Back

How to generate Insights before market open in Algorithm Framework?

Hello,

    I'm trying to generate insights off of a file I upload to dropbox at midnight ET every night.  This file contains a simple list of tickers and a trading signal (-1, 0, 1).  

     By using the algorithm parameter Update or OnSecuritiesChanged, I'm able to download my file and parse it for signals.  (I bascially copied the logic I used to create my universe in my ScheduledUniverseSelectionModel).

      However, since these signals are generated before market open, I'd like to be able to use them in a custom execution model that places auction orders.  As these must be submitted more than 15 minutes before the open, I can't generate my insights in Update and use them for my ideal ExecutionModel (Update only runs with each new data tick, and those are only generated post-open). 

   Is there a way to implement using a Dropbox signals file like I am envisioning in the algorithm framework?  

Update Backtest







Hi KILLC,

I had a similar question recently and got the answer from the QC team. In fact, the Alpha model (and all the consecutive models: Portfolio, Risk and Execution) are called every time there's new data generated. And new data includes new securities from the Universe Selection model, not just pricing data. So technically, if your Universe model generates new securities your Alpha model will get called and will generate insights for those tickers before the market open.

Can you  please share your Alpha model so we can see if there's any constraint that's blocking the creation of the insights? Maybe in the ShouldEmitInsight method or something like algorithm.Securities[security.Symbol].Price != 0 anywhere in the model?

In any case, I would suggest uploading the tickers to your Universe model and then the signals to your Alpha model to keep it separate.

Let's see what others think.

Hope it helps!

Emilio

1

Update Backtest





0

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...

This discussion is closed