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Live liquidate and liquidate OnEndOfAlgorithm not working

Hello,

I'm having problems liquidating at the end of a backtest or live deployment, normally liquidating at the method OnEndOfAlgorithm works, but this time I'm getting uneven trades every time, also when running lean live liquidate ‘MyProject’ I get uneven trades. Here's my code, I don't now if I'm doing something wrong or if this is a bug

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person upvoted this people upvoted this

Renata

| |

Accepted Answer

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.

Renata

2.1k Pro ,

from AlgorithmImports import *
import numpy as np
from datetime import datetime


class BasicAlgo(QCAlgorithm):
    def Initialize(self):
        year_s = int(float(self.GetParameter("year_s")))
        month_s = int(float(self.GetParameter("month_s")))
        day_s = int(float(self.GetParameter("day_s")))
        year_e = int(float(self.GetParameter("year_e")))
        month_e = int(float(self.GetParameter("month_e")))
        day_e = int(float(self.GetParameter("day_e")))
        self.SetStartDate(year_s, month_s, day_s)
        self.SetEndDate(year_e, month_e, day_e)
        self.SetCash(100000)

        # Define the symbol and "type" of our generic data:
        self.symbol = self.AddEquity("MSFT", Resolution.Second).Symbol
        security = self.AddEquity("MSFT", Resolution.Second)
        security.SetFeeModel(ConstantFeeModel(0))
        self.SetBenchmark(self.symbol)

        self.td = float(self.GetParameter("tick_amount"))
        self.window_size_p = int(float(self.GetParameter("window_size_p")))
        self.window_size_n = int(float(self.GetParameter("window_size_n")))
        self.tick_seq = []
        self.postive_c = 0
        self.negative_c = 0
        self.max = float('-inf')
        self.min = float('inf')

        self.renko_init = 0
        self.renko_end = 0
        self.switch = 0
        self.tpl = 0
        self.pl = 0
        self.debugging = True

    def OnData(self, slice):

        #if self.Time < datetime(2022, 7, 1, 15, 50):
        #    return

        self.Debug(f"{self.Time} - Close " + str(slice[self.symbol].Close))
        
        
        if self.switch == 0:
            self.renko_init = slice[self.symbol].Close
            if self.debugging: self.Debug('renko init ' + str(self.renko_init) + ' plus td ' + str(self.renko_init + self.td) + ' minus td ' + str(self.renko_init - self.td))
            self.switch = 1

        if slice[self.symbol].Close == self.renko_init + self.td or slice[self.symbol].Close > self.renko_init + self.td:
            self.tick_seq.append(1)
            self.renko_end = slice[self.symbol].Close
            price = slice[self.symbol].Price
            if self.debugging: self.Debug(f"RENKO CLOSE - {self.Time} - {self.renko_init} {self.renko_end}")
            self.renko_init = self.renko_end
            if self.debugging: self.Debug('renko init ' + str(self.renko_init) + ' plus td ' + str(self.renko_init + self.td) + ' minus td ' + str(self.renko_init - self.td))
            self.TradingLogic()
            #self.Debug(str(self.tick_seq[-1]))

        if slice[self.symbol].Close == self.renko_init - self.td or slice[self.symbol].Close < self.renko_init - self.td:
            self.tick_seq.append(-1)
            self.renko_end = slice[self.symbol].Close
            price = slice[self.symbol].Price
            if self.debugging: self.Debug(f"RENKO CLOSE - {self.Time} - {self.renko_init} {self.renko_end}")
            self.renko_init = self.renko_end
            if self.debugging: self.Debug('renko init ' + str(self.renko_init) + ' plus td ' + str(self.renko_init + self.td) + ' minus td ' + str(self.renko_init - self.td))
            self.TradingLogic()
            #self.Debug(str(self.tick_seq[-1]))
        
    def TradingLogic(self):
        close = self.Securities[self.symbol].Close  
        if self.Portfolio.Invested:
            if close > self.max:
                self.max = close
            if close < self.min:
                self.min = close

            if self.Portfolio[self.symbol].IsShort:
                self.negative_c +=1
                if self.debugging: self.Debug('Negative Counter' + str(self.negative_c))
                if self.tick_seq[-1] == 1 :
                    self.SetHoldings(self.symbol, 0)
                    if self.debugging: 
                        self.Debug('Short')
                        self.Debug('Finish')
                        self.Debug('Trade time: ' + str(self.Time))
                        self.Debug('Price ' + str(round(close,3))+ '     ')
                        self.Debug('Min ' + str(round(self.min,3))+ ' ')
                        self.Debug('Max ' + str(round(self.max,3))+ ' ')
                    self.tpl +=   self.renko_init - close
                    self.max = float('-inf')
                    self.min = float('inf')
                    c = self.negative_c + 1
                    suma = 0
                    while (c) > 0:
                        suma += self.tick_seq[-c]
                        if self.debugging: 
                            self.Debug('counter' +str(c))
                            self.Debug('Suma ' + str(suma))
                            self.Debug('Tick seq ' + str(self.tick_seq[-c]))
                        c = c-1
                    suma = suma * -.1
                    if self.debugging: 
                        self.Debug('Suma ' + str(suma))
                        self.Debug('Profit/Loss ' + str(suma))
                    self.tpl += suma

                    self.negative_c = 0
                elif self.negative_c == self.window_size_n :
                    self.SetHoldings(self.symbol, 0)
                    if self.debugging: 
                        self.Debug('Short')
                        self.Debug('Finish')
                        self.Debug('Trade time: ' + str(self.Time))
                        self.Debug('Price ' + str(round(close,3))+ '     ')
                        self.Debug('Min ' + str(round(self.min,3))+ ' ')
                        self.Debug('Max ' + str(round(self.max,3))+ ' ')
                    self.tpl +=   self.renko_init - close
                    self.max = float('-inf')
                    self.min = float('inf')
                    c = self.negative_c + 1
                    suma = 0
                    while (c) > 0:
                        suma += self.tick_seq[-c]
                        if self.debugging: 
                            self.Debug('counter' +str(c))
                            self.Debug('Suma ' + str(suma))
                            self.Debug('Tick seq ' + str(self.tick_seq[-c]))
                        c = c-1 
                    suma = suma * -.1
                    if self.debugging: 
                        self.Debug('Suma ' + str(suma))
                        self.Debug('Profit/Loss ' + str(suma))
                    self.tpl += suma
                    self.negative_c = 0
                    return None

            if self.Portfolio[self.symbol].IsLong: 
                self.postive_c +=1
                if self.debugging: self.Debug('Positive Counter' + str(self.postive_c))
                if self.tick_seq[-1] == -1 :
                    self.Liquidate()
                    if self.debugging: 
                        self.Debug('Long ')
                        self.Debug('Finish')
                        self.Debug('Trade time: ' + str(self.Time))
                        self.Debug('Price ' + str(round(close,3))+ '     ')
                        self.Debug('Min ' + str(round(self.min,3))+ ' ')
                        self.Debug('Max ' + str(round(self.max,3))+ ' ')
                        
                    self.tpl +=  - self.renko_init + close
                    self.max = float('-inf')
                    self.min = float('inf')
                    c = self.postive_c + 1
                    suma = 0
                    while (c) > 0:
                        suma += self.tick_seq[-c]
                        if self.debugging: 
                            self.Debug('counter'+ str(c))
                            self.Debug('Suma ' + str(suma))
                            self.Debug('Tick seq ' + str(self.tick_seq[-c]))
                        c = c-1
                    suma = suma * 0.1
                    if self.debugging: 
                        self.Debug('Suma ' + str(suma))
                        self.Debug('Profit/Loss ' + str(suma))
                    self.tpl += suma
                    self.postive_c = 0

                elif self.postive_c == self.window_size_p:
                    self.Liquidate()
                    if self.debugging: 
                        self.Debug('Long ')
                        self.Debug('Finish')
                        self.Debug('Trade time: ' + str(self.Time))
                        self.Debug('Price ' + str(round(close,3))+ '     ')
                        self.Debug('Min ' + str(round(self.min,3))+ ' ')
                        self.Debug('Max ' + str(round(self.max,3))+ ' ')
                    self.tpl +=  - self.renko_init + close
                    self.max = float('-inf')
                    self.min = float('inf')
                    c = self.postive_c + 1
                    suma = 0
                    while (c) > 0:
                        suma += self.tick_seq[-c]
                        if self.debugging: 
                            self.Debug('counter' +str(c))
                            self.Debug('Suma ' + str(suma))
                            self.Debug('Tick seq ' + str(self.tick_seq[-c]))
                        c = c-1

                    suma = suma * 0.1
                    self.tpl += suma
                    if self.debugging: 
                        self.Debug('Suma ' + str(suma))
                        self.Debug('Profit/Loss ' + str(suma))
                    self.postive_c = 0
                    return None

            if self.debugging: self.Debug('Round Profit/Loss ' + str(self.tpl))

        if not self.Portfolio.Invested:
            if len(self.tick_seq) >= 2:
                if self.tick_seq[-1]==-1 and self.tick_seq[-2]== 1:
                    self.MarketOrder(self.symbol, -1)                            
                    if self.debugging: 
                        self.Debug('Short')
                        self.Debug('Start ')
                        self.Debug('Trade time: ' + str(self.Time))
                        self.Debug('Price ' + str(round(close,3))+ '      ')
                        self.Debug('Min 000000 ')
                        self.Debug('Max 000000 ')
                    self.negative_c = 1

                if self.tick_seq[-1]==1 and self.tick_seq[-2]== -1:
                    self.MarketOrder(self.symbol, 1)   
                    if self.debugging: 
                        self.Debug('Long ')
                        self.Debug('Start ')
                        self.Debug('Trade time: ' + str(self.Time))
                        self.Debug('Price ' + str(round(close,3))+ '      ')
                        self.Debug('Min 000000 ')
                        self.Debug('Max 000000 ')
                    self.postive_c = 1

    def OnEndOfAlgorithm(self):
        if self.Portfolio[self.symbol].IsShort:
            self.SetHoldings(self.symbol, 0)                       
        if self.Portfolio[self.symbol].IsLong: 
            self.Liquidate()
        if self.debugging: 
            self.Debug('Tick_seq ' + str(self.tick_seq))
            self.Debug  ('Theorical P/L ' + str(self.tpl))

Marc Daoust

6.1k Pro ,

Renata;

My experience with this feature is that at midnight after the end of the last day, a “Sell Market On Open” order is registered. Since the date is now beyond the end-date, these trades are never acted upon.

From the Orders tab:

2023-08-01 00:00:00 SPY Sell Market On Open Fill: $0.00 USD -27 Submitted

A more effective solution would be, a scheduled event on the last day at market close - 1 minute (second?) would be needed - assuming that date is a tradeable day:

self.Schedule.On(self.DateRules.On(year_e,month_e,day_e),self.TimeRules.BeforeMarketClose("SPY",1), self.OnEndOfAlgorithm)

I hope this helps;

Marc

Renata INVESTOR

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