The boilerplate for my code needs to do the following:

  1. Read a list of stocks to trade from a dropbox link
  2. Market order newly added symbols in the dropbox link and then create a trailing stop loss once the order fills
  3. Close any removed symbols the next day

I have all of this logic prepared but am running into two problems: I'm getting an access denied log which I assume is from the algo trying to access my dropbox link (even though I made the link public). I also am not sure how to submit a trailing stop loss order. I see it in the lean docs but it isn't clear how I submit that type of order.

Since the backtest returned an error, I can't seem to attach it to the post, so I am showing it below.

using QuantConnect.Algorithm; using System; using System.Collections.Generic; using System.Linq; using System.Net; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Securities; namespace QuantConnect { public class Earnings : QCAlgorithm { // the changes from the previous universe selection private SecurityChanges _changes = SecurityChanges.None; // only used in backtest for caching the file results private readonly Dictionary<DateTime, List<string>> _backtestSymbolsPerDay = new Dictionary<DateTime, List<string>>(); List<Security> toOpen = new List<Security>(); List<Security> toClose = new List<Security>(); public override void Initialize() { // this sets the resolution for data subscriptions added by our universe UniverseSettings.Resolution = Resolution.Tick; // set our start and end for backtest mode SetStartDate(2017, 8, 18); SetEndDate(2017, 8, 24); SetCash(30000); // Schedule events Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 5), () => {OpenPositions();}); Schedule.On(DateRules.EveryDay("SPY"), TimeRules.AfterMarketOpen("SPY", 10), () => { ClosePositions(); }); // define a new custom universe that will trigger each day at midnight AddUniverse("my-dropbox-universe", Resolution.Daily, dateTime => { const string liveUrl = @""; const string backtestUrl = @""; var url = LiveMode ? liveUrl : backtestUrl; using (var client = new WebClient()) { // handle live mode file format if (LiveMode) { // fetch the file from dropbox var file = client.DownloadString(url); // if we have a file for today, break apart by commas and return symbols if (file.Length > 0) return file.ToCsv(); // no symbol today, leave universe unchanged return Universe.Unchanged; } // backtest - first cache the entire file if (_backtestSymbolsPerDay.Count == 0) { // fetch the file from dropbox only if we haven't cached the result already var file = client.DownloadString(url); // split the file into lines and add to our cache foreach (var line in file.Split(new[] { '\n', '\r' }, StringSplitOptions.RemoveEmptyEntries)) { var csv = line.ToCsv(); var date = DateTime.ParseExact(csv[0], "yyyyMMdd", null); var symbols = csv.Skip(1).ToList(); _backtestSymbolsPerDay[date] = symbols; } } // if we have symbols for this date return them, else specify Universe.Unchanged List<string> result; if (_backtestSymbolsPerDay.TryGetValue(dateTime.Date, out result)) { return result; } return Universe.Unchanged; } }); } public void OnData(TradeBars data){} public override void OnSecuritiesChanged(SecurityChanges changes) { Debug("In on securities changed"); foreach (Security sec in changes.RemovedSecurities) { if (sec.Invested) { Debug(String.Format("Adding {0} to list for removal", sec.Symbol.ToString())); toClose.Add(sec); } } foreach (Security sec in changes.AddedSecurities){ Debug(String.Format("Adding {0} to list for opening", sec.Symbol.ToString())); toOpen.Add(sec); } } public void OpenPositions() { // Create Market Order and trailing stop order var weighting = 1m / toOpen.Count; foreach (Security sec in toOpen) { SetHoldings(sec.Symbol, weighting); } } public override void OnOrderEvent(OrderEvent fill) { string message = String.Format("Order {0} {1} x {2} at {3} commission={4} OrderId={5}", fill.Status.ToString(), fill.FillQuantity, fill.Symbol, fill.FillPrice, fill.OrderFee, fill.OrderId); Debug(message); if (fill.Status.ToString() == "Filled") { Debug("How do I submit the trailing stop loss"); // LimitOrder(fill.Symbol, -1*fill.FillQuantity, [STOP TRAILING PERCENT], "TRAILINGSTOPLOSS"); } } public void ClosePositions() { // Close any remaining foreach (Security sec in toClose) { SetHoldings(sec.Symbol, 0); } } } }