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I have defined a time frame ( from 2:05 - 16:05 US EST every day ) where new orders would be placed as follows:
from datetime import datetime
class MovingAverageCrossAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetTimeZone("US/Eastern")
def trading(self,now):
start = now.replace(hour=2, minute=5, second=0, microsecond=0)
end=now.replace(hour=16, minute=5, second=0, microsecond=0)
if now >start and now<end:
return 'start trading'
else:
return 'stop trading'
def OnData(self, data):
now =datetime.now()
if self.trading(now)=='start trading':
..... # code to place ordershowever when I run backtesting, the trades were executed outside the timeframe :
2020-01-01 00:00:00 : Launching analysis for 8882d05317bc8af1323bc8db439be288 with LEAN Engine v2.4.0.0.102912020-01-01 20:51:00 : Warning: To meet brokerage precision requirements, order LimitPrice was rounded to 0.70159 from 0.70158526834995232020-01-01 20:51:00 : SELL <<0.701382020-02-28 05:54:00 : Warning: Due to brokerage limitations, orders will be rounded to the nearest lot size of 12020-02-28 05:54:00 : Warning: To meet brokerage precision requirements, order LimitPrice was rounded to 0.65231 from 0.65231385711152832020-02-28 05:54:00 : SELL <<0.6513252020-03-03 07:40:00 : Warning: To meet brokerage precision requirements, order LimitPrice was rounded to 0.65657 from 0.65657049347428362020-03-03 07:40:00 : BUY >> 0.6568052020-03-08 21:49:00 : Warning: To meet brokerage precision requirements, order LimitPrice was rounded to 0.65809 from 0.65808808997083292020-03-08 21:49:00 : SELL <<0.6520752020-03-09 10:06:00 : Warning: To meet brokerage precision requirements, order LimitPrice was rounded to 0.66106 from 0.66106384668347162020-03-09 10:06:00 : BUY >> 0.6618952020-03-09 21:59:00 : Warning: To meet brokerage precision requirements, order LimitPrice was rounded to 0.65746 from 0.65746495935046932020-03-09 21:59:00 : SELL <<0.656622020-03-17 02:47:00 : Warning: To meet brokerage precision requirements, order LimitPrice was rounded to 0.60838 from 0.6083820927482482
Can you please clarify what time zone are the orders execution time displayed in backtest logs and what might be wrong with my code setting up the time frame ?
Any assistance would be appreciated!
Gloria ZUO
This case can be closed. Issue resolved thanks.
Gloria ZUO
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