Understanding the price error when buying in OnSecuritiesChanged

Here's the algorithm for reference.

class CrawlingLightBrownKoala(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 1)
        self.SetEndDate(2021, 1, 31)
        self.SetCash(100000)
        
        self.UniverseSettings.Resolution = Resolution.Minute
        self.AddUniverse(self.CoarseSelectionFunction) 

    def CoarseSelectionFunction(self, coarse):
        coarse = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)  
        
        return [c.Symbol for c in coarse if c.Price > 10][:10]
        
    def OnSecuritiesChanged(self, changes):
        for security in changes.RemovedSecurities:
            if security.Invested:
                self.Liquidate(security.Symbol)
        
        for security in changes.AddedSecurities:
            self.SetHoldings(security.Symbol, 0.1)

Hi Justin,

“Should I be buying and selling in OnData instead of OnSecuritiesChanged?”

Yes. What happens is that in OnSecuritiesChanged, your securities have just been added or removed from the Universe. For the added ones, they need to be in the Universe for them to receive at least one bar. So previous to OnSecuritiesChanged, they were not there so they could not get any data (you were not “subscribed” to them). After OnSecuritiesChanged return, they are there and will start getting data.

So OnSecuritiesChanged is usually used to manage internal variables with symbols, sometimes dictionaries from symbols → indicators, etc. You can also liquidate securities that are removed (if invested) - or else, it will become difficult to exit those positions as you can imagine.

Cheers,

Fred

Hey Fred, thanks for clarifying that. I'll stick to buying in onData. Appreciate the help!