Hello all,
My algorithm does not work the first day, then goes fine the following day and thereafter. This was ok in backtesting, because I simply started a day earlier. When I run the algorithm live, however, it does not kick off properly:
I call the AddUniverse, then I schedule an event in Initialize():
# get the universe of stocks every morning
self.AddUniverse(self.CoarseSelectionFunction)
# schedule an event to fire every trading day, 10 minutes before market close
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 10), self.TradeBeforeMarketClose)
But that universe of stocks is not available the first day that I run the scheduled event (and the information is not available in the Live implementation). The next day, the universe is available for backtesting purposes.
I think if I can get a backtest to work on the same day, it will work Live:
self.SetStartDate(2018,6,18) #Set Start Date
self.SetEndDate(2018,6,18) #Set End Date
May have something to do with Warmup? Please let me know your thoughts.