I have a consolidator tradeBar window (rollingBAR) that gets updated daily.
My strategy runs on a minute timeframe.
I want to run some logic before the market opens, so I scheduled an event 10 minutes before the market opens.
The problem comes when I try to evaluate the data on the tradeBar window. It seems gets updated with 1 day difference. So basically if I'm firing the event to start 2011-01-21 09:20:00, the last bar on my consolidated window is 2011-01-19 00:00:00 - 2011-01-20 00:00:00; while I'd expect to be 1 more bar in it.
What time the consolidator gets updated? and how can I achieve the data is updated till the last available bar (so basically the day before, and not 2 days before?).
Thanks in advance for any help.
class GLDTradingMomentumAlphaModel(AlphaModel):
def __init__(self, algorithm, resolution = Resolution.Daily, primary = "GLD"):
self.resolution = resolution
self.primary = primary
self.symbolDataBySymbol = {}
self.lookback = 200
self.predictionInterval = Time.Multiply(Extensions.ToTimeSpan(self.resolution), 4)
resolutionString = Extensions.GetEnumString(resolution, Resolution)
self.Name = '{0}({1}-{2})'.format(self.__class__.__name__, resolutionString, primary)
algorithm.Schedule.On(algorithm.DateRules.EveryDay(self.primary), algorithm.TimeRules.AfterMarketOpen(self.primary, -10), self.evaluateDailyStrategy)
self.algo = algorithm
def evaluateDailyStrategy(self):
insights = []
for symbol in self.symbolDataBySymbol:
if symbol.Value == self.primary:
primaryData = self.symbolDataBySymbol[symbol]
if (primaryData.rsi2.IsReady == False) or (primaryData.macd.IsReady == False):
return
if not self.algo.Portfolio.Invested and (primaryData.rollingRSI[0] > 55 and primaryData.rollingRSI[1] > 55 and primaryData.rollingRSI[2] > 55 and primaryData.macd.Current.Value > 0):
insights.append(Insight.Price(self.primary, self.predictionInterval, InsightDirection.Up, None, None, None, 1))
elif self.algo.Portfolio.Invested and (primaryData.rollingRSI[0] > 90 and primaryData.rollingRSI[1] > 90):
insights.append(Insight.Price(self.primary, timedelta(seconds = 1), InsightDirection.Flat, None, None, None, 1))
self.algo.EmitInsights(Insight.Group(insights))
def Update(self, algorithm, data):
return []
def OnSecuritiesChanged(self, algorithm, changes):
for security in changes.AddedSecurities:
symbol = security.Symbol
if not symbol in self.symbolDataBySymbol:
self.symbolDataBySymbol[symbol] = SymbolData(symbol, self.lookback, algorithm, security, self.resolution)
for removed in changes.RemovedSecurities:
symbolData = self.symbolDataBySymbol.pop(removed.Symbol, None)
if symbolData is not None:
algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, symbolData.Consolidator)
class SymbolData:
def __init__(self, symbol, lookback, algorithm, security, resolution):
self.Symbol = symbol
self.rsi2 = RelativeStrengthIndex(2, MovingAverageType.Simple)
self.macd = MovingAverageConvergenceDivergence(10,20, 9, MovingAverageType.Exponential)
self.rollingRSI = RollingWindow[float](3)
self.rollingBAR = RollingWindow[TradeBar](2)
self.Consolidator = algorithm.ResolveConsolidator(symbol, resolution)
algorithm.RegisterIndicator(security.Symbol, self.rsi2, self.Consolidator)
algorithm.RegisterIndicator(security.Symbol, self.macd, self.Consolidator)
algorithm.Consolidate(security.Symbol, resolution, lambda x: self.rollingRSI.Add(x.Close))
algorithm.Consolidate(security.Symbol, resolution, lambda x: self.rollingBAR.Add(x))
Alexandre Catarino
Hi SenseQuant ,
Sorry about the wait.
QuantConnect/Lean is purely data-driven in backtesting mode. It means that if we set a scheduled event to 9:20, it will be triggered at 9:31 as a "past event". In regards to daily consolidators, they will only consolidate when there is data for the following day, so the daily bar of 20210211-20210212 will be consolidated at 20210212 09:31. If we combine this information, we can conclude that if the scheduled event is fired at 9:20, it will not have the 9:31 data to close the daily bar, thus we will see the "24-hour delay".
SenseQuant
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