Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
import clr
clr.AddReference("System")
clr.AddReference("QuantConnect.Algorithm")
clr.AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from System.Drawing import Color

import numpy as np
import datetime

class ExtendedHoursIndicators(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2018, 10, 14) 
        self.SetEndDate(2019, 1, 2)
        self.spy = self.AddEquity("SPY", fillDataForward=True, extendedMarketHours=True)
        self.symbol = self.spy.Symbol
        self.spy.SetDataNormalizationMode(DataNormalizationMode.Raw)
        self.outputHistory = []
        self.consolidatorWide = TradeBarConsolidator(timedelta(hours=2))
        self.SubscriptionManager.AddConsolidator(self.symbol, self.consolidatorWide)
        self.consolidatorWide.DataConsolidated += self.WideBarHandler
##--def Initialize(self):--#####################################################

 
 
    def WideBarHandler(self, sender, consolidated):
        self.outputHistory.append(consolidated.Close)
        if consolidated.Time.year >= 2019:
            dev = np.std(self.outputHistory[-7:-1])
            self.Debug("Length: " + str(len(self.outputHistory)))
            self.Debug("Dev: " + str(dev))
##--def WideBarHandler(self, sender, consolidated):--###########################