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What is the process for using the 3:30 pm price in a daily moving average instead of the after-market closing price in an alpha model framework? I thought an self.schedule.on item that called Update(self, algorithm, data) would work however schedule is not available for alpha model framework.
Thank you,
Keith
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Derek Melchin
Hi Keith,
We can create a consolidator inside the SymbolData class to keep the security's price updated. Then we can create a Scheduled Event inside the SymbolData class to update it's indicator 30 minutes before the close.
See the attached backtest for reference.
Best,
Derek Melchin
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.
Keith Forward
Derek, Thank you very much. This is very helpful.
Keith Forward
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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