Liquidate all positions before market close for a set of symbols

Hi Justin,

“for a set of symbols” and “found using universe selection”.

If you mean you want to liquidate ALL your portfolio (i.e. the current set of symbols you have a position in):

# In Initialize
# This defines a scheduled event which fires self.ClosePositions everyday SPY is trading 1 minute before SPY stops trading
# Note I am using 30, for 30 minutes before close, as specified
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 30), self.ClosePositions)

def ClosePositions(self):        
    if self.Portfolio.Invested: # it does not hurt to check that but in fact, if you are not invested, Liquidate() will simply do nothing
        self.Liquidate()

If you mean to liquidate a set of symbols that you have defined yourself in your code:

# In Initialize
# This defines a scheduled event which fires self.ClosePositions everyday SPY is trading 1 minute before SPY stops trading
# Again 30 minutes
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.BeforeMarketClose("SPY", 30), self.ClosePositions)

self.symbols = set() # An empty set in which you will add() your selected symbols - I am using a set such that even if you add the same symbol many times, it is in there only once - just a precaution and "better design"


def OnSecuritiesChanged(self, changes):

	for sec in changes.AddedSecurities:

		self.symbols.add(sec.Symbol)

	

	for sec in changes.RemovedSecurities:

		self.symbols.discard(sec.Symbol)

def ClosePositions(self):        
    for symbol in self.symbols:
        self.Liquidate(symbol)

The above is simply ONE way to define the set of symbols you want to liquidate each day. It might not fit what you want to do.

Fred

Thanks Fred, both of these work because I want them all liquidated so as not to carry overnight risk. 

Do you mind explaining the function of “SPY” in the event schedulers DateRule and TimeRule? It seems irrelevant and I couldn't find an explanation in the documentation. Why not just remove it?

Justin

Hi Justin,

Sure. In fact it is really “important”.

self.DateRules.EveryDay("SPY"): it means “for every day that SPY trades”. So the event will not fire on Saturdays and Sundays, for instance. It will also not fire for holidays for the market which trades SPY… But markets for other assets sometimes have other holidays…

self.TimeRules.BeforeMarketClose("SPY", 30): you can then infer here. Same deal, but for market close, so 16h00 here.

So those rules are “smart” wrt to trading days. You want your events NOT to fire when they should not…

Fred

Got it, this makes much more sense when used this way. Perhaps the documentation could be more clear that the symbol is the reference for the market time, and not that the event scheduler is only initialized for that specific symbol. Thanks again Fred!