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Hi there,
I am using ScheduledUniverseSelectionModel - and trying to call it just before market open at 9:31 AM EST on weekdays.
However, when I log self.Time from the callback method, it always shows 19:31:00+00:00 (which is 7:31 PM).
Also, this universe gets populated for the previous day (not on the trading day).
This is how my initialization looks liks
self.SetUniverseSelection(ScheduledUniverseSelectionModel(
self.DateRules.Every([DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday]),
#self.TimeRules.AfterMarketOpen("SPY", 1),
self.TimeRules.At(9, 31),
self.GetSymbolsFromChartMill
))
self.Schedule.On(
self.DateRules.EveryDay("SPY"),
self.TimeRules.AfterMarketOpen("SPY", 5),
Action(self.LongShortStrategy)
) And here are relevant logs to showcase the problem
- Fetching data from ChartMill : 2017-01-03 19:31:00+00:00
- Executing LongShortStrategy : 2017-01-04 09:35:00
(notice the 19:31 and difference in dates)
What am I doing wrong?
Thanks!
Mayank Jain
All I am trying to do is get some symbols from ChartMill (a stock scanner service) just after the market opens & then trade them.
Meghdoot dhameliya
Mayank Jain have you set the correct timezone in algorithm?
self.SetTimeZone("Europe/London")Mayank Jain
Thanks Meghdoot, will check and confirm.
Cheers!
Alexandre Catarino
Hi Mayank Jain
We created a GitHub issue to address the issue since this is not the expected behavior.
When we set up the ScheduleUniverseSelection for 9:31 using the TimeRules.At, the universe selector method should be triggered at 14:31 UTC, not 19:31 UTC.
Mayank Jain
Thanks Alexandre Catarino - looking forward to the fix.
Cheers!
Mayank Jain
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