IndexError in is_overbought_or_oversold()

[mbronckers]

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I get an index error while trying to run the main.py related to the last_prices_a & last_prices_b:

High-Frequency-Trading-Model-with-IB/test/models/hft_model_1.py", line 208, in is_overbought_or_oversold last_price_b = self.df_hist[symbol_b].dropna().values[-1] IndexError: index -1 is out of bounds for axis 0 with size 0

related to line 208:

def is_overbought_or_oversold(self):
		[symbol_a, symbol_b] = self.symbols

		last_price_a = self.df_hist[symbol_a].dropna().values[-1]
		last_price_b = self.df_hist[symbol_b].dropna().values[-1]

		expected_last_price_a = last_price_b * self.beta

		is_overbought = last_price_a < expected_last_price_a  # Cheaper than expected
		is_oversold = last_price_a > expected_last_price_a  # Higher than expected

Any thoughts or help would be appreciated. Thanks.

[chicago-joe]

@mbronckers I think this might be occurring because of the contract type.

In your main.py, are you trading Forex contracts? Try using stock contracts instead:

main.py

if __name__ == '__main__':
	TWS_HOST = os.environ.get('TWS_HOST', '127.0.0.1')
	TWS_PORT = os.environ.get('TWS_PORT', 4002)

	print('Connecting on host:', TWS_HOST, 'port:', TWS_PORT)

	model = HftModel1(
		host=TWS_HOST,
		port=TWS_PORT,
		client_id=1,)

	to_trade = [
		('SPY', Stock('SPY','SMART','USD')),
		('QQQ', Stock('QQQ','SMART','USD')),]

	model.run(to_trade=to_trade, trade_qty=100) 

I can't be 100% certain, but I'm not getting your index error anymore. I still can't run the code because I removed all my market data subscriptions, but the error I have now is just:

Error 162, reqId 321: Historical Market Data Service error message: No market data permissions for AMEX STK, contract: Stock(symbol='SPY', exchange='SMART', currency='USD')

This is to be expected. If I had a market data sub, this code should run correctly.

[chicago-joe]

ALTERNATIVE SOLUTION (if you're still receiving the out-of-bounds indexing error):

The easiest way to fix the problem is to change the array. Your code is trying to get the last price (i.e. T-1) but the array position [-1] does not exist.

I found a workaround in an earlier release, but it has been months since I've touched that code.

Take a look at lines 276 - 358 of this file.

The mathematics might seem a little complex, but you should be able to understand how the array of stock prices is indexed and referenced.

Feel free to reach out if you need help!

[SC4RECOIN]

Same as https://github.com/jamesmawm/High-Frequency-Trading-Model-with-IB/issues/18