Consolidating bar not ready on next day open

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I have a consolidator tradeBar window (rollingBAR) that gets updated daily.
My strategy runs on a minute timeframe.
I want to run some logic before the market opens, so I scheduled an event 10 minutes before the market opens.
The problem comes when I try to evaluate the data on the tradeBar window. It seems gets updated with 1 day difference. So basically if I'm firing the event to start 2011-01-21 09:20:00, the last bar on my consolidated window is 2011-01-19 00:00:00 - 2011-01-20 00:00:00; while I'd expect to be 1 more bar in it.
What time the consolidator gets updated? and how can I achieve the data is updated till the last available bar (so basically the day before, and not 2 days before?).

Thanks in advance for any help.

class GLDTradingMomentumAlphaModel(AlphaModel):

def __init__(self, algorithm, resolution = Resolution.Daily, primary = "GLD"):

self.resolution = resolution
self.primary = primary

self.symbolDataBySymbol = {}

self.lookback = 200
self.predictionInterval = Time.Multiply(Extensions.ToTimeSpan(self.resolution), 4)

resolutionString = Extensions.GetEnumString(resolution, Resolution)
self.Name = '{0}({1}-{2})'.format(self.__class__.__name__, resolutionString, primary)

algorithm.Schedule.On(algorithm.DateRules.EveryDay(self.primary), algorithm.TimeRules.AfterMarketOpen(self.primary, -10), self.evaluateDailyStrategy)
self.algo = algorithm

def evaluateDailyStrategy(self):

insights = []

for symbol in self.symbolDataBySymbol:
if symbol.Value == self.primary:
primaryData = self.symbolDataBySymbol[symbol]

if (primaryData.rsi2.IsReady == False) or (primaryData.macd.IsReady == False):
return

if not self.algo.Portfolio.Invested and (primaryData.rollingRSI[0] > 55 and primaryData.rollingRSI[1] > 55 and primaryData.rollingRSI[2] > 55 and primaryData.macd.Current.Value > 0):
insights.append(Insight.Price(self.primary, self.predictionInterval, InsightDirection.Up, None, None, None, 1))
elif self.algo.Portfolio.Invested and (primaryData.rollingRSI[0] > 90 and primaryData.rollingRSI[1] > 90):
insights.append(Insight.Price(self.primary, timedelta(seconds = 1), InsightDirection.Flat, None, None, None, 1))

self.algo.EmitInsights(Insight.Group(insights))

def Update(self, algorithm, data):

return []

def OnSecuritiesChanged(self, algorithm, changes):

for security in changes.AddedSecurities:
symbol = security.Symbol
if not symbol in self.symbolDataBySymbol:
self.symbolDataBySymbol[symbol] = SymbolData(symbol, self.lookback, algorithm, security, self.resolution)

for removed in changes.RemovedSecurities:
symbolData = self.symbolDataBySymbol.pop(removed.Symbol, None)
if symbolData is not None:
algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, symbolData.Consolidator)

class SymbolData:
def __init__(self, symbol, lookback, algorithm, security, resolution):
self.Symbol = symbol

self.rsi2 = RelativeStrengthIndex(2, MovingAverageType.Simple)
self.macd = MovingAverageConvergenceDivergence(10,20, 9, MovingAverageType.Exponential)
self.rollingRSI = RollingWindow[float](3)
self.rollingBAR = RollingWindow[TradeBar](2)

self.Consolidator = algorithm.ResolveConsolidator(symbol, resolution)
algorithm.RegisterIndicator(security.Symbol, self.rsi2, self.Consolidator)
algorithm.RegisterIndicator(security.Symbol, self.macd, self.Consolidator)

algorithm.Consolidate(security.Symbol, resolution, lambda x: self.rollingRSI.Add(x.Close))
algorithm.Consolidate(security.Symbol, resolution, lambda x: self.rollingBAR.Add(x))

 

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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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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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