For those wanting transpose their code from Quantopian to Quantconnect some analogue instructions:

context    => self

schedule_function => self.Schedule.On()

date_rules.every_day() => self.DateRules.Every_day()

time_rules.market_open() => self.TimeRules.AfterMarketOpen()

time_rules.market_closed() => self.TimeRules.AfterMarketClosed()

cancel_open_orders => CancelOpenOrders()

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