Problem working with a universe (of 10 companies) and trailing stop

Hi Yaros,
In the above algorithm, the OnDataConsolidated method should be part of the SymbolData class. The algorithm is using the same reference for StopMarket orders, so they are overwritten. We don't need to create a Scheduled event for each Symbol when we are liquidating our portfolio. We have made the following changes.
 

1. OnDataConsolidated method is part of SymbolData class
2. removed Scheduled events from OnSecuritiesChanged method to the initialize method
3. Instead of manually implementing trailing stop loss, we have replaced it with a TrailingStopRiskManagement model

Note that here the first consolidated bar will be available at 10.00 Am instead of 9.30. Refer to the attached backtest.
Best,
Varad Kabade

Thank you very much Varad kabade, 

I would like to ask something about the algorithm. I'm trying to get the market orders be executed during a specific period of time, for example between 11 - 11:30. If the conditional on the OnData definition is not done within this time range, then no market order is executed.

I've been trying this function but couldn't make it to work, I'll leave the error message below, any will will be appreciated.

self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen(self.symbols, 60), (self.OnData))

This is the Error Message:

During the algorithm initialization, the following exception has occurred: Trying to dynamically access a method that does not exist throws a TypeError exception. 

To prevent the exception, ensure each parameter type matches those required by the 'int'>) method. Please checkout the API documentation.  at Initialize    self.Schedule.On(self.DateRules.EveryDay() in main.py:line 21 TypeError : 

No method matches given arguments for AfterMarketOpen: (, )

I also attach all the code.  Thanks a lot for the help.

from datetime import datetime, timedelta


class DynamicOptimizedContainmentField(QCAlgorithm):
    
    def Initialize(self):
        
        self.stopMarketTicket = None
        self.stopMarketOrderFillTime = datetime.min
        self.highestPrice = 0
        self.SetStartDate(2021, 2, 26)  # Set Start Date\
        self.SetEndDate(2021, 4, 26)
        self.SetCash(1000000)  # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Minute
        self.AddUniverse(self.SelectCoarse)
        self.UniverseSettings.Leverage = 2
        self.symbols = {}
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(13,30), self.ClosePositions)
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen(self.symbols, 60), (self.OnData))
        self.AddRiskManagement(TrailingStopRiskManagementModel(0.05))
    
    def SelectCoarse(self, coarse):
        sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)
        filteredByPrice = [c.Symbol for c in sortedByDollarVolume if c.Price > 10 ]
        return filteredByPrice[:10]
    
    def OnSecuritiesChanged(self, changes):
        
        for security in changes.AddedSecurities:
            symbol = security.Symbol
            if symbol not in self.symbols:
                self.symbols[symbol] = SymbolData(self, symbol)
                
                
        for security in changes.RemovedSecurities:
            symbol = security.Symbol
            if symbol in self.symbols:
                symbolData = self.symbols.pop(symbol, None)
                self.SubscriptionManager.RemoveConsolidator(symbol, symbolData.consolidator)
                
    def OnData(self, data):
        
        for symbol, symbol_data in self.symbols.items():
            
            if symbol_data.openingBar is None: continue
        
            if not data.Bars.ContainsKey(symbol):
                continue
            
            if data.Bars[symbol].Close > symbol_data.openingBar.High and not self.Securities[symbol].Invested:
                quantity = self.CalculateOrderQuantity(symbol, 0.18) # orders 18% of portfolio
                self.MarketOrder(symbol, quantity) 
                continue
                
    def OnOrderEvent(self, orderEvent):
        if orderEvent.Status != OrderStatus.Filled:
            self.symbols[orderEvent.Symbol].openingBar = None
            return
       
                       
    def ClosePositions(self):
        for symbolData in self.symbols.values():
            symbolData.openingBar = None
        self.Liquidate() # liquidate entire portfolio
        
class SymbolData:
    
    def __init__(self, algorithm, symbol):
        
        self.algorithm = algorithm
        self.symbol = symbol
        self.consolidator = TradeBarConsolidator(timedelta(minutes = 30))
        self.consolidator.DataConsolidated += self.OnDataConsolidated
        self.openingBar = None

        algorithm.SubscriptionManager.AddConsolidator(symbol, self.consolidator)
        
    def OnDataConsolidated(self, sender, bar):
        if bar.Time.hour == 9 and bar.Time.minute == 30:
            self.openingBar = bar
        

Hi Yaros,
The OnData method is an event handler for our data subscriptions; it cannot be used as a Scheduled event. To resolve this issue, we can create another method to check the trade conditions. In the strategy mentioned above, a better way would be to implement a condition statement using timestamps to check for the trade condition in OnData itself. Refer to the following code snippet
 

if self.Time.time()<time(11,0) or self.Time.time()>time(11,30):return

We have implemented the above change in your algorithm; refer to the attached backtest.
Best,
Varad Kabade

Thank you very much again Varad

The backtest was running well but when I tried with an earlier Start Date to run the backtest again I was getting this error message: 

Runtime Error: Trying to retrieve an element from a collection using a key that does not exist in that collection throws a KeyError exception. To prevent the exception, ensure that the  key exist in the collection and/or that collection is not empty.  at OnOrderEvent    self.symbols[orderEvent.Symbol].openingBar = None ===   at Python.Runtime.PyObject.Invoke(PyTuple args in main.py:line 69 KeyError : (,) 

I look for some help in other discutions and I found this 

So I tried to add the block of code I leave below to complement the whole code and I got a new error message:

Runtime Error: IndexOutOfRangeException : Index was outside the bounds of the array.   at QuantConnect.Extensions.CreateType(PyObject pyObject) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Extensions.cs:line 2600   at QuantConnect.Algorithm.QCAlgorithm.History(PyObject type, PyObject tickers, Int32 periods, Nullable`1 resolution) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Algorithm/QCAlgorithm.Python.cs:line 842  at OnOrderEvent    hist = self.History(self.symbols in main.py:line 64 IndexOutOfRangeException : Index was outside the bounds of the array.   at QuantConnect.Extensions.CreateType(PyObject pyObject) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Extensions.cs:line 2600   at QuantConnect.Algorithm.QCAlgorithm.History(PyObject type, PyObject tickers, Int32 periods, Nullable`1 resolution) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Algorithm/QCAlgorithm.Python.cs:line 842

Again any help will be greatly appreciated

    def Initialize(self):
               
        self.lookback = datetime(2020, 4, 25)
    
                   
    def OnOrderEvent(self, orderEvent):
        
        hist = self.History(self.symbols, self.lookback, Resolution.Minute)
        if not all(symbl in hist.index.levels[0] and hist.loc[symbl].shape[0] >= self.lookback for symbl in self.symbols):
           return

Hi Yaros

Sorry for the delay. We could not fully debug without the entire code for reproducing the problem. Yet, if the whole History call returns an empty frame, there would be no level in .index so it is not hashable. Thus, prior to the other conditions, checking the dataframe isn’t empty shall be done first:

if history.empty or (..):

For further assistance, please attach your full code snippets.

Best
Louis Szeto