Execution of Portfolio construction in Live trading by Goofball

Goofball INVESTOR

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Hi,

When switching to Live paper trading, I am wondering about the execution timing and order of the portfolio. In my backtest all works fine but in Live/paper the trades are not executed.

I read through the Live trading documentantion but still had two questions:

1. Is it fair to say that Universe Selection is automatically executed between 4-7AM ET each day? Are the AlphaModel, PortfolioConstruction and ExecutionModel then executed sequentially after the universe selection has been completed or is a scheduled event required to construct the portfolio?

2. In addition as of what time in the evening are the close prices available for extended market hours?

class TestAlgo(QCAlgorithm):



    def Initialize(self):  

        # initialize all parameters

        # ....

        self.UniverseSettings.Resolution = Resolution.Daily 



        # Leverage Algo framework for execution

        self.SetUniverseSelection(MyUniverseModel())  # Leverages coarse and fine of FundamentalUniverseSelectionModel

        self.SetAlpha(MyAlphaModel())

        self.SetPortfolioConstruction(MyPortfolioConstructionModel())

        self.SetRiskManagement(MyRiskManagementModel())



    def OnData(self):

        # leverage algo framework instead of OnData

        pass

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Goofball

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Derek Melchin

STAFF Pro ,

Hi Goofball,

(1) When backtesting, universe selection is performed at midnight by default; During live trading, universe selection is done about 6 hours later. The alpha model is not called directly after the universe selection model. Rather, it's called when a new data slice is available. As for the operation of the other Framework components, refer to our documentation. No scheduled event is needed to trade with the Framework design.

(2) In live trading and backtesting the daily bars are closed at midnight. When using extended market hours and non-daily resolution data, the extended market hours close will be provided to the algorithm at 8pm NY exchange time.

For any issues with live deployments, open a support ticket. This video explains the process.

https://www.youtube.com/watch?v=MIAJU6xWM0A

Best,
Derek Melchin

Goofball

317 Pro ,

Derek,

Thanks for the info. I just want to further clairfy the behavior of the Framework and On Data.

If the extended market data is available at 8PM ET I assume the OnData event will be triggered and execute the OnData code followed by the alpha, portfolio construction, risk and order execution models as outlined by the Framework.

Are there other instances with daily resolution data that will trigger the OnData slice and consequently trigger the Framework compents?

My goal is to run the Framework at the end of day just once. If the OnData is triggered only once a day when new market data is available then that is great. If OnData has other potential triggers then how can I ensure to execute the Framework components once a day (e.g., through a scheduled function?)

Derek Melchin

STAFF Pro ,

Hi Goofball,

After setting the universe resolution to daily, it's still possible for OnData to be called intraday. For example, in the attached backtest, we susbcribe to TiingoNews data, so the OnData is called intraday when a new article is released. However, if an algorithm only subscribes to daily pricing data, the OnData method should only be called at the end of each day.

This is a bad idea. We do not recommend using daily price data with intraday signals. Its much safer to simply use minute data to get accurate intraday fills.

Best,
Derek Melchin

Goofball

317 Pro ,

Thanks Derek. That makes sense.

Is there a way to determine what the trigger is for the OnData call (e.g., can I determine that it was triggered by extended market hours data availability, by Tingo News, etc.). In my case it would be great if I can determine if the event trigger is the market data availability.

Derek Melchin

STAFF Pro ,

Hi Goofball,

We can determine why OnData was called by examining the data slice passed to it.

if data.ContainsKey(self.symbol) and data[self.symbol] is not None:

    self.Log("New price data")

elif self.alpha.tiingo_symbol is not None and data.ContainsKey(self.alpha.tiingo_symbol):

    self.Log("New Tiingo data")

See the attached backtest for reference.

Best,
Derek Melchin

Goofball INVESTOR

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