Pair Trading: Using Cointegration method

Hi Hanbyul, since here you use schedule Events method, then you can set your equity resolution to minute and move all the code in Ondata to Action function in Schedule Event(see the attached backtest below). As for daily resolution, it will calculate the order quantity at midnight 00:00, it is not accurate since market is not open and there are also margin and cash requirements for short selling. That might be the reason for many invalid orders with huge quantity in your backtest.

Hi Jingw, I see. With 'Minute' mode, the result looks quite different now. Thank you :) 

Jingw, Sorry, I have one more last question. I thought that 'Daily' mode in schedule function is based on all the close prices of each day. So the most recent 'close' is yesterday's close price. Then, from what you mentioned, "...As for daily resolution, it will calculate the order quantity at midnight 00:00, it is not accurate since market is not open...", I don't understand why the calculation of 'quantity' is NOT accurate. At midnight, isn' t this based on the all the 'close' of each day? or different ? I guess I am missing something here. Please give me more explanation. Thank you :)    

Hanbyul, when using minute resolution and scheduled event, the quantity is calculated at scheduled time 10:00 am, the order is submitted at the same time. But when using daily resolution and scheduled event together, quantity is calculated at 00:00, the order is submitted at 110:00 am.There is a gap between them.

Hi Jingw, Thanks for your explanation. In addition, I investigated some based on your explanation. I was confused by 'Daily' mode in 'History' function and 'Daily' mode in 'AddSecurity'. When we use 'History' function with 'Daily' resolution, the most recent price (close) is yesterday's close price. So when we use 'AddSecurity("XLK", Resolution.Daily)' or 'AddSecurity("XLK", Resolution.Minute)', we get the same historical prices for our defined lookback periods. In other words, although we use 'AddSecurity' with different resolution modes ('Daily' vs 'Minute'), I think that all the calculations we want are based on the same historical data, meaning we get the same result from the calculations.

However, I missed this part: When we use 'AddSecurity("XLK", Resolution.Daily)', all the orders are filled with the most recent (price) data, which is in our case yesterday's close price. For example, if our orders are generated at 3:55pm everyday, our orders get filled with yesterday's close price (How can we get the yesterday's close price at 3:55pm today? It's impossible and totally non-sense !!!). But if we use 'AddSecurity("XLK", Resolution.Minute)', all the orders are filled with the most current price, which is in our case the price at 10am today (Not Yesterday's price !). This is more realistic !  I think this huge difference between two modes made totally different results. 

In conclusion, I think we all should use 'AddSecurity("Symbol", Resolution.Minute)' to get more realistic results. Or we should add most current minute-based data to our historical data (if it's 'Daily' mode.). This is very basic but I think it is very important too. Thank you Jingw. 

Correct Han -- I think if using daily data you should only submit MarketOnOpen orders; as the event is triggered after the trading data is completed and market/market on close orders will both be too late. Submitting a MOO order at midnight will be filled accurately the same day; but you still won't get any information on it until midnight when that daily bar closes (but at least it'll be fill with the expected prices).