public override void Initialize()
{
SetStartDate(2013, 10, 07);
SetEndDate(2013, 10, 11);
SPY = AddEquity("SPY", Resolution.Minute).Symbol;
// define indicators on SPY daily closing prices
SPY_Close = Identity(SPY, Resolution.Daily);
SPY_Close_EMA10 = SPY_Close.EMA(10);
SPY_Close_EMA50 = SPY_Close.EMA(50);
// each time an indicator is updated, push the value into our history rolling windows
SPY_Close.Updated += (sender, args) =>
{
// each time we receive new closing price data, push our window to the object store
SPY_Close_History.Add(args);
};
SPY_Close_EMA10.Updated += (sender, args) => SPY_Close_EMA10_History.Add(args);
SPY_Close_EMA50.Updated += (sender, args) => SPY_Close_EMA50_History.Add(args);
if (ObjectStore.ContainsKey(SPY_Close_ObjectStore_Key))
{
// our object store has our historical data saved, read the data
// and push it through the indicators to warm everything up
var values = ObjectStore.ReadJson <IndicatorDataPoint[]>(SPY_Close_ObjectStore_Key);
Debug($"{SPY_Close_ObjectStore_Key} key exists in object store. Count: {values.Length}");
foreach (var value in values)
{
SPY_Close.Update(value);
}
}
else
{
Debug($"{SPY_Close_ObjectStore_Key} key does not exist in object store. Fetching history...");
// if our object store doesn't have our data, fetch the history to initialize
// we're pulling the last year's worth of SPY daily trade bars to fee into our indicators
var history = History(SPY, TimeSpan.FromDays(365), Resolution.Daily);
foreach (var tradeBar in history)
{
SPY_Close.Update(tradeBar.EndTime, tradeBar.Close);
}
// save our warm up data so next time we don't need to issue the history request
var array = SPY_Close_History.Reverse().ToArray();
ObjectStore.SaveJson(SPY_Close_ObjectStore_Key, array);
// Can also use ObjectStore.SaveBytes(key, byte[])
// and to read ObjectStore.ReadBytes(key) => byte[]
// we can also get a file path for our data. some ML libraries require model
// weights to be loaded directly from a file path. The object store can provide
// a file path for any key by: ObjectStore.GetFilePath(key) => string (file path)
}
}