My algorithm is working fine while I was backtesting it but it stopped working when I went live with Paper trading. I am getting following error for bunch of different symbols and none of my trades are getting executed:
Backtest Handled Error: The order quantity for RDSB cannot be calculated: the price of the security is zero.
Here is my initialized function:
def Initialize(self):
self.SetStartDate(2007, 1, 1) # Set Start Date: Right after original paper published
self.SetEndDate(2020, 3,31) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.SetBenchmark("SPY")
# Download Fama French factors data as a dataframe
self.fama_french_factors_per_day = self._get_fama_french_factors()
self.SetBrokerageModel(NoFeeBrokerageModel(self))
self.number_of_coarse_symbol = 200 # Set the number of coarse symbol to be further filtered by expected skewness
self.bottom_percent = 0.025 # Set the bottom percent to long out of coarse symbols according to skewness ranking
self.weights = {} # Dictionary to save desired weights with symbols as key
self.nextRebalance = self.Time # Define next rebalance time
self.UniverseSettings.Resolution = Resolution.Daily # Subscribe daily data for selected symbols in universe
self.AddUniverse(self.CoarseSelectionAndSkewnessSorting, self.GetWeightsInFineSelection)
Thanks in advance for the help.
Rahul Chowdhury
Hey Manoj,
It's difficult to debug the issue without seeing the live deployment. Please submit a live support ticket with your live deployment attached. You can learn how to submit a live support ticket in this YouTube video.
Best
Rahul
Manoj Agarwala
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