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Hemanto Bairagi INVESTOR

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Hi so I'm pretty new to this (I'm still in school using the summer covid break to try my hand at some trading strategies). So this may be beginner stuff; but I keep running into issues about the helper functions. So I've tried to use a rolling window to go ahead and pump in data from the last 24 hours into a trade bar (the crypto documentation says crypto falls under forex so I used quote bars); however I've run into a runtime error that prevents daily data consolidation...

I was hoping for some help... I'll be looking forward to any assistance.

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Hemanto Bairagi

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Joe Bastulli

8.6k ,

Are you using a trade bar consolidator function? Aslo, could you share your code?

Hemanto Bairagi

2.2k ,

Hi Joe Batsulli, Weird I attached my project; I'll try again though

Hemanto Bairagi

2.2k ,

Joe Bastulli Hey Sorry for not tagging you; forgot to do that, I have attached my project up above tho; thanks for getting to me.

Hemanto Bairagi

2.2k ,

Joe Bastulli

Hi, so the code above is the wrong one... but the project name is right. I don't know whats going on there but I'm copy and pasting the code below

class TachyonQuantumAutosequencers(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2020, 1, 22) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
# self.AddEquity("SPY", Resolution.Minute)

self.AddCrypto("BTCUSD", Resolution.Hour, Market.GDAX)

consolidator = TradeBarConsolidator(24)
consolidator.DataConsolidated += self.OnDailyData
self.SubscriptionManager.AddConsolidator("BTCUSD", consolidator)

self.daily = RollingWindow[QuoteBar](2)
self.window = RollingWindow[QuoteBar](2)

def OnDailyData(self, sender, bar):
self.daily.Add(bar)

# Accessing requested data
def OnData(self, data):
# via a tradebar dictionary (symbol - bar)

## Problem is over here
self.window.Add(data["BTCUSD"])
if not (self.window.IsReady and self.daily.IsReady): return

currBar = self.window[0].Close
yesterdayc = self.daily[1].Close

data.Bars["BTCUSD"].Close

#self.Log(" BTCUSD price {data.Bars["BTCUSD"].Close}" )

self.Log("BTCUSD price: " + str(data.Bars["BTCUSD"].Close))

Hemanto Bairagi

2.2k ,

Joe Bastulli ; I wish I could delete my previous 2 comments; I have finally been able to attach the right code to comment

Joe Bastulli

8.6k ,

from QuantConnect.Data.Market import TradeBar

from datetime import timedelta



class TachyonQuantumAutosequencers(QCAlgorithm):



    def Initialize(self):

        self.SetStartDate(2020, 7, 1)  # Set Start Date

        self.SetCash(100000)  # Set Strategy Cash

        

        # list of symbols we want to trade

        self.symbolList = ["BTCUSD","ETHUSD","LTCUSD","BCHUSD"]

        

        # dictionary to hold rolling window for each symbol

        self.daily = {}

        

        for name in self.symbolList:

            cryptoSymbol = self.AddCrypto(name, Resolution.Daily, Market.GDAX).Symbol

            dailyConsolidator = TradeBarConsolidator(timedelta(days=1))

            dailyConsolidator.DataConsolidated += self.DailyConsolidator

            self.SubscriptionManager.AddConsolidator(cryptoSymbol, dailyConsolidator)

            self.daily[cryptoSymbol] = RollingWindow[float](2)

        

    def DailyConsolidator(self, sender, bar):

        symbol = bar.Symbol

        close = bar.Close

        volume = bar.Volume

        

        # update rolling window

        self.daily[symbol].Add(close)

        

        if not (self.daily[symbol].IsReady): return

        

        self.Debug('{} {}'.format(symbol, close))

    

    # Accessing requested data

    def OnData(self, data):

        pass

Here is one way to use the consolidator. If you are not using intraday data, I would just use the OnData function instead.

Hemanto Bairagi INVESTOR

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