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Hello,
So I do this:
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(9, 0), self.Buy)
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(15, 30), self.Sell)and then I do this:
def Buy(self):
for security in self.universe:
self.SetHoldings(security,-1/num_symbols)
def Sell(self):
for security in self.universe:
self.Liquidate(security)and nothing happens.
If I just schedule Buy, it buys stocks.
FYI: self.universe contains 10 stocks (num_symbols) from universe selection that I want bought. I am experimenting with selling just before end of trading to avoid market closures/weekends and public holidays.
If someone could help with this, I would really appreciate it! thank you in advance.
Shile Wen
Hi Alexander,
Most likely you are using data on Daily Resolution, however, scheduled event Daily Resolution execute at midnight no matter what, so what happens is that a buy order is sent and converted to a MOO order, but then it is immediately canceled by the liquidation. To address this, we should change our Resolution to Minute. I've shown these changes in the attached backtest.
Best,
Shile Wen
Alexander Kool
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