How to get the low price, closing price, and high price of a given week?

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Hello,

I have an algorithm that I trade futures manually with but am having difficulty getting it into code. Any help getting the closing price, high and low of an entire week?

At the end of each week I gather the low, close, and high of the week for a given asset or stock. (i.e Soybean futures)
For example, if at the end of this current week, Soybeans trade higher than the high of last week, and close below the close of last week. I will short them.

Any help? Thank you so much! Any help would be greatly appreciated.

5 responses

Alisa Deychman

We don't have futures on the platform, but we're working to include them: https://www.quantopian.com/posts/futures-are-coming-to-quantopian

You can try your idea using US equities. To make it easier, use schedule_function to get the OHLCV prices for the week. Here is a basic example:

def initialize(context):  
   schedule_function( ohlcv,  
                                           date_rules.week_end()  
                                          )  
    context.stock = sid(24)  #AAPL

def ohlcv(context,data):  
    weekly_high = max(history(5, '1d', 'high'))  
    weekly_low = min(history(5, '1d', 'low'))  
    close_prices = history(5, '1d', 'price')  #gives close price for the last 5 days for all stocks in the algo

Take a look at this documentation of the history function and tutorial. These will be helpful for you to get started.

And here is a similar thread to your question, maybe you can leverage some of the code: https://www.quantopian.com/posts/help-intraday-backtest-how-to-get-highest-high-of-today-and-yesterday

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Lincoln Samelson

Thank you so much! However, it's saying "Error Algorithm must implement handle_data(context, data) method."

Also, when I print weekly_high. It just prints, "2015-07-06PRINTEquity(24 [AAPL])" no value.

Alisa Deychman

Ah yes, each algo on Quantopian is required to have an initialize() and handle_data() method. (You can see our help doc for more details).

Here is the udpated skeleton (note that it doesn't have any orders or advanced logic, it's merely getting the weekly high, weekly low, and 5 day close prices)

def initialize(context):  
   schedule_function(ohlcv, date_rules.week_end())  
   context.stock = sid(24)  #AAPL  
def handle_data(context,data):  
    pass

def ohlcv(context,data):  
    weekly_high = max(history(5, '1d', 'high'))  
    weekly_low = min(history(5, '1d', 'low'))  
    close_prices = history(5, '1d', 'price')  #gives close price for the last 5 days for all stocks in the algo

Disclaimer

Lincoln Samelson

Thanks again. If I wanted to print out the weekly_high and weekly_low, how would I do that?

Using
print weekly_high doesn't work. It prints out 2015-07-10 PRINT Equity(24 [AAPL])

Alisa Deychman

Hi Lincoln,

Give this a shot:

def initialize(context):  
   schedule_function(ohlcv, date_rules.week_end())  
   context.stock = sid(24)  #AAPL  
def handle_data(context,data):  
    pass

def ohlcv(context,data):  
    weekly_high = history(5, '1d', 'high')  
    weekly_low = history(5, '1d', 'low')  
    close_prices = history(5, '1d', 'price')  #gives close price for the last 5 days for all stocks in the algo  

    # gives the date of the weekly high  
    print weekly_high.idxmax()[0]  
    #give the value (price) of weekly high  
    print weekly_high.max()[0]

To learn more about the structure of the data, try googling "pandas dataframe max values" or other terms about pandas manipulations. It's a powerful tool!

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