Hi Alex,

attached the code that will reproduce the error. thanks a lot!

Main 

from datetime import timedelta, time from SymbolData import SymbolData import math class ErrorSubmission_TrailStop(QCAlgorithm): """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" Iniitalization """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" def Initialize(self): #-- Date Range self.SetStartDate(2020, 10, 1) # Set Start Date #-- Starting Equity self.SetCash(1000000) # Set Strategy Cash # check if will be replaced #---------- Universe Selection ------------- self.UniverseSettings.Resolution = Resolution.Minute self.UniverseSettings.ExtendedMarketHours = True # test live if work self.maxSymbolsFromUniverseFilter = 30 self.handpicked_SymbolList = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA), Symbol.Create("DNMR", SecurityType.Equity, Market.USA), Symbol.Create("PLTR", SecurityType.Equity, Market.USA), Symbol.Create("GME", SecurityType.Equity, Market.USA), ] self.AddUniverse(self.CoarseSelectionFilter) #---------- Alpha Generation ------------- #-- Criteria Settings self.criteriaDict = { } #---------- Portfolio Construction ------------- self.maxSymbolsToTrade = 10 # maxSymbols to trade self.symbolDict = {} # list which stores symbols (refreshes with universe updates + handpick selection) self.symbolWithPositionDict = {} # list which stores symbols with position self.potentialTradeDict = {} # temp list to store potential symbols to trade for symbol in self.handpicked_SymbolList: if symbol not in self.symbolDict: self.AddEquity(symbol.Value, Resolution.Minute) self.symbolDict[symbol] = SymbolData(self,symbol,self.criteriaDict) #---------- Risk Management ------------- self.useTrailStop = True self.trailStopPercentage = 0.25 #---------- Schedule to run calculation ------------- self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Every(TimeSpan.FromMinutes(2)), self.runAlgo) """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" # Coarse Selection Filter """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" def CoarseSelectionFilter(self, coarse): sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True) finalFilter = sortedByDollarVolume[:5] for coarseObject in finalFilter: symbol = coarseObject.Symbol return [x.Symbol for x in finalFilter] """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" runAlgo - Main execution function for the system - function is triggered every x minute to check for signal and execute trades """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" def runAlgo(self): #------------------------ Exit Signals ------------------------ #-- Trailing Stop if self.useTrailStop: for symbol in self.symbolWithPositionDict: symbolData = self.symbolDict[symbol] symbolPrice = self.Securities[symbol].Close # Trailstop order not yet set if symbolData.trailStopOrderTicket is None: # self.Debug(symbol.Value + " set trailstop") symbolData.trailStopOrderTicket = self.StopMarketOrder(symbol.Value, -self.Portfolio[symbol].Quantity, (1 - self.trailStopPercentage) * symbolPrice) # Trailstop order exist, adjust it if price moves higher else: if symbolPrice > symbolData.lastPeriodMax: symbolData.lastPeriodMax = symbolPrice updateFields = UpdateOrderFields() updateFields.StopPrice = (1 - self.trailStopPercentage) * symbolPrice # self.Debug(symbol.Value + " moving symbolLastPeriodMax up " + str(symbolPrice) + " " + str(updateFields.StopPrice)) symbolData.trailStopOrderTicket.Update(updateFields) #------------------------ Entry Signals ------------------------ self.potentialTradeDict.clear() # reset potentialTradeDict # for symbol in self.Portfolio.Keys: for symbol in self.symbolDict: if symbol not in self.symbolWithPositionDict: # run check only if symbol has no position currentClose = self.Securities[symbol].Close finalEntrySignal = 1 #-- append symbol to potential tradelist if finalEntrySignal > 0: self.potentialTradeDict[symbol] = finalEntrySignal #------------------------ Portfolio Construction + Execution ------------------------ #-- remove symbols from potentialTradeDict that already has a position items_to_be_removed = [] for symbol in self.potentialTradeDict: if symbol in self.symbolWithPositionDict.keys(): items_to_be_removed.append(symbol) for symbol in items_to_be_removed: del self.potentialTradeDict[symbol] #-- Total symbols (currentPosition + newly shortlisted) < maxSymbolsToTrade if len(self.symbolWithPositionDict) + len(self.potentialTradeDict) <= self.maxSymbolsToTrade: # trade all symbols in the potentialTradeDict and add them to the symbolInPositionList for symbol, signal in self.potentialTradeDict.items(): # calculate posSize posSize = self.getPosSize(symbol) if(posSize != 0): tag = "Sig: {:.2f}".format(signal) ticket = self.MarketOrder(symbol, posSize,False,tag) # add to positionDict self.symbolWithPositionDict[symbol] = posSize else: pass """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" # getPosSize """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" def getPosSize(self, symbol): dollarAllocation = self.Portfolio.TotalPortfolioValue//self.maxSymbolsToTrade symbolPrice = self.Securities[symbol].Price posSize = math.floor(dollarAllocation/symbolPrice) if symbolPrice>0 else 0 return posSize """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" OnSecuritiesChanged - this event fires whenever we have changes to our universe """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" def OnSecuritiesChanged(self, changes): # self.Log("OnSecuritiesChanged: " + str(self.Time)) for security in changes.RemovedSecurities: if ((security.Symbol in self.symbolDict) and (security.Symbol not in self.handpicked_SymbolList) and (security.Symbol not in self.symbolWithPositionDict)): # self.Log("Removing " + security.Symbol.Value + " from symbolDict") del self.symbolDict[security.Symbol] for security in changes.AddedSecurities: if security.Symbol not in self.symbolDict: # self.Log("Adding " + security.Symbol.Value + " to symbolDict") self.AddEquity(security.Symbol.Value, Resolution.Minute) self.symbolDict[security.Symbol] = SymbolData(self,security.Symbol,self.criteriaDict) """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" OnData """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" def OnData(self, data): pass

 

 

SymbolData

""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" Symbol Data """"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""" class SymbolData(object): def __init__(self, algorithm, symbol, criteriaDict): self.symbol = symbol self.symbolValue = symbol.Value self.algorithm = algorithm self.criteriaDict = criteriaDict #-- Trailing Stop self.lastPeriodMax = 0 self.trailStopOrderTicket = None self.trailStopPrice = None

 

Author

Pranava

February 2021