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I read the MHDB and found that futures in HKFE have two trading sessions in a day, which is the morning session from 9:30 to 12:00, and noon session from 13:00 to 16:00. The MHDB definition is:
"Future-hkfe-[*]": {
"dataTimeZone": "UTC",
"exchangeTimeZone": "Asia/Hong_Kong",
"sunday": [],
"monday": [
{
"start": "09:30:00",
"end": "12:00:00",
"state": "market"
},
{
"start": "13:00:00",
"end": "16:00:00",
"state": "market"
}
],
...
}I suppose that OnEndOfDay will be triggered 10 minutes ahead of market close, which is 15:50:00. But it's called at 11:50 which is the end of the morning session rather than the day end. Is this a bug? The sample algo is posted.
Louis Szeto
Hi Laye
Thank you for the report, we can reproduce this problem. Please subscribe to this GH issue on its fix.
Best
Louis
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Laye
Thanks for your response, Louis.
Laye
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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