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I have a very simple, buy-at-open and sell-at-close algorithm and have been testing various schedules with it. In theory, using self.TimeRules.AfterMarketOpen(symbol, 0) and self.TimeRules.At(9, 30) interchangeably should yield the exact same results, all else equal. However, the difference in returns between the two are more than 2x. Code below for both. What could be causing this in the LEAN engine?
class BuyOpenSellCloseSPY(QCAlgorithm):
def Initialize(self):
self.SetTimeZone("America/New_York")
self.SetStartDate(2017, 1, 1)
self.SetCash(100000)
self.ticker = self.AddEquity("SPY", Resolution.Minute, extendedMarketHours = True).Symbol
self.Schedule.On(self.DateRules.EveryDay(self.ticker), self.TimeRules.AfterMarketOpen(self.ticker, 0), self.BuyOnOpen)
self.Schedule.On(self.DateRules.EveryDay(self.ticker), self.TimeRules.BeforeMarketClose(self.ticker, 0), self.SellOnClose)
def BuyOnOpen(self):
self.SetHoldings(self.ticker, 1)
def SellOnClose(self):
self.Liquidate()And again here, modified:
class BuyOpenSellCloseSPY(QCAlgorithm):
def Initialize(self):
self.SetTimeZone("America/New_York")
self.SetStartDate(2017, 1, 1)
self.SetCash(100000)
self.ticker = self.AddEquity("SPY", Resolution.Minute, extendedMarketHours = True).Symbol
self.Schedule.On(self.DateRules.EveryDay(self.ticker), self.TimeRules.At(9, 30), self.BuyOnOpen)
self.Schedule.On(self.DateRules.EveryDay(self.ticker), self.TimeRules.BeforeMarketClose(self.ticker, 0), self.SellOnClose)
def BuyOnOpen(self):
self.SetHoldings(self.ticker, 1)
def SellOnClose(self):
self.Liquidate()
Cole S
Look at the orders in the backtest and you should be able to see when they are executing. Â My guess is that one of these is doing a MarketOnOpen order and the other is buying at 9:31.
Since you have minute data you won't receive your first candle until 9:31. Â When I want to use open time in my algo's (minute data usually) I use 9:31 instead of 9:30.
Fred Painchaud
Indeed.
self.TimeRules.AfterMarketOpen(self.ticker, 0) is really self.TimeRules.AfterMarketOpen(self.ticker, 0, false) which means 0 minute after market open for ticker in non-extended hours (thus regular hours). This is 9:30 for SPY.
This is the important piece of code:
self.TimeRules.At(9, 30) is 9:30 every day. Not trading days, every day. In both cases, DateRules.EveryDay means every day.
In this case, you trade outside open hours and those orders are converted to OMO orders.
Fred
James Hawkins
Fred Painchaud interesting. So if it am trading at 0930 everyday but am using self.TimeRules.BeforeMarketClose(), how does this affect the process? Take the weekend for example; would setting holdings to 1 at 0930 on Saturday close out of the position on market close of Monday?
Fred Painchaud
Hi James,
Checked the code for BeforeMarketClose… I never tested that but the intention of the code is to set the order for x minutes (second param) before market close for the soonest trading day (can be today, of course, or tomorrow, or Monday).
Fred
James Hawkins
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