Every 30 minutes, a scheduling function is called to execute the function "open_positions" which trades based on target percentage.
Inside open_positions, I would like to obtain historical 30 minutes frequency of past, say, 50 data points to analyze and calculate to come up with the list of weights. So essentially, I would like to create a list of list (or vector> equivalent in python) like a matrix, in which rows are securities ID and the columns are in chronologically more recent closing prices of the corresponding securities.
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import AverageDollarVolume
from quantopian.pipeline.filters import Q1500US
def initialize(context):
context.securities = [sid(24),sid(114)]
for i in range(1,300,30):
schedule_function(open_positions,date_rules.every_day(),time_rules.market_open(minutes=i))
def open_positions(context, data):
##
hist = data.history(context.securities,'close',50,'30m')
##
print hist
for i in context.securities:
order_target_percent(i,0.2)
So my understanding is that hist will now be a list of list in which columns are securities and rows are closing prices. But it says '30m' frequency is not valid.
