Contract Symbol not getting subscribed when consolidating

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Hello, I am new to QuantConnect and am running into an error that I can't figure out:

"Runtime Error: ArgumentException : Please subscribe to this symbol before adding a consolidator for it. Symbol: GC27V21
at QuantConnect.Data.SubscriptionManager.AddConsolidator(Symbol symbol, IDataConsolidator consolidator) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Data/SubscriptionManager.cs:line 156
at QuantConnect.Data.SubscriptionManager.AddConsolidator(Symbol symbol, PyObject pyConsolidator) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Data/SubscriptionManager.cs:line 184
at ConsolidateFuture
self.SubscriptionManager.AddConsolidator(contract.Symbol in main.py: line 165 (Open Stacktrace)"

As you can see I am adding a list of futures in the Initialize method and filtering them by front month. Currently I just have one future being used in the list for testing.

class FiveOneFractalBreakoutCopy(QCAlgorithm):
    consolidator_by_symbol = {}
    
    @property
    def tickers(self):
        metals = [
            Futures.Metals.Gold,
            #Futures.Metals.Silver,
            #Futures.Metals.Platinum,
            #Futures.Metals.Palladium,
            #Futures.Metals.Copper,
        ]

        tickers = metals

        return tickers

    def Initialize(self):
        self.SetStartDate(2021, 9, 15)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        from future_set_up import FutureSetUp
        newFutureSetUp = FutureSetUp(self)
        self.SetSecurityInitializer(newFutureSetUp.OpenInterestSecurityInitializer)
        universe: typing.Dict[str, Future] = {s: self.AddFuture(s, Resolution.Minute) for s in self.tickers}
        [future.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen()) for future in universe.values()]
        
        #gc = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)
        #gc.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen())
        #self.Consolidate(gc.Symbol, timedelta(minutes=5), self.OnDataConsolidated)

In the ConsolidateFuture() method I am trying to consolidate the front month contract. When debugging the first front month contract that runs it works perfectly, but once there is a new front month contract later in time it gives me that error.

def OnDataConsolidated(self, bar):
        #5M DATA SETUP
        self.liquidContract = self.liquidContractFive
        
        if self.liquidContract is None:
            return
        self.bar = bar
        self.longTradeBarWindow.Add(self.bar)
        if not self.longTradeBarWindow.IsReady:
            return
        from consolidated_fractals import ConsolidatedFractals
        newConsolidatedFractals = ConsolidatedFractals(self)
        
        #5M UP-FRACTAL FORMULA
        self.FiveUp = newConsolidatedFractals.UpFractalFormula()
        
        #5M DN-FRACTAL FORMULA
        self.FiveDown = newConsolidatedFractals.DownFractalFormula()
        
        #SET SUPPORT, RESET NON-DIRECTIONAL STATUS
        self.support = newConsolidatedFractals.SetSupport(self.FiveUp)
        #SET RESISTANCE, RESET NON-DIRECTIONAL STATUS
        self.resistance = newConsolidatedFractals.SetResistance(self.FiveDown)
            
        if self.support is None:
            return
        if self.resistance is None:
            return
        
        if self.partial_exit_fill_safety_long is True and self.Securities[self.liquidContract].Low <= self.	partial_fill_liq_price:
            self.Liquidate(self.liquidContract)
            self.partial_exit_fill_safety_long = False
            self.partial_fill_liq_price = None
            
        if self.partial_exit_fill_safety_short is True and self.Securities[self.liquidContract].Low >= self.partial_fill_liq_price:
            self.Liquidate(self.liquidContract)
            self.partial_exit_fill_safety_short = False
            self.partial_fill_liq_price = None
        
        #SET BULLISH DIRECTIONAL STATUS
        if self.Securities[self.liquidContract].Close > self.resistance:
            self.breakout = True
        
        #SET BEARISH DIRECTIONAL STATUS
        if self.Securities[self.liquidContract].Close < self.support:
            self.breakdown = True
            
            
    def FiveMinuteHandler(self, sender, bar):
        # Bar period is now 5 min from the consolidator above.
        self.Debug(str(bar.EndTime - bar.Time) + " " + bar.ToString())
        pass
            

def ConsolidateFuture(self, contract):
        contractSymbol = contract.Symbol
        contractValue = contract.Symbol.Value
        dailyConsolidator = TradeBarConsolidator(timedelta(minutes=5))
        dailyConsolidator.DataConsolidated += self.FiveMinuteHandler
        self.SubscriptionManager.AddConsolidator(contract.Symbol, dailyConsolidator)
        self.consolidator_by_symbol[contract.Symbol] = dailyConsolidator

    def OnData(self, slice):
        from future_set_up import FutureSetUp
        from quick_window import QuickWindow
        from fractals import Fractals
        
        #Set Contract
        newFutureSetUp = FutureSetUp(self)
        liquidContract = newFutureSetUp.SetContract(slice)
        if(liquidContract == None):
            return
        
        #Make sure Contract is consolidated
        if liquidContract.Symbol not in self.consolidator_by_symbol:
            self.ConsolidateFuture(liquidContract)

If anyone can help me find the solution to this problem that would be awesome!

Thanks

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Hi Isaac,

Analyzing your algo in depth would take some time but here is some basic help:

You cannot call self.SubscriptionManager.AddConsolidator(contract.Symbol, dailyConsolidator) before you call self.AddFuture() on the same symbol. The error is basically telling you that is what you are doing.
Which means this:

if liquidContract.Symbol not in self.consolidator_by_symbol:
self.ConsolidateFuture(liquidContract)

gets executed for “liquidContrat”s on which you are not subscribed (AddFuture has not been called).

You understand your algo certainly better than I do so here it is - make sure that you subscribed to “liquidContrat” BEFORE you call ConsolidateFuture() on it and that particular error will vanish.
An easy fix would be to simply call AddFuture right before ConsolidateFuture but I do not know if it would break something else in your algo, that's the more in-depth analysis I did not do since I believe YOU would know that and you would know how and where to add AddFuture() so it makes all sense.

😊

Cheers,

Fred

def OnSecuritiesChanged(self, changes): for security in changes.AddedSecurities: contractString = str(security.Symbol) # Don't consolidate or add the actual future. if contractString[0] == "/": continue market = contractString.split()[0] # Don't add the same contract twice. if security.Symbol in self.consolidator_by_symbol.keys(): continue # Create list of symbol strings. stringContracts = [] for prevContract in self.consolidator_by_symbol.keys(): stringContracts.append(str(prevContract)) # Only allow one contract per Future to be added. if any(market in s for s in stringContracts): continue # Make check to ensure it's only adding valid contracts. # When converting a symbol to a string the string length is normally 15 characters long for valid contracts. # This check is probably unnecessary. if (len(contractString) > 10): # Set the Rolling Windows for the contract self.symbolData[security.Symbol] = SymbolData() # Consolidate the contract consolidator = QuoteBarConsolidator(timedelta(minutes=5)) consolidator.DataConsolidated += self.OnDataConsolidated self.SubscriptionManager.AddConsolidator(security.Symbol, consolidator) # Add contract consolidator to dictionary self.consolidator_by_symbol[security.Symbol] = consolidator # Add contract to contract list. self.contracts.append(security.Symbol) def OnDataConsolidated(self, sender, quoteBar): from onDataConsolidated import OnDataConsolidated newOnDataConsolidated = OnDataConsolidated(self) newOnDataConsolidated.RunOnDataConsolidated(quoteBar)

class FiveOneFractalBreakoutCopy(QCAlgorithm): consolidator_by_symbol = {} def Initialize(self): self.SetStartDate(2021, 1, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash from future_set_up import FutureSetUp newFutureSetUp = FutureSetUp(self) self.SetSecurityInitializer(newFutureSetUp.OpenInterestSecurityInitializer) self.contracts = [] self.symbolData = dict() for ticker in [ Futures.Metals.Gold, Futures.Energies.CrudeOilWTI, Futures.Metals.Copper, Futures.Energies.NaturalGas, Futures.Indices.NASDAQ100EMini]: future = self.AddFuture(ticker, Resolution.Minute) future.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen()) # VARIABLES & LIST # THESE DICTIONARY NAMES CANNOT CHANGE. THE CUSTOM LIBRARY DEPENDS ON IT... self.rulesDict = {} self.bearFiveDict = {} self.bullFiveDict = {} self.bullOneDict = {} self.bearOneDict = {} self.FiveUpDict = {} self.FiveDownDict = {} self.first_lowDict = {} self.second_lowDict = {} self.first_highDict = {} self.second_highDict = {} #Used to check if the first trade in a thesis was a loser. self.bull_losing_outcomeDict = {} self.bear_losing_outcomeDict = {} #A set of variables used to limit re-entries to only happen once per thesis self.first_position_bullDict = {} self.second_position_bullDict = {} self.first_position_bearDict = {} self.second_position_bearDict = {} #Used for making sure re-entries happen on a new fractal self.entry_minuteDict = {} #DIRECTION VARIABLES self.supportDict = {} self.resistanceDict = {} self.breakoutDict = {} self.breakdownDict = {} # ORDER VARIABLES self.short_stopDict = {} self.second_short_stopDict = {} self.long_stopDict = {} self.second_long_stopDict = {} self.long_entryDict = {} self.second_long_entryDict = {} self.short_entryDict = {} self.second_short_entryDict = {} self.long_exitDict = {} self.second_long_exitDict = {} self.short_exitDict = {} self.second_short_exitDict = {} self.longOrdersDict = {} self.shortOrdersDict = {} self.partial_exit_fill_safety_longDict = {} self.partial_fill_liq_priceDict = {} self.partial_exit_fill_safety_shortDict = {} self.risk_targetDict = {} self.buying_powerDict = {} self.share_sizeDict = {} self.dollar_sizeDict = {} self.max_price_longDict = {} self.max_price_shortDict = {} self.trading_hoursDict = {} self.symbolEntryPriceDict = {} self.symbolStopPriceDict = {} self.symbolExitPriceDict = {} self.longDict = {} self.shortDict = {} self.portfolioAmmount = self.Portfolio.Cash def OnSecuritiesChanged(self, changes): for security in changes.AddedSecurities: contractString = str(security.Symbol) # Don't consolidate or add the actual future. if contractString[0] == "/": continue market = contractString.split()[0] # Don't add the same contract twice. if security.Symbol in self.consolidator_by_symbol.keys(): continue # Create list of symbol strings. stringContracts = [] for prevContract in self.consolidator_by_symbol.keys(): stringContracts.append(str(prevContract)) # Only allow one contract per Future to be added. if any(market in s for s in stringContracts): continue # Make check to ensure it's only adding valid contracts. # When converting a symbol to a string the string length is normally 15 characters long for valid contracts. # This check is probably unnecessary. if (len(contractString) > 10): # Set the Rolling Windows for the contract self.symbolData[security.Symbol] = SymbolData() # Consolidate the contract consolidator = QuoteBarConsolidator(timedelta(minutes=5)) consolidator.DataConsolidated += self.OnDataConsolidated self.SubscriptionManager.AddConsolidator(security.Symbol, consolidator) # Add contract consolidator to dictionary self.consolidator_by_symbol[security.Symbol] = consolidator # Add contract to contract list. self.contracts.append(security.Symbol) def OnDataConsolidated(self, sender, quoteBar): from onDataConsolidated import OnDataConsolidated newOnDataConsolidated = OnDataConsolidated(self) newOnDataConsolidated.RunOnDataConsolidated(quoteBar) def OnData(self, slice): from onData import OnData newOnData = OnData(self) newOnData.RunOnData(slice, "Future") def OnOrderEvent (self, orderEvent): from onOrderEvent import OnOrderEvent newOnOrderEvent = OnOrderEvent(self) newOnOrderEvent.RunOnOrderEvent(orderEvent, "Future") class SymbolData(object): def __init__(self): self.quickTradeBarWindow = RollingWindow[QuoteBar](5) self.longTradeBarWindow = RollingWindow[QuoteBar](5)

Hi Isaac,

Unfortunately for you, I believe you have exacerbated two things:

1- The LEAN code on the Live trading side is different (at least slightly) than the code on the backtesting side.

2- There's a bug in the live trading side which is not present in the backtesting side.

From your error log, there's an exception raised in the LEAN code, in file PeriodCountConsolidatorBase.cs, line 212. That line must be code that raises that exception, and from that code, you can normally understand what happened (sometimes, it takes time 😊).

But here, line 212 is a “{”, which makes no sense that line is reported as the source of the exception (https://github.com/QuantConnect/Lean/blob/bfa58b46928da416321e610800204edb40ef6ecf/Common/Data/Consolidators/PeriodCountConsolidatorBase.cs#L212). It looks like the code on GH is not necessarily 100% identical to the code running on live trading nodes.

From git, I can see that code was done in 2016 and it is specifically handling quote data (well, again, that codes does not seem to be the exact one running live but the live one should not be THAT different).

You should report that to support@quantconnect.com. They will open a ticket on GH and fix it.

Cheers,

Fred

class OnData: def __init__(self, context): self.context = context def RunOnData(self, slice, assetType): portfolioProfitLoss = self.context.Portfolio.TotalProfit if portfolioProfitLoss != 0.0: portfolioQuotient = portfolioProfitLoss / self.context.portfolioAmmount portfolioPercent = portfolioQuotient * 100 if (portfolioPercent <= -3.0): self.context.contracts.clear() # Max loss for each contract. for contract in self.context.contracts: profitLoss = self.context.Portfolio[contract].UnrealizedProfit if (profitLoss != 0.0): quotient = profitLoss / self.context.portfolioAmmount percent = quotient * 100 if percent <= -1.0: self.context.contracts.remove(contract) for self.liquidContract in self.context.contracts: multiplier = None if assetType == "Future": contractString = str(self.liquidContract) market = contractString.split()[0] if market == "GC": multiplier = 10 if market == "NQ": multiplier = 5 if market == "HG": multiplier = 12.5 if market == "NG": multiplier = 10 if market == "CL": multiplier = 10 if not self.liquidContract in self.context.symbolData: continue self.quickTradeBarWindow = self.context.symbolData[self.liquidContract].quickTradeBarWindow if self.quickTradeBarWindow == None: continue if slice.ContainsKey(self.liquidContract): self.quickTradeBarWindow.Add(self.context.CurrentSlice[self.liquidContract]) self.context.symbolData[self.liquidContract].quickTradeBarWindow = self.quickTradeBarWindow if not self.quickTradeBarWindow.IsReady: continue self.openOrders = self.context.Transactions.GetOpenOrders(self.liquidContract) # VARIABLES & LIST self.rules = [] self.longOrders = [] self.shortOrders = [] self.bull_losing_outcome = False self.bear_losing_outcome = False # Get or set correct variable values self.bearFive = self.context.bearFiveDict.get(self.liquidContract) self.bullFive = self.context.bullFiveDict.get(self.liquidContract) self.bullOne = self.context.bullOneDict.get(self.liquidContract) self.bearOne = self.context.bearOneDict.get(self.liquidContract) self.FiveUp = self.context.FiveUpDict.get(self.liquidContract) self.FiveDown = self.context.FiveDownDict.get(self.liquidContract) self.first_low = self.context.first_lowDict.get(self.liquidContract) self.second_low = self.context.second_lowDict.get(self.liquidContract) self.first_high = self.context.first_highDict.get(self.liquidContract) self.second_high = self.context.second_highDict.get(self.liquidContract) self.first_position_bull = self.context.first_position_bullDict.get(self.liquidContract) self.second_position_bull = self.context.second_position_bullDict.get(self.liquidContract) self.first_position_bear = self.context.first_position_bearDict.get(self.liquidContract) self.second_position_bear = self.context.second_position_bearDict.get(self.liquidContract) self.entry_minute = self.context.entry_minuteDict.get(self.liquidContract) self.support = self.context.supportDict.get(self.liquidContract) self.resistance = self.context.resistanceDict.get(self.liquidContract) self.breakout = self.context.breakoutDict.get(self.liquidContract) self.breakdown = self.context.breakdownDict.get(self.liquidContract) self.short_stop = self.context.short_stopDict.get(self.liquidContract) self.second_short_stop = self.context.second_short_stopDict.get(self.liquidContract) self.long_stop = self.context.long_stopDict.get(self.liquidContract) self.second_long_stop = self.context.second_long_stopDict.get(self.liquidContract) self.long_entry = self.context.long_entryDict.get(self.liquidContract) self.second_long_entry = self.context.second_long_entryDict.get(self.liquidContract) self.short_entry = self.context.short_entryDict.get(self.liquidContract) self.second_short_entry = self.context.second_short_entryDict.get(self.liquidContract) self.long_exit = self.context.long_exitDict.get(self.liquidContract) self.second_long_exit = self.context.second_long_exitDict.get(self.liquidContract) self.short_exit = self.context.short_exitDict.get(self.liquidContract) self.second_short_exit = self.context.second_short_exitDict.get(self.liquidContract) self.partial_exit_fill_safety_long = self.context.partial_exit_fill_safety_longDict.get(self.liquidContract) self.partial_fill_liq_price = self.context.partial_fill_liq_priceDict.get(self.liquidContract) self.partial_exit_fill_safety_short = self.context.partial_exit_fill_safety_shortDict.get(self.liquidContract) self.risk_target = self.context.risk_targetDict.get(self.liquidContract) self.buying_power = self.context.buying_powerDict.get(self.liquidContract) self.share_size = self.context.share_sizeDict.get(self.liquidContract) self.dollar_size = self.context.dollar_sizeDict.get(self.liquidContract) self.max_price_long = self.context.max_price_longDict.get(self.liquidContract) self.max_price_short = self.context.max_price_shortDict.get(self.liquidContract) self.trading_hours = self.context.trading_hoursDict.get(self.liquidContract) if self.context.rulesDict.get(self.liquidContract) == None: self.rules = [] else: self.rules = self.context.rulesDict.get(self.liquidContract) if self.context.longOrdersDict.get(self.liquidContract) == None: self.longOrders = [] else: self.longOrders = self.context.longOrdersDict.get(self.liquidContract) if self.context.shortOrdersDict.get(self.liquidContract) == None: self.shortOrders = [] else: self.shortOrders = self.context.shortOrdersDict.get(self.liquidContract) if self.context.bull_losing_outcomeDict.get(self.liquidContract) == None: self.bull_losing_outcome = False else: self.bull_losing_outcome = self.context.bull_losing_outcomeDict.get(self.liquidContract) if self.context.bear_losing_outcomeDict.get(self.liquidContract) == None: #Used to check if the first trade of a break was a loser. self.bear_losing_outcome = False else: self.bear_losing_outcome = self.context.bear_losing_outcomeDict.get(self.liquidContract) #UPDATE QUICK WINDOW self.trading_hours = True #TRADING HOURS #if self.context.Time.hour > 5 and self.context.Time.hour < 16: # self.trading_hours = True #else: # self.trading_hours = False #if self.context.Time.hour >= 15 and self.context.Time.minute >= 58 or self.context.Time.hour >= 16: # self.context.Liquidate() # continue #LIQUIDATES POSITIONS IN THE EVENT OF A DOUBLE-FILL if self.openOrders is [] and self.context.Portfolio.Invested: self.context.Liquidate(self.liquidContract) #FRACTAL FOR BULLISH ENTRY AND HIGHER HIGH CALC if (self.quickTradeBarWindow[3].Low > self.quickTradeBarWindow[1].Low < self.quickTradeBarWindow[2].Low) and (self.quickTradeBarWindow[0].Low > self.quickTradeBarWindow[1].Low): self.OneUp = True else: self.OneUp = False if (self.quickTradeBarWindow[4].High < self.quickTradeBarWindow[2].High > self.quickTradeBarWindow[3].High) and (self.quickTradeBarWindow[1].High < self.quickTradeBarWindow[2].High > self.quickTradeBarWindow[0].High): self.OneDown = True else: self.OneDown = False if self.OneUp is True: self.bullOne = 1 else: self.bullOne = 0 if self.OneDown is True: self.bearOne = -1 else: self.bearOne = 0 if self.OneUp is True: self.max_price_short = self.quickTradeBarWindow[0].Low #FRACTAL FOR BEARISH ENTRY AND LOWER LOW CALC if (self.quickTradeBarWindow[4].Low > self.quickTradeBarWindow[2].Low < self.quickTradeBarWindow[3].Low) and (self.quickTradeBarWindow[1].Low > self.quickTradeBarWindow[2].Low < self.quickTradeBarWindow[0].Low): self.OneUpBear = True else: self.OneUpBear = False if (self.quickTradeBarWindow[3].High < self.quickTradeBarWindow[1].High > self.quickTradeBarWindow[2].High) and (self.quickTradeBarWindow[0].High < self.quickTradeBarWindow[1].High): self.OneDownBear = True else: self.OneDownBear = False if self.OneUpBear is True: self.bullOneRed = 1 else: self.bullOneRed = 0 if self.OneDownBear is True: self.bearOneRed = -1 else: self.bearOneRed = 0 if self.OneDownBear is True: self.max_price_long = self.quickTradeBarWindow[0].High #HIGHER HIGHS... if self.bearOne == -1 and self.first_high is None: self.first_high = self.quickTradeBarWindow[2].High #If we have the first high but not the second... elif self.bearOne == -1 and self.first_high is not None and self.second_high is None: self.second_high = self.quickTradeBarWindow[2].High #If we have the first two highs and there's a new fractal... elif self.bearOne == -1 and self.first_high is not None and self.second_high is not None: self.pass_v = self.second_high self.second_high = self.quickTradeBarWindow[2].High self.first_high = self.pass_v self.context.bullOneDict[self.liquidContract] = self.bullOne self.context.bearOneDict[self.liquidContract] = self.bearOne self.context.first_highDict[self.liquidContract] = self.first_high self.context.second_highDict[self.liquidContract] = self.second_high self.context.rulesDict[self.liquidContract] = self.rules self.context.max_price_shortDict[self.liquidContract] = self.max_price_short self.context.max_price_longDict[self.liquidContract] = self.max_price_long self.context.trading_hoursDict[self.liquidContract] = self.trading_hours if self.second_high is None or self.first_high is None: continue if self.second_high == self.first_high and "Highs" not in self.rules: self.rules.append("Highs") elif self.second_high > self.first_high and "Highs" in self.rules: self.rules.remove("Highs") #LLs... if self.bullOneRed == 0 and self.first_low is None: self.first_low = self.quickTradeBarWindow[2].Low #If we have the first high but not the second... elif self.bullOneRed == 1 and self.first_low is not None and self.second_low is None: self.second_low = self.quickTradeBarWindow[2].Low #If we have the first two highs and there's a new fractal... elif self.bullOneRed == 1 and self.first_low is not None and self.second_low is not None: self.pass_v = self.second_low self.second_low = self.quickTradeBarWindow[2].Low self.first_low = self.pass_v self.context.first_lowDict[self.liquidContract] = self.first_low self.context.second_lowDict[self.liquidContract] = self.second_low self.context.rulesDict[self.liquidContract] = self.rules if self.second_low is None or self.first_low is None: continue if self.second_low == self.first_low and "Lows" not in self.rules: self.rules.append("Lows") elif self.second_low > self.first_low and "Lows" in self.rules: self.rules.remove("Lows") invested = self.context.Portfolio.Invested close_price = self.quickTradeBarWindow[0].Close self.context.Debug("RULES: " + str(self.rules)) self.context.Debug("BREAKDOWN: " + str(self.breakdown)) self.context.Debug("BREAKOUT: " + str(self.breakout)) self.context.Debug("BULL FRACTAL: " + str(self.bullOne)) self.context.Debug("BEAR FRACTAL: " + str(self.bearOneRed)) self.context.Debug("BREAKDOWN: " + str(self.breakdown)) self.context.Debug("SUPPORT: " + str(self.support)) self.context.Debug("RESISTANCE: " + str(self.resistance)) self.context.Debug("INVESTED: " + str(invested)) self.context.Debug("CLOSE PRICE: " + str(close_price)) self.context.Debug("CONTRACT: " + str(self.liquidContract)) self.context.rulesDict[self.liquidContract] = self.rules maxEntryPriceShort = None if not len(self.context.Transactions.GetOpenOrders()) > 0: if assetType == "Future": from futureExecution import FutureExecution newFutureExecution = FutureExecution(self.context) newFutureExecution.FutureExecution(self.liquidContract, multiplier, self.quickTradeBarWindow, self.bearOneRed) if assetType == "Equity" or assetType == "Crypto": from equityCryptoExecution import EquityCryptoExecution newEquityCryptoExecution = EquityCryptoExecution(self.context) newEquityCryptoExecution.EquityCryptoExecution(self.liquidContract, self.quickTradeBarWindow, self.bearOneRed) if assetType == "Forex": from forexExecution import ForexExecution newForexExecution = ForexExecution(self.context) newForexExecution.ForexExecution(self.liquidContract, self.quickTradeBarWindow, self.bearOneRed) # Set or update dictionaries self.first_position_bull = self.context.first_position_bullDict.get(self.liquidContract) self.second_position_bull = self.context.second_position_bullDict.get(self.liquidContract) self.first_position_bear = self.context.first_position_bearDict.get(self.liquidContract) self.second_position_bear = self.context.second_position_bearDict.get(self.liquidContract) self.entry_minute = self.context.entry_minuteDict.get(self.liquidContract) self.short_stop = self.context.short_stopDict.get(self.liquidContract) self.second_short_stop = self.context.second_short_stopDict.get(self.liquidContract) self.long_stop = self.context.long_stopDict.get(self.liquidContract) self.second_long_stop = self.context.second_long_stopDict.get(self.liquidContract) self.long_entry = self.context.long_entryDict.get(self.liquidContract) self.second_long_entry = self.context.second_long_entryDict.get(self.liquidContract) self.short_entry = self.context.short_entryDict.get(self.liquidContract) self.second_short_entry = self.context.second_short_entryDict.get(self.liquidContract) self.long_exit = self.context.long_exitDict.get(self.liquidContract) self.second_long_exit = self.context.second_long_exitDict.get(self.liquidContract) self.short_exit = self.context.short_exitDict.get(self.liquidContract) self.second_short_exit = self.context.second_short_exitDict.get(self.liquidContract) self.risk_target = self.context.risk_targetDict.get(self.liquidContract) self.buying_power = self.context.buying_powerDict.get(self.liquidContract) self.share_size = self.context.share_sizeDict.get(self.liquidContract) self.dollar_size = self.context.dollar_sizeDict.get(self.liquidContract) if self.context.longOrdersDict.get(self.liquidContract) == None: self.longOrders = [] else: self.longOrders = self.context.longOrdersDict.get(self.liquidContract) if self.context.shortOrdersDict.get(self.liquidContract) == None: self.shortOrders = [] else: self.shortOrders = self.context.shortOrdersDict.get(self.liquidContract) if self.context.bull_losing_outcomeDict.get(self.liquidContract) == None: self.bull_losing_outcome = False else: self.bull_losing_outcome = self.context.bull_losing_outcomeDict.get(self.liquidContract) if self.context.bear_losing_outcomeDict.get(self.liquidContract) == None: #Used to check if the first trade in a thesis was a loser. self.bear_losing_outcome = False else: self.bear_losing_outcome = self.context.bear_losing_outcomeDict.get(self.liquidContract) self.context.rulesDict[self.liquidContract] = self.rules self.context.bearFiveDict[self.liquidContract] = self.bearFive self.context.bullFiveDict[self.liquidContract] = self.bullFive self.context.bullOneDict[self.liquidContract] = self.bullOne self.context.bearOneDict[self.liquidContract] = self.bearOne self.context.FiveUpDict[self.liquidContract] = self.FiveUp self.context.FiveDownDict[self.liquidContract] = self.FiveDown self.context.first_lowDict[self.liquidContract] = self.first_low self.context.second_lowDict[self.liquidContract] = self.second_low self.context.first_highDict[self.liquidContract] = self.first_high self.context.second_highDict[self.liquidContract] = self.second_high self.context.bull_losing_outcomeDict[self.liquidContract] = self.bull_losing_outcome self.context.bear_losing_outcomeDict[self.liquidContract] = self.bear_losing_outcome self.context.first_position_bullDict[self.liquidContract] = self.first_position_bull self.context.second_position_bullDict[self.liquidContract] = self.second_position_bull self.context.first_position_bearDict[self.liquidContract] = self.first_position_bear self.context.second_position_bearDict[self.liquidContract] = self.second_position_bear self.context.entry_minuteDict[self.liquidContract] = self.entry_minute self.context.supportDict[self.liquidContract] = self.support self.context.resistanceDict[self.liquidContract] = self.resistance self.context.breakoutDict[self.liquidContract] = self.breakout self.context.breakdownDict[self.liquidContract] = self.breakdown self.context.short_stopDict[self.liquidContract] = self.short_stop self.context.second_short_stopDict[self.liquidContract] = self.second_short_stop self.context.long_stopDict[self.liquidContract] = self.long_stop self.context.second_long_stopDict[self.liquidContract] = self.second_long_stop self.context.long_entryDict[self.liquidContract] = self.long_entry self.context.second_long_entryDict[self.liquidContract] = self.second_long_entry self.context.short_entryDict[self.liquidContract] = self.short_entry self.context.second_short_entryDict[self.liquidContract] = self.second_short_entry self.context.long_exitDict[self.liquidContract] = self.long_exit self.context.second_long_exitDict[self.liquidContract] = self.second_long_exit self.context.short_exitDict[self.liquidContract] = self.short_exit self.context.second_short_exitDict[self.liquidContract] = self.second_short_exit self.context.longOrdersDict[self.liquidContract] = self.longOrders self.context.shortOrdersDict[self.liquidContract] = self.shortOrders self.context.partial_exit_fill_safety_longDict[self.liquidContract] = self.partial_exit_fill_safety_long self.context.partial_fill_liq_priceDict[self.liquidContract] = self.partial_fill_liq_price self.context.partial_exit_fill_safety_shortDict[self.liquidContract] = self.partial_exit_fill_safety_short self.context.risk_targetDict[self.liquidContract] = self.risk_target self.context.buying_powerDict[self.liquidContract] = self.buying_power self.context.share_sizeDict[self.liquidContract] = self.share_size self.context.trading_hoursDict[self.liquidContract] = self.trading_hours self.context.max_price_shortDict[self.liquidContract] = self.max_price_short self.context.max_price_longDict[self.liquidContract] = self.max_price_long if self.dollar_size != None: self.context.dollar_sizeDict[self.liquidContract] = self.dollar_size self.context.symbolData[self.liquidContract].quickTradeBarWindow = self.quickTradeBarWindow

class OnDataConsolidated: def __init__(self, context): self.context = context def RunOnDataConsolidated(self, bar): #5M DATA SETUP self.liquidContract = bar.Symbol self.bar = bar #GET AND SET ROLLING WINDOW FOR ASSET: self.longTradeBarWindow = self.context.symbolData[self.liquidContract].longTradeBarWindow if self.longTradeBarWindow == None: return self.longTradeBarWindow.Add(self.bar) self.context.symbolData[self.liquidContract].longTradeBarWindow = self.longTradeBarWindow if not self.longTradeBarWindow.IsReady: return self.bull_losing_outcome = False self.bear_losing_outcome = False #Set variables self.support = self.context.supportDict.get(self.liquidContract) self.resistance = self.context.resistanceDict.get(self.liquidContract) self.breakdown = self.context.breakdownDict.get(self.liquidContract) self.breakout = self.context.breakoutDict.get(self.liquidContract) self.bearFive = self.context.bearFiveDict.get(self.liquidContract) self.bullFive = self.context.bullFiveDict.get(self.liquidContract) self.bullOne = self.context.bullOneDict.get(self.liquidContract) self.bearOne = self.context.bearOneDict.get(self.liquidContract) self.FiveUp = self.context.FiveUpDict.get(self.liquidContract) self.FiveDown = self.context.FiveDownDict.get(self.liquidContract) self.first_position_bull = self.context.first_position_bullDict.get(self.liquidContract) self.second_position_bull = self.context.second_position_bullDict.get(self.liquidContract) self.second_position_bear = self.context.second_position_bearDict.get(self.liquidContract) self.first_position_bear = self.context.first_position_bearDict.get(self.liquidContract) self.partial_exit_fill_safety_long = self.context.partial_exit_fill_safety_longDict.get(self.liquidContract) self.partial_exit_fill_safety_short = self.context.partial_exit_fill_safety_shortDict.get(self.liquidContract) self.partial_fill_liq_price = self.context.partial_fill_liq_priceDict.get(self.liquidContract) if self.context.bull_losing_outcomeDict.get(self.liquidContract) == None: self.bull_losing_outcome = False else: self.bull_losing_outcome = self.context.bull_losing_outcomeDict.get(self.liquidContract) if self.context.bear_losing_outcomeDict.get(self.liquidContract) == None: #Used to check if the first trade in a thesis was a loser. self.bear_losing_outcome = False else: self.bear_losing_outcome = self.context.bear_losing_outcomeDict.get(self.liquidContract) # END OF VARIABLES # START OF LOGIC firstPartLow = ((self.longTradeBarWindow[4].Low > self.longTradeBarWindow[2].Low) and (self.longTradeBarWindow[2].Low < self.longTradeBarWindow[3].Low)) secondPartLow = ((self.longTradeBarWindow[1].Low > self.longTradeBarWindow[2].Low) and (self.longTradeBarWindow[2].Low < self.longTradeBarWindow[0].Low)) firstPartHigh = ((self.longTradeBarWindow[4].High < self.longTradeBarWindow[2].High) and (self.longTradeBarWindow[2].High > self.longTradeBarWindow[3].High)) secondPartHigh = ((self.longTradeBarWindow[1].High < self.longTradeBarWindow[2].High) and (self.longTradeBarWindow[2].High > self.longTradeBarWindow[0].High)) #5M UP-FRACTAL FORMULA if firstPartLow and secondPartLow: self.FiveUp = True else: self.FiveUp = False #5M DN-FRACTAL FORMULA if firstPartHigh and secondPartHigh: self.FiveDown = True else: self.FiveDown = False #FRACTAL TRUE/FALSE self.bullFive = 1 if self.FiveUp is True else 0 self.bearFive = -1 if self.FiveDown is True else 0 #SET SUPPORT, RESET NON-DIRECTIONAL STATUS if self.bullFive == 1: self.support = self.longTradeBarWindow[2].Low self.breakdown = False self.first_position_bear = False self.second_position_bear = False #Resets the losing_outcome becuase there's a new thesis self.bear_losing_outcome = False #SET RESISTANCE, RESET NON-DIRECTIONAL STATUS if self.bearFive == -1: self.resistance = self.longTradeBarWindow[2].High self.breakout = False self.first_position_bull = False self.second_position_bull = False #Reset the losing_outcome becuase there's a new thesis self.bull_losing_outcome = False self.context.supportDict[self.liquidContract] = self.support self.context.breakdownDict[self.liquidContract] = self.breakdown self.context.resistanceDict[self.liquidContract] = self.resistance self.context.breakoutDict[self.liquidContract] = self.breakout self.context.bearFiveDict[self.liquidContract] = self.bearFive self.context.bullFiveDict[self.liquidContract] = self.bullFive self.context.bullOneDict[self.liquidContract] = self.bullOne self.context.bearOneDict[self.liquidContract] = self.bearOne self.context.FiveUpDict[self.liquidContract] = self.FiveUp self.context.FiveDownDict[self.liquidContract] = self.FiveDown self.context.first_position_bullDict[self.liquidContract] = self.first_position_bull self.context.second_position_bullDict[self.liquidContract] = self.second_position_bull self.context.second_position_bearDict[self.liquidContract] = self.second_position_bear self.context.first_position_bearDict[self.liquidContract] = self.first_position_bear self.context.bull_losing_outcomeDict[self.liquidContract] = self.bull_losing_outcome self.context.bear_losing_outcomeDict[self.liquidContract] = self.bear_losing_outcome if self.support is None: return if self.resistance is None: return #SET BULLISH DIRECTIONAL STATUS if self.context.Securities[self.liquidContract].Close > self.resistance: self.breakout = True #SET BEARISH DIRECTIONAL STATUS if self.context.Securities[self.liquidContract].Close < self.support: self.breakdown = True if self.partial_fill_liq_price != None and self.partial_exit_fill_safety_long is True and self.context.Securities[self.liquidContract].Low <= self.partial_fill_liq_price: self.context.Liquidate(self.liquidContract) self.partial_exit_fill_safety_long = False self.partial_fill_liq_price = None if self.partial_fill_liq_price != None and self.partial_exit_fill_safety_short is True and self.context.Securities[self.liquidContract].Low >= self.partial_fill_liq_price: self.context.Liquidate(self.liquidContract) self.partial_exit_fill_safety_short = False self.partial_fill_liq_price = None #SET BULLISH DIRECTIONAL STATUS if self.context.Securities[self.liquidContract].Close > self.resistance: self.breakout = True #SET BEARISH DIRECTIONAL STATUS if self.context.Securities[self.liquidContract].Close < self.support: self.breakdown = True self.context.supportDict[self.liquidContract] = self.support self.context.resistanceDict[self.liquidContract] = self.resistance self.context.breakoutDict[self.liquidContract] = self.breakout self.context.breakdownDict[self.liquidContract] = self.breakdown self.context.bearFiveDict[self.liquidContract] = self.bearFive self.context.bullFiveDict[self.liquidContract] = self.bullFive self.context.bullOneDict[self.liquidContract] = self.bullOne self.context.bearOneDict[self.liquidContract] = self.bearOne self.context.FiveUpDict[self.liquidContract] = self.FiveUp self.context.FiveDownDict[self.liquidContract] = self.FiveDown self.context.first_position_bullDict[self.liquidContract] = self.first_position_bull self.context.second_position_bullDict[self.liquidContract] = self.second_position_bull self.context.second_position_bearDict[self.liquidContract] = self.second_position_bear self.context.first_position_bearDict[self.liquidContract] = self.first_position_bear self.context.bull_losing_outcomeDict[self.liquidContract] = self.bull_losing_outcome self.context.bear_losing_outcomeDict[self.liquidContract] = self.bear_losing_outcome self.context.partial_exit_fill_safety_shortDict[self.liquidContract] = self.partial_exit_fill_safety_short self.context.partial_exit_fill_safety_longDict[self.liquidContract] = self.partial_exit_fill_safety_long self.context.symbolData[self.liquidContract].longTradeBarWindow = self.longTradeBarWindow self.context.partial_fill_liq_priceDict[self.liquidContract] = self.partial_fill_liq_price

class FutureExecution: def __init__(self, context): self.context = context def FutureExecution(self, contract, multiplier, tradeWindow, bearOneRed): self.bearOneRed = bearOneRed self.quickTradeBarWindow = tradeWindow self.liquidContract = contract self.rules = [] self.longOrders = [] self.shortOrders = [] self.bull_losing_outcome = False self.bear_losing_outcome = False self.long = False self.short = False # Get or set correct variable values self.bullOne = self.context.bullOneDict.get(self.liquidContract) self.bearOne = self.context.bearOneDict.get(self.liquidContract) self.first_low = self.context.first_lowDict.get(self.liquidContract) self.second_low = self.context.second_lowDict.get(self.liquidContract) self.first_high = self.context.first_highDict.get(self.liquidContract) self.second_high = self.context.second_highDict.get(self.liquidContract) self.first_position_bull = self.context.first_position_bullDict.get(self.liquidContract) self.second_position_bull = self.context.second_position_bullDict.get(self.liquidContract) self.first_position_bear = self.context.first_position_bearDict.get(self.liquidContract) self.second_position_bear = self.context.second_position_bearDict.get(self.liquidContract) self.entry_minute = self.context.entry_minuteDict.get(self.liquidContract) self.support = self.context.supportDict.get(self.liquidContract) self.resistance = self.context.resistanceDict.get(self.liquidContract) self.breakout = self.context.breakoutDict.get(self.liquidContract) self.breakdown = self.context.breakdownDict.get(self.liquidContract) self.short_stop = self.context.short_stopDict.get(self.liquidContract) self.second_short_stop = self.context.second_short_stopDict.get(self.liquidContract) self.long_stop = self.context.long_stopDict.get(self.liquidContract) self.second_long_stop = self.context.second_long_stopDict.get(self.liquidContract) self.long_entry = self.context.long_entryDict.get(self.liquidContract) self.second_long_entry = self.context.second_long_entryDict.get(self.liquidContract) self.short_entry = self.context.short_entryDict.get(self.liquidContract) self.second_short_entry = self.context.second_short_entryDict.get(self.liquidContract) self.long_exit = self.context.long_exitDict.get(self.liquidContract) self.second_long_exit = self.context.second_long_exitDict.get(self.liquidContract) self.short_exit = self.context.short_exitDict.get(self.liquidContract) self.second_short_exit = self.context.second_short_exitDict.get(self.liquidContract) self.partial_exit_fill_safety_long = self.context.partial_exit_fill_safety_longDict.get(self.liquidContract) self.partial_fill_liq_price = self.context.partial_fill_liq_priceDict.get(self.liquidContract) self.partial_exit_fill_safety_short = self.context.partial_exit_fill_safety_shortDict.get(self.liquidContract) self.risk_target = self.context.risk_targetDict.get(self.liquidContract) self.buying_power = self.context.buying_powerDict.get(self.liquidContract) self.share_size = self.context.share_sizeDict.get(self.liquidContract) self.dollar_size = self.context.dollar_sizeDict.get(self.liquidContract) self.max_price_long = self.context.max_price_longDict.get(self.liquidContract) self.max_price_short = self.context.max_price_shortDict.get(self.liquidContract) self.trading_hours = self.context.trading_hoursDict.get(self.liquidContract) self.symbolEntryPrice = self.context.symbolEntryPriceDict.get(self.liquidContract) self.symbolStopPrice = self.context.symbolStopPriceDict.get(self.liquidContract) self.symbolExitPrice = self.context.symbolExitPriceDict.get(self.liquidContract) if self.context.shortDict.get(self.liquidContract) == None: self.short = False else: self.short = self.context.shortDict.get(self.liquidContract) if self.context.longDict.get(self.liquidContract) == None: self.long = False else: self.long = self.context.longDict.get(self.liquidContract) if self.context.rulesDict.get(self.liquidContract) == None: self.rules = [] else: self.rules = self.context.rulesDict.get(self.liquidContract) if self.context.longOrdersDict.get(self.liquidContract) == None: self.longOrders = [] else: self.longOrders = self.context.longOrdersDict.get(self.liquidContract) if self.context.shortOrdersDict.get(self.liquidContract) == None: self.shortOrders = [] else: self.shortOrders = self.context.shortOrdersDict.get(self.liquidContract) if self.context.bull_losing_outcomeDict.get(self.liquidContract) == None: self.bull_losing_outcome = False else: self.bull_losing_outcome = self.context.bull_losing_outcomeDict.get(self.liquidContract) if self.context.bear_losing_outcomeDict.get(self.liquidContract) == None: #Used to check if the first trade in a thesis was a loser. self.bear_losing_outcome = False else: self.bear_losing_outcome = self.context.bear_losing_outcomeDict.get(self.liquidContract) maxEntryPriceShort = None properties = self.context.Securities[self.liquidContract].SymbolProperties minPriceVar = properties.MinimumPriceVariation minPriceVar = str(minPriceVar) decimalCount = minPriceVar[::-1].find('.') if self.symbolStopPrice is not None and self.context.Securities[self.liquidContract].Price <= self.symbolStopPrice and self.long is True: self.bull_losing_outcome = True self.long = False if self.symbolStopPrice is not None and self.context.Securities[self.liquidContract].Price >= self.symbolStopPrice and self.short is True: self.bear_losing_outcome = True self.short = False #BEARISH EXECUTION LOGIC = 5M CLOSING BREAK, NOT HOLDING, 1M FRACTAL, ENTRY PRICE < SUPPORT if self.trading_hours is True and self.breakdown is True and self.bearOneRed == -1 and self.quickTradeBarWindow[0].Close < self.support and "Lows" in self.rules and self.second_position_bear is False: self.context.Debug("contract" + str(self.liquidContract)) self.context.Debug("BEAR IF EXECUTION MET") self.short = True #ENTRY AT THE CLOSE OF THE CANDLE FOLLOWING THE FRACTAL self.entry_price = self.quickTradeBarWindow[0].High self.entry_price = round(self.entry_price, decimalCount) #STOP ONE TICK ABOVE THE HIGHEST FRACTAL POINT self.stop_price = self.quickTradeBarWindow[1].Low + 1.01 self.symbolStopPrice = self.stop_price self.stop_price = round(self.stop_price, decimalCount) #TICK DISTANCE FOR EXIT self.pass_value = (self.stop_price - self.entry_price) * 5 #2:1 EXIT PRICE self.exit_price = self.entry_price - self.pass_value #AVAILABLE CAPITAL self.buying_power = self.context.Portfolio.Cash #DOLLAR RISK TARGET (0.25%) self.risk_target = self.buying_power / 400 #ENTRY-STOP DOLLAR DISTANCE self.handleSpread = (self.pass_value / 2) / float(minPriceVar) self.risk_per_share = self.handleSpread * multiplier #IDEAL SHARE SIZE (avaiable capital not considered) if self.risk_target != 0 and self.risk_per_share != 0: self.share_size = self.risk_target / self.risk_per_share #PRICE OF IDEAL SIZE self.dollar_size = self.share_size * self.entry_price #COMPARES IDEAL SIZE WITH CAPITAL if self.share_size > 10: #NEW SHARE SIZE self.share_size = 10 self.context.dollar_sizeDict[self.liquidContract] = self.dollar_size maxEntryPriceShort = self.entry_price > self.second_low or self.entry_price > self.max_price_short #TEMP CONDITION THAT REDUCES MASSIVE TRADES if maxEntryPriceShort and self.first_position_bear is False and not self.context.Portfolio.Invested: self.context.Debug("LAST BEAR CONDITION") #SHORT self.short_entry = self.context.LimitOrder(self.liquidContract, -self.share_size, self.entry_price) #CUT LOSSES self.short_stop = self.context.StopMarketOrder(self.liquidContract, self.share_size, self.stop_price) #TAKE PROFIT self.short_exit = self.context.LimitOrder(self.liquidContract, self.share_size, self.exit_price) #STORES ORDER TICKETS IN A LIST self.shortOrders = [self.short_entry, self.short_stop, self.short_exit] #STORES FIRST TRADE AS HAVING HAPPENED self.first_position_bear = True #LOGS TIME ORDERS WERE PLACED self.entry_minute = self.context.Time.minute entryIsZero = None entryBool = None if self.entry_minute != None: entryIsZero = self.context.Time.minute == 0 and self.entry_minute != 0 entryBool = self.context.Time.minute > self.entry_minute or entryIsZero if entryIsZero is not None and maxEntryPriceShort and self.first_position_bear is True and self.second_position_bear is False and entryBool and self.bear_losing_outcome is True and not self.context.Portfolio.Invested: self.context.Debug("LAST BEAR CONDITION" + str(self.liquidContract)) #SHORT self.second_short_entry = self.context.LimitOrder(self.liquidContract, -self.share_size, self.entry_price) #CUT LOSSES self.second_short_stop = self.context.StopMarketOrder(self.liquidContract, self.share_size, self.stop_price) #TAKE PROFIT self.second_short_exit = self.context.LimitOrder(self.liquidContract, self.share_size, self.exit_price) #STORES ORDER TICKETS IN A LIST self.shortOrders = [self.second_short_entry, self.second_short_stop, self.second_short_exit] #STORES SECOND POSITION self.second_position_bear = True #BREAKOUT EXECUTION (NEED TO ADD PRICE CONDITION) if self.trading_hours is True and self.breakout is True and self.bullOne == 1 and self.quickTradeBarWindow[0].Close > self.resistance and "Highs" in self.rules and self.second_position_bull is False: self.context.Debug("contract" + str(self.liquidContract)) self.context.Debug("BULL IF EXECUTION MET") self.long = True #ENTRY AT THE CLOSE OF THE CANDLE FOLLOWING THE FRACTAL self.entry_price = self.quickTradeBarWindow[0].Close self.entry_price = round(self.entry_price, decimalCount) #STOP ONE TICK BELOW THE LOWEST FRACTAL POINT self.stop_price = self.quickTradeBarWindow[1].Low - 0.01 self.symbolStopPrice = self.stop_price self.stop_price = round(self.stop_price, decimalCount) #TICK DISTANCE FOR EXIT self.pass_value = (self.entry_price - self.stop_price) * 2 #2:1 EXIT PRICE self.exit_price = (self.pass_value + self.quickTradeBarWindow[0].Close) #AVAILABLE CAPITAL self.buying_power = self.context.Portfolio.Cash #DOLLAR RISK TARGET (0.25%) self.risk_target = self.buying_power / 400 #ENTRY-STOP DOLLAR DISTANCE self.handleSpread = (self.pass_value / 2) / float(minPriceVar) self.risk_per_share = self.handleSpread * multiplier #IDEAL SHARE SIZE (avaiable capital not considered) if self.risk_target != 0 and self.risk_per_share != 0: self.share_size = self.risk_target / self.risk_per_share #PRICE OF IDEAL SIZE self.dollar_size = self.share_size * self.entry_price #COMPARES IDEAL SIZE WITH CAPITAL if self.share_size > 10: #NEW SHARE SIZE self.share_size = 10 maxEntryPriceLong = self.entry_price < self.max_price_long or self.entry_price < self.second_high #TEMP CONDITION THAT REDUCES MASSIVE TRADES if maxEntryPriceLong and self.first_position_bull is False and not self.context.Portfolio.Invested: self.context.Debug("LAST BULL CONDITION" + str(self.liquidContract)) self.long_entry = self.context.LimitOrder(self.liquidContract, self.share_size, self.entry_price) self.long_stop = self.context.StopMarketOrder(self.liquidContract, -self.share_size, self.stop_price) self.long_exit = self.context.LimitOrder(self.liquidContract, -self.share_size, self.exit_price) self.longOrders = [self.long_entry, self.long_stop, self.long_exit] self.first_position_bull = True self.entry_minute = self.context.Time.minute entryIsZero = None entryBool = None if self.entry_minute != None: entryIsZero = self.context.Time.minute == 0 and self.entry_minute != 0 entryBool = self.context.Time.minute > self.entry_minute or entryIsZero if entryIsZero is not None and maxEntryPriceShort and self.first_position_bull is True and self.second_position_bull is False and entryBool and self.bull_losing_outcome == True and not self.context.Portfolio.Invested: self.context.Debug("LAST BULL CONDITION" + str(self.liquidContract)) self.second_long_entry = self.LimitOrder(self.liquidContract, self.share_size, self.entry_price) self.second_long_stop = self.StopMarketOrder(self.liquidContract, -self.share_size, self.stop_price) self.second_long_exit = self.LimitOrder(self.liquidContract, -self.share_size, self.exit_price) self.longOrders = [self.second_long_entry, self.second_long_stop, self.second_long_exit] self.second_position_bull = True self.context.rulesDict[self.liquidContract] = self.rules self.context.bullOneDict[self.liquidContract] = self.bullOne self.context.bearOneDict[self.liquidContract] = self.bearOne self.context.first_lowDict[self.liquidContract] = self.first_low self.context.second_lowDict[self.liquidContract] = self.second_low self.context.first_highDict[self.liquidContract] = self.first_high self.context.second_highDict[self.liquidContract] = self.second_high self.context.bull_losing_outcomeDict[self.liquidContract] = self.bull_losing_outcome self.context.bear_losing_outcomeDict[self.liquidContract] = self.bear_losing_outcome self.context.first_position_bullDict[self.liquidContract] = self.first_position_bull self.context.second_position_bullDict[self.liquidContract] = self.second_position_bull self.context.first_position_bearDict[self.liquidContract] = self.first_position_bear self.context.second_position_bearDict[self.liquidContract] = self.second_position_bear self.context.entry_minuteDict[self.liquidContract] = self.entry_minute self.context.supportDict[self.liquidContract] = self.support self.context.resistanceDict[self.liquidContract] = self.resistance self.context.breakoutDict[self.liquidContract] = self.breakout self.context.breakdownDict[self.liquidContract] = self.breakdown self.context.short_stopDict[self.liquidContract] = self.short_stop self.context.second_short_stopDict[self.liquidContract] = self.second_short_stop self.context.long_stopDict[self.liquidContract] = self.long_stop self.context.second_long_stopDict[self.liquidContract] = self.second_long_stop self.context.long_entryDict[self.liquidContract] = self.long_entry self.context.second_long_entryDict[self.liquidContract] = self.second_long_entry self.context.short_entryDict[self.liquidContract] = self.short_entry self.context.second_short_entryDict[self.liquidContract] = self.second_short_entry self.context.long_exitDict[self.liquidContract] = self.long_exit self.context.second_long_exitDict[self.liquidContract] = self.second_long_exit self.context.short_exitDict[self.liquidContract] = self.short_exit self.context.second_short_exitDict[self.liquidContract] = self.second_short_exit self.context.longOrdersDict[self.liquidContract] = self.longOrders self.context.shortOrdersDict[self.liquidContract] = self.shortOrders self.context.partial_exit_fill_safety_longDict[self.liquidContract] = self.partial_exit_fill_safety_long self.context.partial_fill_liq_priceDict[self.liquidContract] = self.partial_fill_liq_price self.context.partial_exit_fill_safety_shortDict[self.liquidContract] = self.partial_exit_fill_safety_short self.context.risk_targetDict[self.liquidContract] = self.risk_target self.context.buying_powerDict[self.liquidContract] = self.buying_power self.context.share_sizeDict[self.liquidContract] = self.share_size self.context.trading_hoursDict[self.liquidContract] = self.trading_hours self.context.max_price_shortDict[self.liquidContract] = self.max_price_short self.context.max_price_longDict[self.liquidContract] = self.max_price_long if self.symbolStopPrice != None: self.context.symbolStopPriceDict[self.liquidContract] = self.symbolStopPrice if self.symbolExitPrice != None: self.context.symbolExitPriceDict[self.liquidContract] = self.symbolExitPrice if self.symbolEntryPrice != None: self.context.symbolEntryPriceDict[self.liquidContract] = self.symbolEntryPrice if self.dollar_size != None: self.context.dollar_sizeDict[self.liquidContract] = self.dollar_size self.context.longDict[self.liquidContract] = self.long self.context.shortDict[self.liquidContract] = self.short

Fred Painchaud

12.3k Pro ,

Isaac Rochester

437 Pro ,

Sorry for the late response…

I've been updating a lot of code. Ultimately I did take your advice by making sure AddFuture() was done first. I did this by doing all my consolidation in the OnSecuritiesChanged() event method. That fixed the error.

However, I'm running into a new error (only when running live) regarding symbol consolidation…

Runtime Error: InvalidOperationException : Consolidators can only be used with a single symbol. The previous consolidated SecurityIdentifier (CL JL) is not the same as in the current data (CL XVC8K2PX0IIP).
at QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase`2.Update(T data) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Data/Consolidators/PeriodCountConsolidatorBase.cs:line 212 Stack Trace: InvalidOperationException : Consolidators can only be used with a single symbol. The previous consolidated SecurityIdentifier (CL JL) is not the same as in the current data (CL XVC8K2PX0IIP).
at QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase`2.Update(T data) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Data/Consolidators/PeriodCountConsolidatorBase.cs:line 212

This is how I'm doing my consolidation in OnSecuritiesChanged():

As you can probably read in my comments, I'm only consolidating the contracts and not the futures in OnSecurititesChanged(). Also, I'm making checks to ensure that only one contract per future is being consolidated. This all works perfectly in backtesting, but as soon as it runs live it doesn't work and throws that error.

This is the whole main.py:

This error makes me curious if it's a QC data problem when running live? I don't see anyone else online having this problem. Again, this code all works when running back tests.

Thanks!

Martin Molinero

STAFF Pro ,

Hey Isaac!

I've just tested using that last ‘main.py’ implementation you shared, simplifying it a bit because it didn't compile, and was not able to reproduce the live issue using QC as a data source, is QC what you are using?. Could you please provide the complete algorithm reproducing the issue (the simpler the algorithm the better) or if you can share the issue with support would be great, so if there is any bug in lean with fix it ASAP.

Hi Martin,

Please note the error is supposed to only happen when live trading. Isaac wrote it works fine while backtesting.

Or is that what you meant by “live issue”? 😊

I have included a functioning version of the algorithm that should allow you to reproduce the live trading error. To clarify, we are using QC's data for live trading when getting this runtime error. Also, we aren't always getting this error immediately upon deployment – it typically takes an hour or two.

Thank you Martin and Fred for your help!

No problem Isaac. An hour or 2 at minute/5m res on quote bars, yes, it looks similar to a different issue that was fixed 9 months ago in the same code. Anyway, you're in good hands with Martin. Thanks for reporting.

I just reviewed the code that was included in the algorithm I sent over and noticed that it seems to be missing a lot. It's most definitely not “functioning.” We have onData, onDataConsolidated, and “futureExecution" in a library. Apologies!

Our code in onDataConsolidated:

The code we're using to execute trades:

hehehehehe

I hope Martin gets your runtime error while live trading this… AND is able to pinpoint some bug relatively quick. As this is not very small bug reproducing code 😊. Fingers crossed.

P.S. Coffee is free for devs in your shop right? 😊 Just kidding…

I hope so as well – I know it's a lot of code to look at. I've been impressed with everyone at QC so I have no doubt I'm in good hands with this. You guys are running a tight ship.

No free coffee unfortunately. But if you're ever in the Sioux City/Omaha area, you can have a cup on me!

Jared Broad

“I've been impressed with everyone at QC so I have no doubt I'm in good hands with this. You guys are running a tight ship.”

❤️ Thanks Isaac!

We're pushing the fix now. Just a note we haven't officially announced the QC futures live feed yet it's in "stealth" beta =D. Reports like this are important and appreciated to make sure it's ready for prime time.

Isaac Rochester INVESTOR

Update Backtest

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