Question on consecutive bars

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edited Jul 30, 2018

I'm new to coding so please bear with me! I'm trying to make a simple test algo that keeps track of the three most recent 5min bars, it's not working the way it should though and I'm not sure why. Here is my code:

close_5m = price_history.resample('5T', closed='right', label='right').last()  

price_list = []  
price_list.append(close_5m)  
print(price_list)  

third_bar = price_list[-1]  
second_bar = price_list[-2]  
first_bar = price_list[-3]

I am getting the error:

IndexError: list index out of range
USER ALGORITHM:21, in handle_data
second_bar = price_list[-2]

I realize that upon the first instance of running def handle_data there is not yet a value for second_bar, how do I get the program to ignore that and just store a value in second_bar once it has an appropriate value after enough time has passed?

3 responses

Kevin Jones

Aug 2, 2018

Just wanted to bump this, no answers yet.

Mathieu M

Aug 2, 2018

As the error depicts, the length of your array "price_list" is < 1. Thus an error is raised because the index -2 doesn't exist.
I can't help more without the full procedure code.

Vladimir

Aug 2, 2018

May be this will help you.

# ---------------------------------------------------------------  
stock, timeframe, timeframe_unit, bars = symbol('SPY'), 5, 'T', 3  
tf_str = str(timeframe) + timeframe_unit  
# ---------------------------------------------------------------  
def initialize(context):  
    for i in range(timeframe, 390, timeframe):  
        schedule_function(trade, date_rules.every_day(), time_rules.market_open(minutes = i))

def trade(context,data):  
    bars_1m = bars * timeframe

    C_1m = data.history(stock, 'price', bars_1m, '1m')  
    C_timeframe_m = C_1m.resample(tf_str, closed ='right', label='right').last().ffill()

    last_bar = C_timeframe_m[-1]  
    second_bar = C_timeframe_m[-2]  
    first_bar = C_timeframe_m[-3]  
    print(round(last_bar, 2), round(second_bar, 2), round(first_bar, 2))

2018-07-30 06:35 PRINT (281.17, 281.47, 281.47)
2018-07-30 06:40 PRINT (281.08, 281.17, 281.47)
2018-07-30 06:45 PRINT (280.87, 281.08, 281.17)
2018-07-30 06:50 PRINT (281.05, 280.87, 281.08)
2018-07-30 06:55 PRINT (280.86, 281.05, 280.87)
2018-07-30 07:00 PRINT (280.93, 280.86, 281.05)
2018-07-30 07:05 PRINT (280.8, 280.93, 280.86)

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