Unable to use self.Schedule.On in Framework Algorithms? by KILLC

KILLC INVESTOR

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Whenever I try scheduling an event in a QCFrameworkAlgorithm, I get a NullReference exception. Is the Action somehow failing to be created in Initialize()? Am I doing something wrong, or is there possibly a bug here? Error printout:

Runtime Error: In Scheduled Event 'SPY: EveryDay: SPY: 16 min before MarketClose', NullReferenceException : Object reference not set to an instance of an object
at Python.Runtime.Dispatcher.Dispatch (System.Collections.ArrayList args) [0x00018] in <7ada479175184ff388929ece541bbdb4>:0
at __System_ActionDispatcher.Invoke () [0x00006] in :0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in <2e7c1c96edae44d496118948ca617c11>:0 NullReferenceException : Object reference not set to an instance of an object
at Python.Runtime.Dispatcher.Dispatch (System.Collections.ArrayList args) [0x00018] in <7ada479175184ff388929ece541bbdb4>:0
at __System_ActionDispatcher.Invoke () [0x00006] in :0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in <2e7c1c96edae44d496118948ca617c11>:0

Code attached:

from clr import AddReference

AddReference("System")

AddReference("QuantConnect.Algorithm")



AddReference("QuantConnect.Common")



from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *

from QuantConnect.Data import *



from Alphas.NullAlphaModel import NullAlphaModel

from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel

from Execution.VolumeWeightedAveragePriceExecutionModel import VolumeWeightedAveragePriceExecutionModel

from Risk.TrailingStopRiskManagementModel import TrailingStopRiskManagementModel



from datetime import datetime, timedelta





class BasicTemplateFrameworkAlgorithm(QCAlgorithmFramework):



  def Initialize(self):



    # Set requested data resolution

    self.UniverseSettings.Resolution = Resolution.Minute



      self.SetStartDate(2016, 7, 29)

      self.SetEndDate(2016, 8, 2)

      self.SetCash(1000000)





      self.SetUniverseSelection(ScheduledUniverseSelectionModel(

        self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),

        self.TimeRules.At(4, 0),

        self.SelectSymbols))



      self.SetAlpha(NullAlphaModel(self))

      self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

      self.SetExecution(ImmediateExecutionModel())

      self.SetRiskManagement(TrailingStopRiskManagementModel(0.03))





      # QCAlgorithm

      self.AddEquity('SPY', Resolution.Minute)

      self.Schedule.On(self.DateRules.EveryDay('SPY'), self.TimeRules.BeforeMarketClose('SPY', 16), Action(self.PreMarketClose))







    def PreMarketClose(self):

        self.Log('market closing')

        for instrument in self.Portfolio:

            if self.Portfolio[instrument].Invested:

                self.Log('closing: ' + str(instrument))

                    self.MarketOnCloseOrder(instrument, -self.Portfolio[instrument].Quantity, asynchronous = True)

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KILLC

Accepted Answer

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Alexandre Catarino

Pro ,

Please share an algorithm (use the attach backtest button below) that shows the issue you are experiencing.
This procedure helps us, the community, to answer your questions quickly and effectively.

I got a different error:

During the algorithm initialization, the following exception has occurred: AttributeError : 'BasicTemplateFrameworkAlgorithm' object has no attribute 'SelectSymbols'

  at Initialize in main.py:line 36

 AttributeError : 'BasicTemplateFrameworkAlgorithm' object has no attribute 'SelectSymbols'

It means we haven't defined SelectedSymbols callback method.

Ideally, a framework algorithm is alpha driven (or insight driven), so we shouldn't be placing orders in a scheduled event. We should be emitting insights at a given date/time that would trigger orders in the execution model.

KILLC

369 Pro ,

Hello Alexandre,

Again, thank you for your assistance. The issue was with my PreMarketClose function itself, there was some sort of error in it (maybe an unprintable ASCII character? couldn't tell). I'll share backtests in the future, thanks.

Alexandre Catarino

Pro ,

In PreMarketClose, you are iterating a Portfolio object which is a key-value pair:

for kvp in self.Portfolio:

    holdings = kvp.Value

    if holdings.Invested:

        ticket = self.MarketOnCloseOrder(holdings.Symbol, -holdings.Quantity,

                                         asynchronous = True)

   #self.Log(f'closing: {ticket})   # only uncomment for debug

KILLC INVESTOR

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