Error code with buy orders on security in universe

Hi Victoria,

It's a bit difficult to fully diagnose without the full code. But assuming everything else is ok:

• self.SetHoldings needs a Symbol as first param, not a Security. So you need to use self.SetHoldings(security.Symbol, 0.2)
• Same with stopMarketOrder which is StopMarketOrder with a Symbol. So self.StopMarketOrder(security.Symbol, -1.0, stopLossPercent). From the name of your variable “stopLossPercent”, note that you need to pass a price, not a percent to that method. So I would expect something like “price * stopLossPercent” instead.
• Same with LimitOrder. So self.LimitOrder(security.Symbol, -1.0, takeProfitPercent). Again, you would most probably want to get the current price, assign it to “price” and then do “price * takeProfitPercent”.

Fred

Fred,

Here is the full attached code. I am trying to convert my manual trading strategy, or a version of it, into code. There are still some elements missing, just trying to get the bare bones running. The values for the parameters don't matter much right now. Here is everything I have so far. I implemented your fixes, and made a few of my own, but it wouldn't allow me to attach a backtest. 

class DancingYellowFlamingo(QCAlgorithm):

   def Initialize(self):
       self.SetStartDate(2021, 1, 1) 
       self.SetCash(100000)
       self.UniverseSettings.Resolution = Resolution.Hour
       
      
       
       
       tickers = ["AAPL", "MSFT", "TSLA", "NVDA", "DIS", "AMD", "NFLX"]
       symbols = [Symbol.Create(t, SecurityType.Equity, Market.USA) for t in tickers]
       self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
       
       for x in symbols:
           self.AddSecurity(x)
       
      
       for x in symbols:
           self.maxPrice8 = self.MAX(x, 8)
           
       
       for x in symbols:    
           self.minPrice8 = self.MIN(x, 8)
       
       
   

   def OnData(self, data):
       
       
       entryPriceLong = (self.maxPrice8.Current.Value * 1.001)
       entryPriceShort = (self.minPrice8.Current.Value * 0.999)
       stopLossPercentLong = 0.997
       takeProfitTargetLong = 1.0065
       stopLossPercentShort = 1.003
       takeProfitPercentShort = 0.9935
       
           
      
       
   
       
       for security in self.ActiveSecurities:
           if self.security.Symbol.Value >= entryPriceLong:
               self.SetHoldings(security.Symbol, 0.1)
               self.stopMarketOrder(security.Symbol, -1.0, stopLossPercent)
               self.limitOrder(security.Symbol, -1.0, takeProfitPercent)
           elif self.security.Symbol.Value <= entryPriceShort:
               self.SetHoldings(security.Symbol, -0.1)
               self.stopMarketOrder(security.Symbol, -1.0, stopLossPercent)
               self.limitOrder(security.Symbol, -1.0, takeProfitPercent)
           
       
       self.Schedule.On(self.DateRules.EveryDay(security.Symbol), self.TimeRules.BeforeMarketClose(security.Symbol, 5), self.EveryDayAfterMarketClose(self.LiquidateHoldings))
               

https://www.quantconnect.com/u/fred-painchaud

Hi Victoria,

Here is a modified version of your code with comments:

class DancingYellowFlamingo(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1) 
        self.SetCash(100000)
        self.UniverseSettings.Resolution = Resolution.Hour

        tickers = ["AAPL", "MSFT", "TSLA", "NVDA", "DIS", "AMD", "NFLX"]
        # Using an instance variable so it can be reused in other methods
        self.symbols = [Symbol.Create(t, SecurityType.Equity, Market.USA) for t in tickers]
        self.SetUniverseSelection(ManualUniverseSelectionModel(self.symbols))
       
        #Since you are going to use a Universe, that Universe is going to handle subscriptions to your assets
        #In other words, Universe is going to call AddEquity (not AddSecurity)
        #for x in symbols:
        #    self.AddSecurity(x)
       
        # This loop gives you only one variable, self.maxPrice8, which gets overwritten in each iteration.
        # So you only get a ref to the MAX for the last symbol in the list.
        # You need a structure giving you as many variables, in a sense, then symbols you have
        # This is not the most elegant or best way to go, just some quick hack to get you going...
        # You should use a "SymbolData" class and OnSecuritiesChanged - look for them...
        #for x in symbols:
        #    self.maxPrice8 = self.MAX(x, 8)
        self.maxPrices8 = {}
        for x in self.symbols:
            self.maxPrices8[x] = self.MAX(x, 8)
           
        # Same here
        #for x in symbols:    
        #    self.minPrice8 = self.MIN(x, 8)
        self.minPrices8 = {}
        for x in self.symbols:
            self.minPrices8[x] = self.MIN(x, 8)

        # You were setting multiple schedule events since it was into OnData
        # You do not need as many events as you have symbols - but this is what you were doing (and even more) so
        # this is what I do here.
        # I try not to give you a fish but give you a few tricks to help you while you learn to fish.  
        for x in self.symbols:
            self.Schedule.On(self.DateRules.EveryDay(x), self.TimeRules.BeforeMarketClose(x, 5), self.EveryDayAfterMarketClose(self.LiquidateHoldings))

        # Setting the stage for OnData.
        # Again, quick hack. My goal here is to give you code you will understand - not using too many classes and all...
        self.entryPricesLong = {}
        self.entryPricesShort = {}

        # A few fixed values
        self.stopLossPercentLong = 0.997
        self.takeProfitPercentLong = 1.0065
        self.stopLossPercentShort = 1.003
        self.takeProfitPercentShort = 0.9935

    def LiquidateHoldings(self):
        # This liquidates all holdings, not just a given symbol
        # You need something a bit more elaborate than a scheduled event to liquidate just one symbol depending on conditions
        self.Liquidate()

    def OnData(self, data):
        # OnData will need to make more verifications than this such as making sure you have data for your symbols, etc.
        # Right now, it is not critical because you have hour resolution and VERY liquid assets in your Universe.
        # If one of those doesn't trade in an hour (while the market is open) - the World is pretty much over...    
    

        # A bit of "more advanced" stuff so you learn something new
        # Again, this is not applied to very elegant data structuring
        if not all([_max.IsReady for _max in self.maxPrices8.values()]):
            return
        if not all([_min.IsReady for _min in self.minPrices8.values()]):
            return
       
        for x in self.symbols:
            self.entryPricesLong[x] = (self.maxPrices8[x].Current.Value * 1.001)
            self.entryPricesShort[x] = (self.minPrices8[x].Current.Value * 0.999)
        
        # This is something that should be handled in OnSecuritiesChanged - you'll know when you read about it
        for security in self.ActiveSecurities:
            # Symbol.Value is the string ticker - not the current price
            #if self.security.Symbol.Value >= entryPriceLong:
            #    self.SetHoldings(security.Symbol, 0.1)
            #    self.stopMarketOrder(security.Symbol, -1.0, stopLossPercent)
            #    self.limitOrder(security.Symbol, -1.0, takeProfitPercent)
            #elif self.security.Symbol.Value <= entryPriceShort:
            #    self.SetHoldings(security.Symbol, -0.1)
            #    self.stopMarketOrder(security.Symbol, -1.0, stopLossPercent)
            #    self.limitOrder(security.Symbol, -1.0, takeProfitPercent)
            if security.Close >= self.entryPricesLong[security.Symbol]:
                self.SetHoldings(security.Symbol, 0.1)
                self.StopMarketOrder(security.Symbol, -1.0, security.Close * self.stopLossPercentLong)
                self.LimitOrder(security.Symbol, -1.0, security.Close * self.takeProfitPercentLong)
            elif security.Close <= self.entryPricesShort[security.Symbol]:
                self.SetHoldings(security.Symbol, -0.1)
                self.StopMarketOrder(security.Symbol, -1.0, security.Close * self.stopLossPercentShort)
                self.LimitOrder(security.Symbol, -1.0, security.Close * self.takeProfitPercentShort)

So, again, I am not saying it is sexy code or the way to go. Not even that it does what you want (which is unspecified - you are implementing your manual technique). But it should run (I did not write it in an IDE but from eyeballing, it looks ok).

Continue to persevere.

Fred