I am running the attached code trying to implement look back and holding from section 10, 7 of the momentum course.
I wanted to get live data so I started off by writing code to get the SPI (Aus).
However unless I put end() at the end of the function it keeps on looping and end() stops all execution.
What can I do to make it just get the prices once so I can use the data further down when I add the code from section 10, 7.
Code below:
06_find_lookback_and_holding.py
############### HEADERS #######################
# Import numpy as an alias np
import numpy as np
# Import pandas as an alias pd
import pandas as pd
# Import compute_Hc package from hurst library
from hurst import compute_Hc
# Import compute_Hc package from hurst library
from hurst import random_walk
# Import matplotlib as an alias plt and set the style
#import matplotlib.pyplot as plt
#plt.style.use('seaborn-darkgrid')
################ BODY ######################
#### GET THE DATA
def initialize(context):
context.security = superSymbol(secType='FUT', symbol='SPI', currency='AUD', exchange='SNFE', primaryExchange='SNFE', multiplier='25', expiry='20200917')
def handle_data(context, data):
print ('Historical Data of %s' % (str(context.security, ),))
hist = request_historical_data(context.security, '1 day', '5 Y')
#print(hist)
print(hist.iloc[-1]['close'])
prices = hist['close']
# Set the index to datetime
prices.index = pd.to_datetime(prices.index)
print(prices)