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public void OnData(TradeBars data)
{
bool IsMarketOpen = Securities["SPY"].Exchange.DateTimeIsOpen(Time);
if (IsMarketOpen)
{
NoOrderTime = Time.AddMinutes(10);
}
foreach (var security in selectedSymbols)
{
var openOrders = Transactions.GetOpenOrders(security);
if (Time <= NoOrderTime)
{
if (Portfolio[security].Invested==false)
{
if (openOrders.Count == 0)
{
SetHoldings(security, 0.1);
}
}
}
if (Time > NoOrderTime)
{
if (openOrders.Count > 0)
{
Transactions.CancelOpenOrders(security);
}
}
}
It seems that the above code is not working. Could someone help me? Thanks.
Shile Wen
Hi Vidal,
The issue is that we are constantly pushing NoOrderTime farther back in each iteration of OnData. We need to have this be set once and have it not change, which we can do by keeping track of the current Day and only changing the NoOrderTime if we get a new Day. I've shown this in the attached backtest.
Best,
Shile Wen
Vidal boreal
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