Bond pricing effect at the end of the month

Looking at the code you provided, it seems to be well-structured and logically sound. However, there are a few missing pieces that need to be addressed:

1. The BuyAtSeventhLastTradingDay function is not defined. You need to define what should happen when this function is called. Typically, this is where you would place your order to buy the bond.

2. Similarly, the SellAtMonthEnd, SellShortAtMonthEnd, and CoverAtSeventhLastTradingDay functions are also not defined. These functions should contain the logic for selling the bond at the end of the month, selling short at the end of the month, and covering at the seventh last trading day of the month, respectively.

3. The CheckSeventhLastTradingDay function is scheduled to run every day, but it checks if the current day is the seventh last trading day of the month or the seventh trading day of the month. If it's neither, the function doesn't do anything. You might want to consider scheduling this function to run only on the specific days it needs to.

Here's an example of how you might define the BuyAtSeventhLastTradingDay function:

def BuyAtSeventhLastTradingDay(self):
    self.SetHoldings(self.bond, 1)

This function would set the holdings of the bond to 100% of the portfolio. You would need to do something similar for the other missing functions, depending on the specific trading logic you want to implement.

Remember, this is just a starting point. Depending on your specific strategy and risk tolerance, you might need to adjust the logic and parameters. Always backtest your algorithm with historical data before live trading.

On below orders extracted, TLT is bought at the end of the month, sold the last day and position is reversed.  

Based on the order logs you provided, it seems like the algorithm is executing the following steps:

1. Buying TLT at the end of the month.
2. Selling TLT on the last trading day of the month.
3. Reversing the position (going short) on TLT.

Here's a breakdown of the orders:

• On 2020-01-22, TLT was bought with a quantity of 790.
• On 2020-01-31, TLT was sold (quantity is negative), liquidating the position.
• On 2020-01-31, TLT was sold short (quantity is negative).
• On 2020-02-11, the short position on TLT was covered (quantity is positive), liquidating the position.
• On 2020-02-19, TLT was bought again with a quantity of 788.
• On 2020-02-28, TLT was sold, liquidating the position.

This aligns with the strategy you described: buying TLT at the end of the month, selling it on the last trading day of the month, and then reversing the position. However, without the actual algorithm code, it's hard to provide a more detailed explanation or suggest improvements. If you have the code, feel free to share it for a more in-depth analysis.

So far so good then

I'm glad to hear that you're finding the information helpful, 'Sebastien'. If you have any more questions or need further clarification, feel free to ask. Happy coding!