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Hello,
Since a few weeks, all my strats that use continuous futures stopped working, maybe after the lean update, hard to say. Anyway when I run backtests of strat that use to work without warnings, now I'm getting the following error
Backtest Handled Error: ES XZDYPWUWC7I9: The security does not have an accurate price as it has not yet received a bar of data. Before placing a trade (or using SetHoldings) warm up your algorithm with SetWarmup, or use slice.Contains(symbol) to confirm the Slice object has price before using the data. Data does not necessarily all arrive at the same time so your algorithm should confirm the data is ready before using it. In live trading this can mean you do not have an active subscription to the asset class you're trying to trade. If using custom data make sure you've set the 'Value' property.And if I try the suggestion, that is the slice.Contains(symbol), I get a python error
“python list TypeError 'slice' object is not iterable”Anybody has an idea?
Thanks in advance
Derek Melchin
Hi Pablo,
Please share the algorithm so we can reproduce the issue.
Best,
Derek Melchin
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Pablo
Here is an algo reproducing the same error.
Thanks a lot for investing!
Derek Melchin
Hi Pablo,
To resolve the issue, add a contract filter.
Best,
Derek Melchin
Want to invest in QuantConnect as we build the Linux of quant finance? Checkout our Wefunder campaign to join the revolution.
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.
Pablo
Thanks for the response, but there is still one thing that I don't understand. If you look at the backtest below,
and
as well.
Thanks in advance!
Pablo
It is also strange because the self.Debug in the code below produces
Why does the OnData method only gets data during market hours?
Derek Melchin
Hi Pablo,
To trade between 23H30 and 00h30, we need to subscribe to extended market hours.
See the attached backtest for reference.
Best,
Derek Melchin
Want to invest in QuantConnect as we build the Linux of quant finance? Checkout our Wefunder campaign to join the revolution.
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.
Pablo
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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