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I added an event that I run 15 minutes before MarketClose. In it, I make a trade decision and send a limit order. I noticed the order was never being filled, even when I used a highly liquid symbol (SPY) and gave it a very generous limit (1.1 * lastPrice). I'm guessing this fill doesn't happen because my data resolution is set to daily?
1. Is it possible to have the fill simulator run at a different resolution (ideally seconds) than the tick data I'm subscribed to for my data events?
2. Somewhat unrelated, but the docs say that OnEndOfDay is called 10 min before close of market. Is there a similar method guaranteed to be called after market close that has the daily closing price set for an equity, or should I subscribe to a daily event at say 5pm EST?
Thanks!
Derek Melchin
Hi Josh,
(1) We recommend subscribing to data with the resolution that we want for trades. Use consolidators if the trading is decided with a lower resolution.
(2) We suggest using a scheduled event. We can then access the previous closing price with
self.Securities[symbol].PriceIn backtesting, it's triggered at the next data point (9:30am). In live mode, it'll be triggered at the specified time. See the attached backtest for reference.
Best,
Derek Melchin
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Josh Anon
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.
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