Long and Short two different futures with a bracket order

So, this code does not work right, it doesn't give me an error, but it doesn't trade wright. It fails to get the futures chain for the Vix.

I hope someone can help with this. I'll speak about what the program actually wants to do.

If the S&P500 is above, it's 200 day moving average it will go long Vix and ES contracts. If it is below, it will short them. Sending bracket orders with both of those trades.

It will only go long or short if it can do it for both symbols at once.

i.e if we are not long or short, check the condition, and either go long BOTH or short Both, then wait to not be invested in anything again.

Like I said below, the program is just not getting me the Vix chain. Not sure why.

# region imports
from AlgorithmImports import *
# endregion


class EnergeticAsparagusCormorant(QCAlgorithm):


    def Initialize(self):
        self.SetStartDate(2021, 1, 1)  # Set Start Date
        self.SetEndDate(2022, 1, 1) # Set End Date
        self.SetCash(500000)  # Set Strategy Cash

        self.future = self.AddFuture(Futures.Indices.SP500EMini, extendedMarketHours= True)
        self.future.SetFilter(0, 182)
        #self.future.SetFilter(lambda future_filter_universe: future_filter_universe.FrontMonth())
        self.symbol = self.future.Symbol


        self.Vix = self.AddFuture(Futures.Indices.VIX, extendedMarketHours= True)
        self.Vix.SetFilter(0, 182)
        #self.Vix.SetFilter(lambda future_filter_universe: future_filter_universe.FrontMonth())
        self.Vixsymbol = self.Vix.Symbol

        # ES vars
        self.Longentry_ticket = None
        self.Shortentry_ticket = None
        self.ESstopTicket = None
        self.ESprofitTicket = None
        self.LongcontractSymbol = None
        self.ShortcontractSymbol = None
        self.Esprice = None
        self.ShortEsprice = None

        # VIX vars
        self.Vixentry_ticket = None
        self.ShortVixentry_ticket = None
        self.VixstopTicket = None
        self.VixprofitTicket = None
        self.VixcontractSymbol = None
        self.ShortVixcontractSymbol = None
        self.VixPrice = None
        self.ShortVixPrice = None


        self.sma = SimpleMovingAverage(200)
        self.RegisterIndicator(self.symbol, self.sma, Resolution.Daily)

    def OnData(self, data: Slice):



        if (self.Longentry_ticket is None and self.Vixentry_ticket is None) and (self.Shortentry_ticket == None and self.ShortVixentry_ticket == None):
            if self.Securities[self.symbol].Price > self.sma.Current.Value:
                self.BuyFuture(data)


            elif self.Securities[self.symbol].Price < self.sma.Current.Value:
                self.ShortFuture(data)


        if self.Portfolio.Invested:

            # avoids error
            if self.LongcontractSymbol == None or self.VixcontractSymbol == None or self.ShortVixcontractSymbol == None or self.ShortcontractSymbol == None:
                return

            # will sell before an expiration or delisting:
            if self.Portfolio[self.LongcontractSymbol.Symbol].IsLong:
                if self.Time + timedelta(1) > self.LongcontractSymbol.Expiry:
                    self.Liquidate(self.LongcontractSymbol.Symbol, "Future too close to expiration.")
                    self.Longentry_ticket = None
                   
            if self.Portfolio[self.VixcontractSymbol.Symbol].IsLong:
                if self.Time + timedelta(1) > self.VixcontractSymbol.Expiry:
                    self.Liquidate(self.VixcontractSymbol.Symbol, "Future too close to expiration.")
                    self.Vixentry_ticket = None
              
            if self.Portfolio[self.ShortVixcontractSymbol.Symbol].IsShort:
                if self.Time + timedelta(1) > self.ShortVixcontractSymbol.Expiry:
                    self.Liquidate(self.ShortVixcontractSymbol.Symbol, "Future too close to expiration.")
                    self.ShortVixentry_ticket = None
                   

            if self.Portfolio[self.ShortcontractSymbol.Symbol].IsShort:
                if self.Time + timedelta(1) > self.ShortcontractSymbol.Expiry:
                    self.Liquidate(self.ShortcontractSymbol.Symbol, "Future too close to expiration.")
                    self.Shortentry_ticket = None
            
    def BuyFuture(self, data: Slice):

        # get the ES chain
        chain = data.FuturesChains.get(self.symbol)
        if chain:
           
            self.LongcontractSymbol = sorted(chain, key=lambda contract: contract.Expiry, reverse=True)[0]

            # save price and enter with limit order
            self.Esprice = self.Securities[self.LongcontractSymbol.Symbol].Price
            self.Longentry_ticket = self.LimitOrder(self.LongcontractSymbol.Symbol, 2, self.Esprice)

            # send out bracket order
            self.ESprofitTicket = self.LimitOrder(self.LongcontractSymbol.Symbol, -2, self.Esprice*1.05)
            self.ESstopTicket = self.StopMarketOrder(self.LongcontractSymbol.Symbol, -2, self.Esprice*0.95)
 
        # get the Vix chain
        Vixchain = data.FuturesChains.get(self.Vixsymbol)
        if Vixchain:
           
            self.VixcontractSymbol = sorted(Vixchain, key=lambda Vixcontract: Vixcontract.Expiry, reverse=True)[0]
   
            # save price and enter with limit order
            self.VixPrice = self.Securities[self.VixcontractSymbol.Symbol].Price
            self.Vixentry_ticket = self.LimitOrder(self.VixcontractSymbol.Symbol, 4, self.VixPrice)

            # send out bracket order
            self.VixprofitTicket = self.LimitOrder(self.VixcontractSymbol.Symbol, -4, self.VixPrice*1.05)
            self.VixstopTicket = self.StopMarketOrder(self.VixcontractSymbol.Symbol, -4, self.VixPrice*0.95)
       
        else:
            self.Log("failed to get Vix chain")

        return


    def BuyVix(self, data: Slice):

        # get the Vix chain
        Vixchain = data.FuturesChains.get(self.Vixsymbol)
        if Vixchain:
           
            self.VixcontractSymbol = sorted(Vixchain, key=lambda Vixcontract: Vixcontract.Expiry, reverse=True)[0]
   
            # save price and enter with limit order
            self.VixPrice = self.Securities[self.VixcontractSymbol.Symbol].Price
            self.Vixentry_ticket = self.LimitOrder(self.VixcontractSymbol.Symbol, 4, self.VixPrice)

            # send out bracket order
            self.VixprofitTicket = self.LimitOrder(self.VixcontractSymbol.Symbol, -4, self.VixPrice*1.05)
            self.VixstopTicket = self.StopMarketOrder(self.VixcontractSymbol.Symbol, -4, self.VixPrice*0.95)

        else:
            self.Log("failed to get Vix chain")


        return
   
    def ShortFuture(self, data: Slice):


        chain = data.FuturesChains.get(self.symbol)
        if chain:
           
            self.ShortcontractSymbol = sorted(chain, key=lambda contract: contract.Expiry, reverse=True)[0]
 
            # save price and enter with limit order
            self.Esprice = self.Securities[self.ShortcontractSymbol.Symbol].Price
            self.Shortentry_ticket = self.LimitOrder(self.ShortcontractSymbol.Symbol, -2, self.Esprice)

            # send out bracket order
            self.ESprofitTicket = self.LimitOrder(self.ShortcontractSymbol.Symbol, 2, self.Esprice*0.95)
            self.ESstopTicket = self.StopMarketOrder(self.ShortcontractSymbol.Symbol, 2, self.Esprice*1.05)
 
        Vixchain = data.FuturesChains.get(self.Vixsymbol)
        if Vixchain:
           
            self.ShortVixcontractSymbol = sorted(chain, key=lambda Vixcontract: Vixcontract.Expiry, reverse=True)[0]
   
            # save price and enter with limit order
            self.VixPrice = self.Securities[self.ShortVixcontractSymbol.Symbol].Price
            self.ShortVixentry_ticket = self.LimitOrder(self.ShortVixcontractSymbol.Symbol, -4, self.VixPrice)

            # send out bracket order
            self.VixprofitTicket = self.LimitOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*0.95)
            self.VixstopTicket = self.StopMarketOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*1.05)

        else:
            self.Log("failed to get Vix chain")

        return


    def ShortVix(self, data: Slice):


        Vixchain = data.FuturesChains.get(self.Vixsymbol)
        if Vixchain:
           
            self.ShortVixcontractSymbol = sorted(chain, key=lambda Vixcontract: Vixcontract.Expiry, reverse=True)[0]
   
            # save price and enter with limit order
            self.VixPrice = self.Securities[self.ShortVixcontractSymbol.Symbol].Price
            self.ShortVixentry_ticket = self.LimitOrder(self.ShortVixcontractSymbol.Symbol, -4, self.VixPrice)

            # send out bracket order
            self.VixprofitTicket = self.LimitOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*0.95)
            self.VixstopTicket = self.StopMarketOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*1.05)
 
        else:
            self.Log("failed to get Vix chain")

        return

    def OnOrderEvent(self, orderEvent):
 
        #self.Log(str(orderEvent))


        # Invalid order is blocking new orders
        if orderEvent.Status == OrderStatus.Invalid:
            self.Longentry_ticket = None
            self.Vixentry_ticket = None
            self.Shortentry_ticket = None
            self.ShortVixentry_ticket = None
            return

        if orderEvent.Status != OrderStatus.Filled:
            return


        # avoids error
        if self.LongcontractSymbol is None or self.ShortcontractSymbol is None:
            return


        #if orderEvent.OrderId == self.Longentry_ticket.OrderId:
            #return
           
        # cancel the other ES order after one gets hit
        if orderEvent.Symbol == self.LongcontractSymbol.Symbol:
            if orderEvent.OrderId == self.ESprofitTicket.OrderId or orderEvent.OrderId == self.ESstopTicket.OrderId:
                self.Transactions.CancelOpenOrders(self.LongcontractSymbol.Symbol)
                self.Longentry_ticket = None
                return

        elif orderEvent.Symbol == self.ShortcontractSymbol.Symbol:
            if orderEvent.OrderId == self.ESprofitTicket.OrderId or orderEvent.OrderId == self.ESstopTicket.OrderId:
                self.Transactions.CancelOpenOrders(self.ShortcontractSymbol.Symbol)
                self.Shortentry_ticket = None
                return

        # avoids error
        if self.VixcontractSymbol is None or self.ShortVixcontractSymbol is None:
            return


        #if orderEvent.OrderId == self.Vixentry_ticket.OrderId:
            #return
           
        # cancel the other Vix order after one gets hit
        if orderEvent.Symbol == self.VixcontractSymbol.Symbol:
            if orderEvent.OrderId == self.VixstopTicket.OrderId or orderEvent.OrderId == self.VixprofitTicket.OrderId:
                self.Transactions.CancelOpenOrders(self.VixcontractSymbol.Symbol)
                self.Vixentry_ticket = None
                return


        elif orderEvent.Symbol == self.ShortVixcontractSymbol.Symbol:
            if orderEvent.OrderId == self.VixstopTicket.OrderId or orderEvent.OrderId == self.VixprofitTicket.OrderId:
                self.Transactions.CancelOpenOrders(self.ShortVixcontractSymbol.Symbol)
                self.ShortVixentry_ticket = None
                return

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def OnOrderEvent(self, orderEvent): #self.Log(str(orderEvent)) # Invalid order is blocking new orders if orderEvent.Status == OrderStatus.Invalid: self.Longentry_ticket = None self.Vixentry_ticket = None self.Shortentry_ticket = None self.ShortVixentry_ticket = None return if orderEvent.Status != OrderStatus.Filled: return # avoids error # if self.LongcontractSymbol is None or self.ShortcontractSymbol is None: # return if self.Longentry_ticket is not None and self.Longentry_ticket.OrderId == orderEvent.OrderId: # send out bracket order self.ESprofitTicket = self.LimitOrder(self.LongcontractSymbol.Symbol, -2, self.Esprice*1.05) self.ESstopTicket = self.StopMarketOrder(self.LongcontractSymbol.Symbol, -2, self.Esprice*0.95) return # if orderEvent.Symbol == self.LongcontractSymbol.Symbol: if self.Longentry_ticket is not None and self.ESprofitTicket is not None and self.ESstopTicket is not None: if orderEvent.OrderId == self.ESprofitTicket.OrderId or orderEvent.OrderId == self.ESstopTicket.OrderId: self.Transactions.CancelOpenOrders(self.LongcontractSymbol.Symbol) self.Longentry_ticket = None return if self.Shortentry_ticket is not None and self.Shortentry_ticket.OrderId == orderEvent.OrderId: self.ESprofitTicket = self.LimitOrder(self.ShortcontractSymbol.Symbol, 2, self.Esprice*0.95) self.ESstopTicket = self.StopMarketOrder(self.ShortcontractSymbol.Symbol, 2, self.Esprice*1.05) return if self.Shortentry_ticket is not None and self.ESprofitTicket is not None and self.ESprofitTicket is not None: if orderEvent.OrderId == self.ESprofitTicket.OrderId or orderEvent.OrderId == self.ESstopTicket.OrderId: self.Transactions.CancelOpenOrders(self.ShortcontractSymbol.Symbol) self.Shortentry_ticket = None return # # avoids error # if self.VixcontractSymbol is None or self.ShortVixcontractSymbol is None: # return #if orderEvent.OrderId == self.Vixentry_ticket.OrderId: #return if self.Vixentry_ticket is not None and self.Vixentry_ticket.OrderId == orderEvent.OrderId: self.VixprofitTicket = self.LimitOrder(self.VixcontractSymbol.Symbol, -4, self.VixPrice*1.05) self.VixstopTicket = self.StopMarketOrder(self.VixcontractSymbol.Symbol, -4, self.VixPrice*0.95) return # cancel the other Vix order after one gets hit if self.Vixentry_ticket is not None and self.VixstopTicket is not None and self.VixprofitTicket is not None: if orderEvent.OrderId == self.VixstopTicket.OrderId or orderEvent.OrderId == self.VixprofitTicket.OrderId: self.Transactions.CancelOpenOrders(self.VixcontractSymbol.Symbol) self.Vixentry_ticket = None return if self.Shortentry_ticket is not None and self.ShortVixentry_ticket.OrderId == orderEvent.OrderId: self.VixprofitTicket = self.LimitOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*0.95) self.VixstopTicket = self.StopMarketOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*1.05) return if self.Shortentry_ticket is not None and self.VixstopTicket is not None and self.VixprofitTicket is not None: if orderEvent.OrderId == self.VixstopTicket.OrderId or orderEvent.OrderId == self.VixprofitTicket.OrderId: self.Transactions.CancelOpenOrders(self.ShortVixcontractSymbol.Symbol) self.ShortVixentry_ticket = None return

# region imports from AlgorithmImports import * # endregion class EnergeticAsparagusCormorant(QCAlgorithm): def Initialize(self): self.SetStartDate(2021, 1, 1) # Set Start Date self.SetEndDate(2022, 1, 1) # Set End Date self.SetCash(500000) # Set Strategy Cash self.future = self.AddFuture(Futures.Indices.SP500EMini, extendedMarketHours= True) self.future.SetFilter(0, 182) self.symbol = self.future.Symbol self.Vix = self.AddFuture(Futures.Indices.VIX, extendedMarketHours= True) self.Vix.SetFilter(0, 182) self.Vixsymbol = self.Vix.Symbol # ES vars self.Longentry_ticket = None self.Shortentry_ticket = None self.ESstopTicket = None self.ESprofitTicket = None self.LongcontractSymbol = None self.ShortcontractSymbol = None self.Esprice = None self.ShortEsprice = None # VIX vars self.Vixentry_ticket = None self.ShortVixentry_ticket = None self.VixstopTicket = None self.VixprofitTicket = None self.VixcontractSymbol = None self.ShortVixcontractSymbol = None self.VixPrice = None self.ShortVixPrice = None self.sma = SimpleMovingAverage(200) self.RegisterIndicator(self.symbol, self.sma, Resolution.Daily) def OnData(self, data: Slice): if (self.Longentry_ticket is None and self.Vixentry_ticket is None) and (self.Shortentry_ticket == None and self.ShortVixentry_ticket == None): if self.Securities[self.symbol].Price > self.sma.Current.Value: self.BuyFuture(data) # self.BuyVix(data) elif self.Securities[self.symbol].Price < self.sma.Current.Value: self.ShortFuture(data) # self.SellVix(data) if self.Portfolio.Invested: # avoids error if self.LongcontractSymbol == None or self.VixcontractSymbol == None or self.ShortVixcontractSymbol == None or self.ShortcontractSymbol == None: return # will sell before an expiration or delisting: if self.Portfolio[self.LongcontractSymbol.Symbol].IsLong: if self.Time + timedelta(1) > self.LongcontractSymbol.Expiry: self.Liquidate(self.LongcontractSymbol.Symbol, "Future too close to expiration.") self.Longentry_ticket = None if self.Portfolio[self.VixcontractSymbol.Symbol].IsLong: if self.Time + timedelta(1) > self.VixcontractSymbol.Expiry: self.Liquidate(self.VixcontractSymbol.Symbol, "Future too close to expiration.") self.Vixentry_ticket = None if self.Portfolio[self.ShortVixcontractSymbol.Symbol].IsShort: if self.Time + timedelta(1) > self.ShortVixcontractSymbol.Expiry: self.Liquidate(self.ShortVixcontractSymbol.Symbol, "Future too close to expiration.") self.ShortVixentry_ticket = None if self.Portfolio[self.ShortcontractSymbol.Symbol].IsShort: if self.Time + timedelta(1) > self.ShortcontractSymbol.Expiry: self.Liquidate(self.ShortcontractSymbol.Symbol, "Future too close to expiration.") self.Shortentry_ticket = None def BuyFuture(self, data: Slice): # get the ES chain chain = data.FuturesChains.get(self.symbol) if chain: self.LongcontractSymbol = sorted(chain, key=lambda contract: contract.Expiry, reverse=True)[0] # save price and enter with limit order self.Esprice = self.Securities[self.LongcontractSymbol.Symbol].Price self.Longentry_ticket = self.LimitOrder(self.LongcontractSymbol.Symbol, 2, self.Esprice) # get the Vix chain Vixchain = data.FuturesChains.get(self.Vixsymbol) if Vixchain: self.VixcontractSymbol = sorted(Vixchain, key=lambda Vixcontract: Vixcontract.Expiry, reverse=True)[0] # save price and enter with limit order self.VixPrice = self.Securities[self.VixcontractSymbol.Symbol].Price self.Vixentry_ticket = self.LimitOrder(self.VixcontractSymbol.Symbol, 4, self.VixPrice) # send out bracket order else: self.Log("failed to get Vix chain") return def ShortFuture(self, data: Slice): chain = data.FuturesChains.get(self.symbol) if chain: self.ShortcontractSymbol = sorted(chain, key=lambda contract: contract.Expiry, reverse=True)[0] # save price and enter with limit order self.Esprice = self.Securities[self.ShortcontractSymbol.Symbol].Price self.Shortentry_ticket = self.LimitOrder(self.ShortcontractSymbol.Symbol, -2, self.Esprice) # send out bracket order Vixchain = data.FuturesChains.get(self.Vixsymbol) if Vixchain: self.ShortVixcontractSymbol = sorted(chain, key=lambda Vixcontract: Vixcontract.Expiry, reverse=True)[0] # save price and enter with limit order self.VixPrice = self.Securities[self.ShortVixcontractSymbol.Symbol].Price self.ShortVixentry_ticket = self.LimitOrder(self.ShortVixcontractSymbol.Symbol, -4, self.VixPrice) # send out bracket order self.VixprofitTicket = self.LimitOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*0.95) self.VixstopTicket = self.StopMarketOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*1.05) else: self.Log("failed to get Vix chain") return def OnOrderEvent(self, orderEvent): #self.Log(str(orderEvent)) # Invalid order is blocking new orders if orderEvent.Status == OrderStatus.Invalid: self.Longentry_ticket = None self.Vixentry_ticket = None self.Shortentry_ticket = None self.ShortVixentry_ticket = None return if orderEvent.Status != OrderStatus.Filled: return # avoids error # if self.LongcontractSymbol is None or self.ShortcontractSymbol is None: # return if self.Longentry_ticket is not None and self.Longentry_ticket.OrderId == orderEvent.OrderId: # send out bracket order self.ESprofitTicket = self.LimitOrder(self.LongcontractSymbol.Symbol, -2, self.Esprice*1.05) self.ESstopTicket = self.StopMarketOrder(self.LongcontractSymbol.Symbol, -2, self.Esprice*0.95) return # if orderEvent.Symbol == self.LongcontractSymbol.Symbol: if self.Longentry_ticket is not None and self.ESprofitTicket is not None and self.ESstopTicket is not None: if orderEvent.OrderId == self.ESprofitTicket.OrderId or orderEvent.OrderId == self.ESstopTicket.OrderId: self.Transactions.CancelOpenOrders(self.LongcontractSymbol.Symbol) self.Longentry_ticket = None return if self.Shortentry_ticket is not None and self.Shortentry_ticket.OrderId == orderEvent.OrderId: self.ESprofitTicket = self.LimitOrder(self.ShortcontractSymbol.Symbol, 2, self.Esprice*0.95) self.ESstopTicket = self.StopMarketOrder(self.ShortcontractSymbol.Symbol, 2, self.Esprice*1.05) return if self.Shortentry_ticket is not None and self.ESprofitTicket is not None and self.ESprofitTicket is not None: if orderEvent.OrderId == self.ESprofitTicket.OrderId or orderEvent.OrderId == self.ESstopTicket.OrderId: self.Transactions.CancelOpenOrders(self.ShortcontractSymbol.Symbol) self.Shortentry_ticket = None return # # avoids error # if self.VixcontractSymbol is None or self.ShortVixcontractSymbol is None: # return #if orderEvent.OrderId == self.Vixentry_ticket.OrderId: #return if self.Vixentry_ticket is not None and self.Vixentry_ticket.OrderId == orderEvent.OrderId: self.VixprofitTicket = self.LimitOrder(self.VixcontractSymbol.Symbol, -4, self.VixPrice*1.05) self.VixstopTicket = self.StopMarketOrder(self.VixcontractSymbol.Symbol, -4, self.VixPrice*0.95) return # cancel the other Vix order after one gets hit if self.Vixentry_ticket is not None and self.VixstopTicket is not None and self.VixprofitTicket is not None: if orderEvent.OrderId == self.VixstopTicket.OrderId or orderEvent.OrderId == self.VixprofitTicket.OrderId: self.Transactions.CancelOpenOrders(self.VixcontractSymbol.Symbol) self.Vixentry_ticket = None return if self.Shortentry_ticket is not None and self.ShortVixentry_ticket.OrderId == orderEvent.OrderId: self.VixprofitTicket = self.LimitOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*0.95) self.VixstopTicket = self.StopMarketOrder(self.ShortVixcontractSymbol.Symbol, 4, self.VixPrice*1.05) return if self.Shortentry_ticket is not None and self.VixstopTicket is not None and self.VixprofitTicket is not None: if orderEvent.OrderId == self.VixstopTicket.OrderId or orderEvent.OrderId == self.VixprofitTicket.OrderId: self.Transactions.CancelOpenOrders(self.ShortVixcontractSymbol.Symbol) self.ShortVixentry_ticket = None return

Jesso joy

390 Pro ,

Modify the OnorderEvent like below:

Joseph Matteo Scorsone

15.3k Pro ,

Hey Jesso, do you comment out the bracket orders sent in the functions we use to buy the futures as well?

yes,only entry order is made in the Ondata methid

Joseph Matteo Scorsone INVESTOR

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