I am implementing a custom alpha model in python and need to warm up the indicators for securities added to the universe. For indicators that accept the Update function with the signature (index, decimal) this works great:
for tuple in history.loc[ticker].itertuples():
ema.Update(tuple.Index, tuple.close)
How to do the same thing for indicators that only accept bars, like AverageTrueRange??
Where to get the Bar instance from?
Thanks
Arthur Asenheimer
Hi Manuel,
you can create Trade Bars by using the TradeBar constructor . Here an example how to do so for a rolling window of trade bars (can be applied in an analogous fashion to Indicators) :
rolling_window = RollingWindow[TradeBar](size)
for tuple in history.loc[ticker].itertuples():
tradebar = TradeBar(tuple.Index, symbol, tuple.open, tuple.high, tuple.low, tuple.close, tuple.volume)
rolling_window.Add(tradebar)
Note: symbol should be the actual QC Symbol object (not the string).
Manuel Blum
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