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I am currently having two problems. The first problem is my algorithm keeps making trades @ 00:00:00. I then changed the order to a MarketOrder, but the same thing happens (It just gets filled at Market Open) I tried writing some code so the Algo can only account for prices during open market and stop pre/post-market trade request.
usa_after_hours = True
#opentime = self.TimeRules.At(9, 30)
#closetime = self.TimeRules.At(15, 59, 45)
#if int(self.time) >= int(opentime) and <= int(closetime):
#usa_after_hours = False
'''I put the int() after i tried it without int()'''
'''I then went on and tried this, which also isnt working'''
if self.IsMarketOpen:
usa_after_hours = False
elif not self.IsMarketOpen:
usa_after_hours = True
if not self.Portfolio.Invested and already_traded and not usa_after_hours:none of these seem to work and "usa_after_hours" is either stated to be already defined or not defined in the error logs. I saw something about SetMarketHours in an already closed discussion but I couldn't find it the API or documents.
The second problem is I am trying to create a T/F variable that only allows one entry trade in a given period. I named it "already_traded", but that also seems to be not working. So I am assuming that I am not using T/F statements correctly because I have seen QC algorithms use T/F as part of determining to get into a trade or not.
Teddy Brosevelt
I'm not really that good at writing python but I believe this example from Algorithm.Python\BubbleAlgorithm.py answers your question. If not, I do appologize.
"and self.Time.hour > 9 and self.Time.minute > 30:" or "and self.Time.hour < 16 and self.Time.minute < 30:"
# Order stock based on MACD # During market hours, stock is trading, and sufficient cash if self.Securities[stock].Holdings.Quantity == 0 and self._rsiDic[stock].Current.Value < 70 \ and self.Securities[stock].Price != 0 \ and self.Portfolio.Cash > self.Securities[stock].Price * 100 \ and self.Time.hour == 9 and self.Time.minute == 31: self.BuyStock(stock) # Utilize RSI for overbought territories and liquidate that stock if self._rsiDic[stock].Current.Value > 70 and self.Securities[stock].Holdings.Quantity > 0 \ and self.Time.hour == 9 and self.Time.minute == 31: self.SellStock(stock)Teddy Brosevelt
Actually, you could use it as is and execute your daily buy/sell at 9:31am.
Ez Buckets
Eric Davis, I don't think that fully solves either one of my problems. But I'll keep giving it a look and see what I can do with it. Thank you. But if you have another way that you could code in C# I have no problem looking at it and translating into python.
Teddy Brosevelt
Ah, I see your problem now. I had not really thought about it prior to this but here's how I did it in c#. If you set an hourly schedule, make sure you set the appropriate resolution for the algo.
First I created a counter and a trade hours bool.
private bool _tradingEnabled = true; private int _tradeCounter = 0;Second I created a schedule to fire every hour resetting the trade counter.
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromMinutes(60)), () => { _tradeCounter = 0; });Then I created a method to toggle trading hours on and off.
// Enables and disables trading based on time. private void TradingHoursToggle() { if (Time.Hour == 9 && Time.Minute == 30) { _tradingEnabled = true; } if (Time.Hour == 4 && Time.Minute == 0) { _tradingEnabled = false; } }Finally I threw everything in OnData and put an increment for the counter in the buy method and a conditional statement saying if more than 1 trade has been made, then another one can't be made till the schedule fires and resets the trade counter.
//Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(TradeBars data) { // If the deadmans switch is enabled, the algorithm must be restarted before we can trade again. if (_deadmansSwitchTripped == true) return; // Verify we can trade TradingHoursToggle(); // Check to see if we need to enable the deadmans switch to liquidate everything and stop all trading //DeadmansSwitch(); // Check to make sure our stock didn't drop below the drawdown limit. TrailingStop(); // Liquidate the security when it's no longer at the top of the rankings list. if (_changes.RemovedSecurities.Count > 0) { // liquidate removed securities foreach (var security in _changes.RemovedSecurities) { if (security.Invested && _tradingEnabled == true) { Liquidate(security.Symbol); Debug("Liquidated Stock due to security being removed: " + security.Symbol.Value); } } } // liquidate removed securities foreach (var security in Securities) { if (!security.Value.Invested && _tradingEnabled == true && _tradeCounter < 1) { SetHoldings(security.Key, 1m / _numberOfSymbolsFine); Debug("Purchased Stock due to security being added: " + security.Key); _tradeCounter++; } } }Teddy Brosevelt
You could also create a trade queue (List) and have the schedule fire every minute, trying to sell everything in the trade queue after the market opens.
Ez Buckets
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