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Trying to use the open prices of a daily changing universe to decide whether to invest but everytime self.Securities[symbol].Open is called it only returns 0.0 for every symbol.
Calling the method in the morning; self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(9, 35), self.OpeningBar)
Thanks in advance
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Shile Wen
Hi Connor,
This is likely due to missing data. One method to address this would be to add self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x))) in Initialize, which will fill missing values with yesterday's close. Please note in this case, the order quantity will be calculated with yesterday's close. I've shown this in the attached backtest.
Alternatively, you skip trading stocks where self.Securities[symbol].Open == 0.
Best,
Shile Wen
Connor Watts
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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