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In my initialize function, I have this
self.UniverseSettings.Resolution = Resolution.Minute
self.Schedule.On(self.DateRules.EveryDay(),
self.TimeRules.At(10, 50),
Action(self.my_trade))
And inside the my_trade function I have this:
h1 = self.History(stock_list, 31, Resolution.Daily)
h2 = self.History(stock_list, 5, Resolution.Minute)
self.Debug(h1)
self.Debug(h2)
Which returns this: (For H2)
Bu i would obviously expect h2 to return the prices for the past 5 minutes starting a 10:50 AM,
What Am I doing wrong ?
Emilio Freire
Hi Stephane,
Is it giving you that for all days or just for some? 2006-12-29 was a Friday so if what you're showing above is the logs from the following Saturday or Sunday that could be the reason? I think DateRules.EveryDay() runs every day, so trying with DateRules.EveryDay("SPY") to run it only every trading day.
Just an idea!
Emilio
Alexandre Catarino
The StartDate of the algorithm in question was set to Jan 1st, 2007. Since the market is closed, the History request returned data from the last trading day (Dec 29th, 2006). Stting the StartDate to a trading date, e.g.: Jan 2nd, 2007 fixes the issue.
Stephane b
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