Futures Filling At Stale Price or Not Having Price At All

I have tried to reduce the data resolution to minute but still no luck

One thing I have not tried is to place an order one minute after the timeslice happen, which I'm not sure how to do 

If anyone has any ideas or suggestions on this, I would be very grateful

Hi Hiếu Ngô,

The issue occurs because the algorithm receives SymbolChangedEvents and 1AM while it receives the daily trade bars at 19:00 or 20:00. If the algorithm tries to place an order when it receives SymbolChangedEvents, the order will fill at stale prices.

To fix the issue, we need to replace

if self.Time < (self.nextRebalance):
    return

with

if self.Time < (self.nextRebalance) or slice.FuturesChains.Count == 0:
    return

and we need to replace

for continuous_contract_symbol, continuous_contract in self.continuous_contracts.items():

with

for continuous_contract_symbol, chain in slice.FuturesChains.items():

See the attached backtest for reference. These changes fix the rebalance timing so it only occurs when there is Futures TradeBar data in the current Slice. However, the algorithm still needs further work to move the contract roll-over logic to when the Slice contains the trade bar data for the Future contracts we are rolling between.

Best,
Derek Melchin