Back

Order Fill Date

Why is my strategy having the order submitted on one day and then filled on the next day?  How can I make my strategy fill on the same day?

Also, what is the best way to access the current price of my security at any given time?  If the security is SPY, is it:

self.Securities["SPY"].Price

Or:

self.data["SPY"].Price

Or something else entirely...

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.


Hi Sam,

Orders that are placed when the market is closed are filled the next trading day. To fill orders the same day we submit them, we need to subscribe to a data resolution higher than daily and ensure the market is open.

We can ensure the market is open with

self.Securities['SPY'].Exchange.ExchangeOpen

In regards to getting the last closing price for the SPY, either of the following statements will work.

self.Securities["SPY"].Price
self.data["SPY"].Price

See that attached backtest for an example. Going forward, I recommend reviewing our documentation and completing some bootcamp lessons. Both resources are a great place to start learning our API.

Best,
Derek Melchin

1

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.


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