Fix warming up bug in Stochastic indicator #8422
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Martin-Molinero
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jhonabreul
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jhonabreul
jhonabreul
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Nov 27, 2024
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| var symbols = new[] { symbol }; | ||
| CheckPeriodBasedHistoryRequestResolution(symbols, resolution, null); | ||
| historyRequest = CreateBarCountHistoryRequests(symbols, periods, resolution, dataNormalizationMode: GetIndicatorHistoryDataNormalizationMode(indicator)).Single(); | ||
| return GetSlicesFromHistoryRequests(historyRequest); |
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Using the History() API might be enough, if you only need the request end time you could use QCAlgorithm.Time or UtcTime and convert it to the security's time zone to do the final consolidator scan
| RegisterIndicator(_spy, _rsiHistory, dailyConsolidator); | ||
| RegisterIndicator(_spy, _stoHistory, dailyConsolidator); | ||
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| var history = History(_spy, 15, Resolution.Daily); |
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nit - for clarity, might use Max(_rsi.WarmupPeriod, _sto.WarmupPeriod) instead of 15. And then tp update the indicators might use something like history.TakeLast(indicator.WarmupPeriod)
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Description
When a stochastic indicator was registered with a consolidator whose resolution differed the symbol one, the method
QCAlgorithm.WarmUpIndicator()failed warming it up. SincePeriodCountConsolidatorBaseclass was used, it skipped the last bar from history, so the indicator received onlyWarmingUpPeriod - 1points. Thus, the indicator was left unready. Following the pattern ofRelativeStrenghtIndexindicator, I increasedStochastic.WarmUpPeriodby one to solve this bug. I also added unit and regression tests to cover these changes.Related Issue
Closes #8405
Motivation and Context
With this change, Stochastic indicators registered with different resolution consolidators, will be warmed up by
QCAlgorithm.WarmUpIndicator()Requires Documentation Change
N/A
How Has This Been Tested?
Since I increased Stochastic's WarmUpPeriod by one, I had to update the unit test
StochasticTestsWarmsUpProperly(). On the other hand, as a regression algorithm, I added the algorithm shared by the user reproducing the bug and asserted the bug was solved.Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>