Share New Research 
I trade earning announcements and use pre-market data. My strategy is not fully automated because I need to manually submit 10-15 symbols for long entry and 10-15 for short entry the previous night - so, every day, my strategy trades a different set of symbols. My algo also looks at 30 minutes of pre-market data (9-9:30am).
1) Do you provide pre-market data (ideally minute, but 5-min or 10-min is also fine)? How do i access it?
2) Is there some UI library/code/module to easily enter a symbol list every night for long and short (without having to hack the code in my live algo)? If not, pl advise on the easiest approach - a csv file in dropbox?
3) How do i prevent my algo from trading the same security the 2nd day? Not sure how to code so it only trades the most recent symbol list provided so long as earnings are within 1-2 days?
thanks
Kiran
Jared Broad
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.
Kiran
Jared Broad
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.
T. Dalton Combs
Is there a way to tell from a trade/quote bar whether it is from extended or regular hours?
What is the default behavior of the Schedule before/after methods wrt regular/extended hours? Can that behavior be overridden?Â
Shile Wen
Hi T. Dalton Combs,
By default, extended hours aren't enabled, so to enable them, use self.AddEquity(symbol, resolution, Market.USA, True, 0, True).
The TradeBar/QuoteBar themselves don’t have the information themselves on whether the market is open or not, but this information can be found with self.IsMarketOpen(security) in OnData. For Schedule’s before market close and after market open methods, the default behavior is executing the given function with the number of minutes specified (0 if left empty) before/after markets open/close, and this pertains to regular hours. To trigger something before market open, try using AfterMarketOpen(symbol, -10). Or for more flexibility, use self.TimeRules.At(hours, minutes). For more details on Scheduled Events, check out our documentation here. To see an implementation of the ideas mentioned, please reference the attached backtest.
Best,
Shile WenÂ
Kiran
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.
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