I am receiving the following error upon running my algo (below). The algo is a modified RSI crossover with a trailing stop. Any ideas why this error is coming up? The error refers to the first instance of             self.stopMarketTicket.Update(updateFields). Thanks.
 

Runtime Error: InvalidOperationException : Sequence contains no elements
at System.Linq.ThrowHelper.ThrowNoElementsException()
at System.Linq.Enumerable.Last[TSource](IEnumerable`1 source)
at QuantConnect.Orders.OrderTicket.Update(UpdateOrderFields fields) in /LeanCloud/CI.Builder/bin/Debug/src/QuantConnect/Lean/Common/Orders/OrderTicket.cs:line 279 
at OnData
self.stopMarketTicket.Update(updateFields)
===
at Python.Runtime.PyObject.Invoke(PyTuple args in main.py: line 64 (Open Stacktrace)

  1. import numpy as np
  3. class BasicTemplateAlgorithm(QCAlgorithm):
  4.     
  5.     def __init__(self):
  6.         self.stopMarketTicket = None
  7.         self.stopMarketOrderFillTime = datetime.min
  8.         self.stopPrice = 0
  9.         self.risk = 0.95
  11.     def Initialize(self):
  12.         self.cash = 100000
  13.         self.stock = "TQQQ"
  14.         self.SetStartDate(2021,1, 1)  
  15.         self.SetEndDate(2021,11, 12)    
  16.         self.SetCash(self.cash)
  17.         self.AddEquity(self.stock, Resolution.Hour)
  18.         
  19.         #We add our RSI 14 period indicator
  20.         self.rsi = self.RSI(self.stock, 14)
  21.         self.lastrsi = None
  22.         self.SetWarmUp(14)
  23.         
  24.     def OnData(self, data):
  26.         if not self.rsi.IsReady: 
  27.             return
  28.         
  29.         if self.lastrsi is None:
  30.             self.lastrsi = self.rsi.Current.Value
  31.             return 
  32.         
  33.         #If we cross oversold threshold from below
  34.         if self.lastrsi < 30 and self.rsi.Current.Value > 30:
  35.             
  36.             #if we are not currently in a trade
  37.             if not self.Portfolio[self.stock].Invested:
  38.                 #we place a long market order
  39.                 self.SetHoldings(self.stock, 1.0)
  40.                 self.stopMarketTicket = self.StopMarketOrder(self.stock, -self.Portfolio[self.stock].Quantity, self.risk * self.Securities[self.stock].Close)
  42.         #If RSI is oversold while we are short        
  43.         elif self.rsi.Current.Value < 30 and self.Portfolio[self.stock].IsShort:
  44.             # if we are already in a short trade we liquidate
  45.             self.Liquidate()
  46.                      
  47.         #if RSI signals overbought
  48.         if self.lastrsi > 70 and self.rsi.Current.Value < 70:
  49.             
  50.             if not self.Portfolio[self.stock].Invested:
  51.                  #enter short position
  52.                 self.SetHoldings(self.stock, -1)
  53.                 self.stopMarketTicket = self.StopMarketOrder(self.stock, self.Portfolio[self.stock].Quantity, self.risk * self.Securities[self.stock].Close)
  54.         
  55.         #if RSI is overbought while we are long       
  56.         elif self.rsi.Current.Value > 70 and self.Portfolio[self.stock].IsLong:
  57.             #if we already in a long trade we liquidate 
  58.             self.Liquidate()
  59.         
  60.         if self.Portfolio[self.stock].IsLong and self.Securities[self.stock].Close > self.stopPrice:
  61.             self.stopPrice = self.Securities[self.stock].Close
  62.             updateFields = UpdateOrderFields()
  63.             updateFields.StopPrice = self.stopPrice * self.risk
  64.             self.stopMarketTicket.Update(updateFields)
  66.         elif self.Portfolio[self.stock].IsShort and self.Securities[self.stock].Close < self.stopPrice:
  67.             self.stopPrice = self.Securities[self.stock].Close
  68.             updateFields = UpdateOrderFields()
  69.             updateFields.StopPrice = self.stopPrice * self.risk
  70.             self.stopMarketTicket.Update(updateFields)
  71.         
  72.         #store current RSI value to use later
  73.         self.lastrsi = self.rsi.Current.Value
  74.         
  75.     def OnOrderEvent(self, orderEvent):
  77.         if orderEvent.Status != OrderStatus.Filled: return
  79.         if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId:
  80.             self.stopMarketOrderFillTime = self.Time
+ Expand

 

 

Author

James Hawkins

November 2021