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Hi All,
I have an algo that gets the open prices for my selected universe. It does this using a scheduled event n minutes after the market opens. Now if I set n to 0, in the backtest I'm warned that it is filling using stale data, so I have to set it to 1 minute.
Is this same behavior true in live trading? If my universe is set to minute resolution, does that mean the earliest I can get open prices is one minute after the market opens?
I'm looking for the quickest way to get market prices without having to resort to ticks becase that would be overhead I don't need at all.
Thanks for any help!
Xin Wei
Hi Kctrader,
A quick workaround would be placing orders before the market opens. At QuantConnect, this will trigger a Market On Open order, which trades with the market open price once the market opens at 9:30 am. The strategy can use a self.TimeRules.At to implement this, for instance:
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(9, 15), self.BeforeMarketOpen)I've attached a backtest so you can check that the orders are now filled with market open price.
Alternatively, as you mentioned, you can use tick data to trade at the first tick.
I hope this helps!
Cole S
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