Create a new consolidator and register the indicators to it
consolidator = TickQuoteBarConsolidator(900)
consolidator.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator(self.symbol, consolidator)
self.consolidators[self.symbol] = consolidator
self.RegisterIndicator(self.symbol, self.BBIndicator, consolidator)
Derek Melchin
Hi Earthman,
The objects stored in BBWindow are of type IndicatorDataPoint. This class does not have an UpperBand property. We need to create two RollingWindows if we want to access the historical upper and lower band values for this indicator. View the attached backtest for an example.
Best,
Derek Melchin
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Earthman
Ah yes, wondered if this was the best practice. This does nicely. Thanks for the help.
Earthman
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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