Orders executed at the end of the next day. What is the reason?

Hey sebul 

So it took me a while but I found out that the stop market orders execute every time after the next bar. Which means that you have to either adjust your resolution or using other order types.

Hey Nico Xenox,

thank you for your reply! I changed the order type into “marketOrder” and now the strategy opens orders immediately after receiving signals. 

In the meantime I realised that a strange error occurs. When the strategy receives a signal at the end of Friday's bar, although it should execute the order as soon as the market opens on Monday, this erros is printed: 

Warning - Code: NotSupported - The OandaBrokerageModel does not support MarketOnOpen order type.

I've been looking for answers among older posts, and found advice to call the IsMarketOpen method.
https://www.quantconnect.com/forum/discussion/8537/the-oandabrokeragemodel-does-not-support-marketonopen-order-type-cfd-simple-framework/p1
https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/order-errors
Although I implemented the method to only execute trades or liquidiate positions when market is open (line 37 and 40), the problem still occurs.
I've attached screenshot of orders which present this error. As you can see, on 23.04 Long position was opened. The positions was supposed to be closed next day on 24th, but as it was Saturday, so I received the MarketOnOpen order type error again, despite implementing the method, which should prevent such error. The strategy skipped closing existing positions and opened another long trade a few days later.

By any chance, do you have any idea how to fix this issue? Or should I post this question as a separate post? 

# region imports
from AlgorithmImports import *
# endregion

class CustomIndexStrategy(QCAlgorithm):

    def Initialize(self):

        self.Pair_1_Multiplier = 4
        self.Pair_1 = "USDDKK"
        self.holdingDays = 1
        self.SetStartDate (2015, 3, 3) 
        self.SetEndDate(2016,5,24)
        self.SetCash(1000000)  
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.EURSEK = self.AddForex(self.Pair_1, Resolution.Daily, Market.Oanda)
        self.symbols = [self.Pair_1]
        self.prevPrices = { symbol : RollingWindow[QuoteBar](7) for symbol in self.symbols }
        self.ticketPair1 = None 

    def OnData(self,data):
        
        for symbol in self.symbols:
            if data.ContainsKey(symbol):
                self.prevPrices[symbol].Add( data[symbol] )

        if not all([ window.IsReady for window in self.prevPrices.values() ]):
            return
            
        Pair1_window = self.prevPrices[self.Pair_1]
        Pair1_1D = Pair1_window[1].Close
        Pair1_0D = Pair1_window[0].Close

        if self.ticketPair1 is not None and self.UtcTime < self.ticketPair1.Time + timedelta(days=(self.holdingDays)):
            return

        if self.ticketPair1 is None and self.IsMarketOpen(self.Pair_1) and Pair1_0D < Pair1_1D:
            self.ticketPair1 = self.MarketOrder(self.Pair_1, 100000 * self.Pair_1_Multiplier)    

        if self.ticketPair1 is not None and self.IsMarketOpen(self.Pair_1) and self.UtcTime >= self.ticketPair1.Time + timedelta(days = self.holdingDays): 
            self.Liquidate()
            self.ticketPair1 = None

sebul 

I also found a solution for that. Looking at the invalid orders I saw that it is always at fridays. One explanatino might be that it is closed at that time. So adding an if statement to check if it is friday is enough.

self.Time.weekday() != 4

Nico Xenox 

Thank you for helping me out with this issue, I appreciate your help. I have one more question which I would like to ask. Although the strategy works correctly most of the time, a few days per year still exist, when the issue occurs. These days are bank holidays like Christmas and New Year Eve. They dont occur on Fridays but in the middle of a week. To solve this problem I added a simple rule in “OnData” event: 

        if self.Time.Day == 25 and self.Time.Month == 12:
            return

If I understand correctly, this rule should restrict the strategy to not trade on 25th of December. Despite that, I receive this error:

datetime.datetime' object has no attribute 'Day'
  at OnData
    if self.Time.Day == 25 and self.Time.Month == 12:

What could be the reason of such error? 

sebul 

You're using c# commands in Python. see here. When you write the code a little window always pops up. On there you can see the right values for python. In this case Day is day an Month is month.

Hey sebul 

I foud a way better solution! You can check if the Exchange of the Security is Open or not.

self.Securities["USDDKK"].Exchange.ExchangeOpen is True

Nico Xenox great, thank you very much for you advices! 

I've implemented you suggestions and there is one last thing I dont quite understand. Its anomaly in “strategy equity” chart in backtesting. 

I extended the rule, so the price has to decline 4 days in a row to open a long position. Despite the fact, that during some periods of time no position is opened, “Strategy Equity” chart still slightly moves every day. The magnitude of changes is not large, is around 0.05-0.1% per day but I am still wondering where it comes from. 
1st screenshot presents the chart. As you can see around 11th of June 2015 my strategy closed a position. Then, no positions are opened for next few weeks. Despite that, as you can see, small fluctuations occur every day. Second screenshot presents Orders History which confirms that no positions were opened after 12th of June 2015 and that the quantity of opened positions equals 0.

Of course I understand that this anomaly is not directly linked to the topic of this post, so please let me know if you think I would be better off by posting a separate question about this. I very much appreciate your help and advices which you have given me so far :) 

from AlgorithmImports import *
# endregion
class CustomIndexStrategy(QCAlgorithm):
    def Initialize(self):

        self.Pair_1_Multiplier = 4
        self.Pair_1 = "USDDKK"
        self.holdingDays = 1
        self.SetStartDate (2015, 3, 3) 
        self.SetEndDate(2016,5,24)
        self.SetCash(50000)  
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.EURSEK = self.AddForex(self.Pair_1, Resolution.Daily, Market.Oanda)
        self.symbols = [self.Pair_1]
        self.prevPrices = { symbol : RollingWindow[QuoteBar](7) for symbol in self.symbols }
        self.ticketPair1 = None 

    def OnData(self,data):
        
        for symbol in self.symbols:
            if data.ContainsKey(symbol):
                self.prevPrices[symbol].Add( data[symbol] )
        
        if not all([ window.IsReady for window in self.prevPrices.values() ]):
            return
            
        Pair1_window = self.prevPrices[self.Pair_1]
   
        Pair1_3D = Pair1_window[3].Close
        Pair1_2D = Pair1_window[2].Close        
        Pair1_1D = Pair1_window[1].Close
        Pair1_0D = Pair1_window[0].Close

        if self.ticketPair1 is not None and self.UtcTime < self.ticketPair1.Time + timedelta(days=(self.holdingDays)):
            return
        if self.ticketPair1 is None and Pair1_0D < Pair1_1D < Pair1_2D < Pair1_3D and self.Securities["USDDKK"].Exchange.ExchangeOpen is True:
            
            self.ticketPair1 = self.MarketOrder(self.Pair_1, 100000 * self.Pair_1_Multiplier)    

        if self.ticketPair1 is not None and self.UtcTime >= self.ticketPair1.Time + timedelta(days = self.holdingDays) and self.Securities["USDDKK"].Exchange.ExchangeOpen is True:    
            self.MarketOrder(self.Pair_1, -100000 * self.Pair_1_Multiplier)
            self.ticketPair1 = None

Hey sebul I really have no idea but it might be the way how daily performance is calculated. Sorry about that, you can close this and open another one or ask on discord. There they might be able to answer the question without the need of opening a new conversation. Either way, good luck with your code ;)

No need to apologise, thank you very much for your help Nico Xenox !