QUANTCONNECT COMMUNITY

No Results

Join Our Discord Channel

Join QuantConnect's Discord server for real-time support, where a vibrant community of traders and developers awaits to help you with any of your QuantConnect needs.

Quarterly Open-Source Trading Competition

The Open-Quant League is a quarterly competition between universities and investment clubs for the best-performing strategy. The previous quarter's code is open-sourced, and competitors must adapt to survive.

pending review This research is under review. To publish this research attract three community upvotes.

Draft Discussions

Bookmarked Discussions

Share New Research

Start New Discussion Sign up

SEARCH DISCUSSIONS

TOP 5 Research PUblications

About Quant League

The Open-Quant League is a quarterly competition between universities and investment clubs for the best performing strategy. Previous quarter's code is open-sourced, and competitors must adapt to survive.

competition rules

See the competition code of conduct and rules for participation in prizes.

Read Rules

previous competitions

Browse strategies and organization entries from previous quarter's competitions.

STRATEGY

326,500 Quants.

Become a Quant

VOTE FOR UPCOMING FEATURES

Share your input and vote on our future direction.

LEAN Roadmap

Create an account on QuantConnect for the latest delivered to your inbox.

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

Update Backtest

person upvoted this people upvoted this

Renata

| |

Accepted Answer

Update Backtest

Notebook

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

5.5k 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

Update Backtest

Notebook

person upvoted this people upvoted this

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!

Organization

Organization Website

Update Competition

Team

Clone Strategy

Copy this strategy code to your QuantConnect account and deploy it live with your brokerage.

Clone

Previous Ranking

Browse strategies and organization entries from previous quarter's competitions.

Author:

Platform

Radically Open-Source Algorithmic Trading Engine

Join Our Discord Channel

Quarterly Open-Source Trading Competition

Draft Discussions

Bookmarked Discussions

SEARCH DISCUSSIONS

TOP 5 Research PUblications

About Quant League

competition rules

previous competitions

326,500 Quants.

VOTE FOR UPCOMING FEATURES

Live liquidate and liquidate OnEndOfAlgorithm not working

Organization

Team

Clone Strategy

Previous Ranking

IN THIS RESEARCH

PARTICIPANTS

Discussion Awards

Actions

Join QuantConnect for Free

Platform

SIGN IN

Radically Open-Source Algorithmic Trading Engine

Join Our Discord Channel

Quarterly Open-Source Trading Competition

Draft Discussions

Bookmarked Discussions

SEARCH DISCUSSIONS

TOP 5 Research PUblications

About Quant League

competition rules

previous competitions

326,500 Quants.

VOTE FOR UPCOMING FEATURES

Live liquidate and liquidate OnEndOfAlgorithm not working

Organization

Team

Clone Strategy

Previous Ranking

IN THIS RESEARCH

PARTICIPANTS

Discussion Awards

SHARE RESEARCH

SHARE DISCUSSION

SHARE ARTICLE

SHARE

Actions

Join QuantConnect for Free