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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.
Joe Bastulli
Are you using a trade bar consolidator function? Aslo, could you share your code?
Hemanto Bairagi
Hi Joe Batsulli, Weird I attached my project; I'll try again though
Hemanto Bairagi
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
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
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
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): passHere is one way to use the consolidator. If you are not using intraday data, I would just use the OnData function instead.
Hemanto Bairagi
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