average true range (ATR) needs high, low, close. I cannot use warmup method I believe as my universe changes every month and sometime everyday. I could not find any example of using the history to initialize the indicator that needs more then one value. Basically, I need the equivalent of the folowing sample code for ATR. Thanks a lot in advance.


 https://www.quantconnect.com/docs/algorithm-reference/indicators#Indicators-Initializing-Indicatorsdef Initialize(self):
self.AddEquity("SPY", Resolution.Hour)
# define a 10-period daily RSI indicator with shortcut helper method
self.rsi = self.RSI("SPY", 10, MovingAverageType.Simple, Resolution.Daily)
# initialize the indicator with the daily history close price
history = self.History(["SPY"], 10, Resolution.Daily)
for time, row in history.loc["SPY"].iterrows():
self.rsi.Update(time, row["close"])