Need help with buy and sell on a supertrend strategy

Looking at your Python code, it seems like the issue might be with the indentation in your OnData method. The if self.supertrend.IsReady: block is indented under return, which means it will never be executed. Here's the corrected code:

def OnData(self, data):
    if self.Time.hour < 8 or self.Time.hour > 15:
        return
    if self.supertrend.IsReady:
        if not self.Portfolio.Invested:
            if self.supertrend.Current.Value > self.Securities["MES"].Close:
                self.MarketOrder("MES", 1)
        elif self.supertrend.Current.Value < self.Securities["MES"].Close:
            self.MarketOrder("MES", -1)
    else:
        if self.supertrend.Current.Value > self.Securities["MES"].Close:
            self.Liquidate("MES")
        elif self.supertrend.Current.Value < self.Securities["MES"].Close:
            self.Liquidate("MES")

This should allow your algorithm to execute trades when the conditions are met.

I just want to add. It's supposed to take trades between 8am-3pm, close any position at 3:45pm and it should run on the 15 minute which I don't know how to set it. Take the trade when first candle closes above or below pivot/supertrend cross.

To set your algorithm to run on a 15-minute resolution, you need to specify the resolution when you add the security in the Initialize method. Here's how you can do it:

self.AddFuture(Futures.Indices.MicroSP500EMini, Resolution.Minute * 15)

To take trades when the first 15-minute candle closes above or below the SuperTrend cross, you can use the Consolidate method to create a 15-minute bar and then use the OnDataConsolidated method to implement your trading logic. Here's an example:

class SuperTrendATRStrategy(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2023, 9, 1)
        self.SetCash(10000)
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash)
        self.future = self.AddFuture(Futures.Indices.MicroSP500EMini, Resolution.Minute)
        self.Consolidate(self.future.Symbol, timedelta(minutes=15), self.OnDataConsolidated)
        self.SetExecution(ImmediateExecutionModel())
        self.supertrend = self.STR(self.future.Symbol, 1, 4, MovingAverageType.Wilders, Resolution.Minute)
        self.Schedule.On(self.DateRules.EveryDay(self.future.Symbol), self.TimeRules.At(15, 45), self.CloseAllPositions)

    def OnDataConsolidated(self, bar):
        if self.Time.hour < 8 or self.Time.hour > 15:
            return
        if self.supertrend.IsReady:
            if not self.Portfolio.Invested:
                if self.supertrend.Current.Value > bar.Close:
                    self.MarketOrder(self.future.Symbol, 1)
            elif self.supertrend.Current.Value < bar.Close:
                self.MarketOrder(self.future.Symbol, -1)
        else:
            if self.supertrend.Current.Value > bar.Close:
                self.Liquidate(self.future.Symbol)
            elif self.supertrend.Current.Value < bar.Close:
                self.Liquidate(self.future.Symbol)

    def CloseAllPositions(self):
        self.Liquidate()

In this code, OnDataConsolidated is called every 15 minutes with the consolidated bar. The trading logic is then applied to this 15-minute bar.

Mia recommendation didn't work :( still no trades

Hmm, I don't know enough to give you a confident answer yet. It's hard to determine the exact issue without more information. It could be related to the conditions for your trades not being met, or there might be an issue with the data or the indicators. I would recommend checking the data and the output of your indicators to make sure they're behaving as expected. You can also try adding some debug statements to your code to help identify where the issue might be. Here's the QuantConnect debugging documentation for more information.