LEAN is the open source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
I am new for Quant but very interested in it, so glad after couple of days reading finally had one simple strategy running. I had day trade experience and want to see if I could implement my ideas via quant.
I met below questions during the result:
1, why there is a Sep 5 result when the test is done within Sep 6?
2, why there is open trade, it seems below endofday didn't trigger?
def OnEndOfDay(self):
# close up shop each day and reset our 'last' value so we start tomorrow fresh self.Liquidate("SPY") self.__last = None
3, Is there any indicators can be used for consolidator directly?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
1) By running your algorithm, I didn't find the result on Sep 5th either in log or in the trade result.
2) OnEndOfDay() event handler will be called at 00:00 am. You should set a large date range. As the market is not open at 00:00 am, the liquidation order will be converted to marketOnOpen order and will be executed on the market open the next day.
3) You need self.RegisterIndicator(symbol, indicator, consolidator) to update the indicator with the consolidated bar. The available indicators are searchable in the documentation
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Loading...
To attach images, drag and drop them into the textarea.
