Alpha model Update() at 4:00pm market close

Hi Fishstoryyy

I guess your resolution is not Daily in that setting. You can use schedule method in initialize method of your algo class like 

self.Schedule.On(self.DateRules.EveryDay("SPY"), \
                 self.TimeRules.BeforeMarketClose("SPY", 0), \
                 self.EveryDayBeforeMarketClose)	# your function to emit insights

Or even set a time like At(0,0). then emit insights in that function which could save a bit time from checking if statement and memory from initializing a new class. But if you insist of using alpha framework, this is a more general precise method:

class MyAlphaModel(AlphaModel):
		def Update(self, algorithm, data):
				if not algorithm.Securities["SPY"].Exchange.ExchangeOpen: 
				# You can replace SPY by your own tickers

your way works fine though in typical US traded stocks.

My experience told me that the market-on-open orders are sometimes having extreme spread for illiquid stocks so that your filling might go wrong. You might consider use SpreadExecutionModel()

Cheers
Louis

Hi Fishstoryyy,
Thank you, Louis, for your response.
We suggest using the ImmediateExecutionModel, for the above strategy and update the following code.
 

algorithm.MarketOrder(target.Symbol, quantity)

to,

algorithm.MarketOnOpenOrder(target.Symbol, quantity)

Note that we should avoid placing the order exactly at 16:00 because in practice the market is closed. We recommend placing it a couple of minutes before, e.g. 5 minutes before the close.
Best,
Varad Kabade

Hi Varad and Louis,

Thank you for your input here and I will trying them out.

My live algo ran into a data problem after doing exactly what I described. My live data feed at 4:00pm was missing data on a lot of the added symbols (I am on Minute resolution by the way) and the Update method is confusingly called twice at market-close when I expect it to be called once each minute: 

class MyAlphaModel(AlphaModel):

	def Update(self, algorithm, data):
		# at market close
		if algorithm.Time.hour == 16 and algorithm.Time.minute == 0:
			algorithm.Log("start analysis...")
			for symbol in addedSymbols:
				if not data.ContainsKey(symbol):
					# a lot of securities is missing data here but they are in my universe!!!
					algorithm.Log(f"no-data @ {algorithm.Time} for {symbol.Value}")
				pass
			algorithm.Log("analysis completed...")

Log:

Algothrim started
...
2021-06-25 20:00:00 : 	start analysis... # at 4:00pm
2021-06-25 20:00:00 : 	analysis completed...

2021-06-25 20:00:01 : 	start analysis... # called again?????
2021-06-25 20:00:01 : 	no-data @ 2021-06-25 16:00:01.800355 for SPY
2021-06-25 20:00:01 : 	no-data @ 2021-06-25 16:00:01.800355 for AMD
2021-06-25 20:00:01 : 	no-data @ 2021-06-25 16:00:01.800355 for AAPL

2021-06-25 20:00:01 : 	no-data @ 2021-06-25 16:00:01.800355 for AMZN
2021-06-25 20:00:01 : 	analysis completed...
Algothrim finished

Can you please help me figure out what happened and what needs to be fixed? From the log, it looks like the Update() method was first called exactly at 4:00pm and then called again 1 second after. How is that possible given my resolution is minute? This is a big deal to my live algo. Thank you in advance.

Hi,

Need help here.. I tried using the scheduled event as follows and the same problem still happens during live trading:

        self.Schedule.On(
            self.DateRules.EveryDay(),
            self.TimeRules.BeforeMarketClose("SPY", 0),
            self.EveryDayBeforeMarketClose,
        )

def EveryDayBeforeMarketClose(self):
        self.Log(f"EveryDayBeforeMarketClose: Fired at: {self.Time}")
        # at market close
        self.Log("emitting insights...")
        for symbol in addedSymbols:
            if not self.CurrentSlice.ContainsKey(symbol):
                self.Log(f"no-data @ {self.Time} for {symbol.Value}")

In my EveryDayBeforeMarketClose function, I have the same log messages that tell me I don't have data:

2021-06-28 20:00:01 : 	EveryDayBeforeMarketClose: Fired at: 2021-06-28 16:00:00.880139
2021-06-28 20:00:01 : 	emitting insights...
2021-06-28 20:00:01 : 	no-data @ 2021-06-28 16:00:00.880139 for SPY
2021-06-28 20:00:01 : 	no-data @ 2021-06-28 16:00:00.880139 for AAPL
2021-06-28 20:00:01 : 	no-data @ 2021-06-28 16:00:00.880139 for AMD
2021-06-28 20:00:01 : 	no-data @ 2021-06-28 16:00:00.880139 for AMZN

Hi Fishstoryyy,
For queries/questions regarding live algorithms, please contact support@quantconnect.com
Best,
Varad Kabade