Opening range breakout in forex?

Yes, you can modify the Opening Range Breakout strategy to work with forex pairs. Here's an example of how you can do it:

class OpeningRangeBreakout(QCAlgorithm):
    openingBar = None
    def Initialize(self):
        self.SetStartDate(2019, 6, 1)
        self.SetEndDate(2019, 6, 10)
        self.SetCash(25000)
        self.AddForex("EURUSD", Resolution.Hour, Market.Oanda)
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.Schedule.On(self.DateRules.EveryDay("EURUSD"), self.TimeRules.At(13,30), self.ClosePositions)

    def OnData(self, data):
        self.Debug("the close is" + str(data["EURUSD"].Close) + str(self.Portfolio.Invested) + str(self.openingBar))
        if self.Portfolio.Invested or self.openingBar is None:
            return
        if data["EURUSD"].Close > self.openingBar.High:
            self.SetHoldings("EURUSD", 1)
        elif data["EURUSD"].Close < self.openingBar.Low:
            self.SetHoldings("EURUSD", -1)

    def OnDataConsolidated(self, bar):
        if bar.Time.hour == 9 and bar.Time.minute == 30:
            self.openingBar = bar

    def ClosePositions(self):
        self.openingBar = None
        self.Liquidate("EURUSD")

This code is similar to the original Opening Range Breakout strategy, but it has been modified to work with the EURUSD forex pair. The AddForex method is used to add the forex pair to the algorithm, and the SetBrokerageModel method is used to set the brokerage model to Oanda, which supports forex trading. The OnData method checks if the close price of the EURUSD pair is above or below the high or low of the opening bar, and sets the holdings accordingly. The ClosePositions method is used to liquidate the position at a specific time each day.

Please note that the forex market operates 24 hours a day, so you might need to adjust the time in the OnDataConsolidated method to match the opening time of the forex market you are interested in.

Source: QuantConnect Forum Discussion

This is my work so far and the code runs without any errors but does not trade

class SquareYellowGreenFlamingo(QCAlgorithm):
    opening_bar = None 

    def Initialize(self):
        self.SetStartDate(2024, 1, 1)  
        self.SetEndDate(2024, 5, 31)  
        self.SetCash(100000)
        self.AddForex("XAUUSD", Resolution.Minute)
        self.Consolidate("XAUUSD", timedelta(minutes=30), self.OnDataConsolidated)
        self.Schedule.On(self.DateRules.EveryDay("XAUUSD"), self.TimeRules.At(13, 30), self.ClosePositions)

    def OnData(self, data):
        if self.Portfolio.Invested or self.opening_bar is None:
            return
        if data["XAUUSD"].Close > self.opening_bar.High:
            self.SetHoldings("XAUUSD", 1)
        elif data["XAUUSD"].Close < self.opening_bar.Low:
            self.SetHoldings("XAUUSD", -1)  

    def OnDataConsolidated(self, bar):
        if bar.Time.hour == 8 and bar.Time.minute == 30:
            self.opening_bar = bar

    def ClosePositions(self):
        self.opening_bar = None
        self.Liquidate("XAUUSD")

Your code seems to be correct in terms of syntax and logic. However, there are a few things you might want to check:

1. Time Zone: Forex trading operates 24 hours a day, so the opening time might be different depending on the time zone. Make sure the time you set in OnDataConsolidated and ClosePositions matches the opening and closing time of the forex market you are interested in.

2. Data Availability: Make sure the data for the forex pair "XAUUSD" is available for the date range you set in SetStartDate and SetEndDate.

3. Trading Volume: Check if there is enough trading volume for the forex pair "XAUUSD" during the time you want to trade. If the trading volume is too low, the price might not move significantly, and the algorithm might not make any trades.

4. Opening Range: The opening range is defined as the highest and lowest price of a security during the first part of the trading day. In your code, you are using the 30-minute bar as the opening range. You might want to adjust this depending on the volatility of the forex pair.

If you have checked all these points and the algorithm is still not making any trades, you might want to debug your code to see if the OnData method is being called and if the conditions for making a trade are being met. You can use the Debug method to print out the values of variables and see the flow of your code.

Here is an example of how you can use the Debug method:

def OnData(self, data):
    self.Debug("OnData called. Portfolio invested: " + str(self.Portfolio.Invested))
    if self.Portfolio.Invested or self.opening_bar is None:
        return
    self.Debug("Close: " + str(data["XAUUSD"].Close) + " Opening bar high: " + str(self.opening_bar.High) + " Opening bar low: " + str(self.opening_bar.Low))
    if data["XAUUSD"].Close > self.opening_bar.High:
        self.Debug("Buying XAUUSD")
        self.SetHoldings("XAUUSD", 1)
    elif data["XAUUSD"].Close < self.opening_bar.Low:
        self.Debug("Selling XAUUSD")
        self.SetHoldings("XAUUSD", -1)

This will print out debug messages in the algorithm logs, which you can view in the "Logs" tab in the backtest results. This can help you understand why the algorithm is not making any trades.