Scheduling Market-on-Open and Market-on-Close Equity Orders
Summary
This example demonstrates how an algorithm can submit market-on-open and market-on-close orders for a US equity. It subscribes to SPY at second resolution with extended market hours enabled, then checks the date on each data event. On a new date it resets a daily flag and submits an opening order for 100 shares. Once the exchange is open, it submits a closing order for negative 100 shares and sets the flag so that this closing order is sent only once that day. An order-event handler retrieves the associated order and logs its type and fill information.
The code illustrates order scheduling and basic daily state management, rather than presenting a trading signal or tested strategy. Its sample runs over a short date range with a fixed cash balance and does not report performance. The example does not discuss fill guarantees, auction eligibility, order rejections, or how timing and market-specific rules affect execution, so those details require separate validation before adaptation.
Key ideas
- The algorithm submits a market-on-open order when it detects a new trading date.
- It uses an exchange-open check and a daily flag to submit a market-on-close order once per day.
- The sample offsets the opening and closing share quantities to demonstrate order handling.
- An order-event callback logs order and fill details, but the example reports no strategy performance.
Tags
Full text
# MarketOnOpenOnCloseAlgorithm
# MarketOnOpenOnCloseAlgorithm
Demonstration of the Market On Close order for US Equities.
## Source (Apache-2.0)
```python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from AlgorithmImports import *
### <summary>
### Demonstration of the Market On Close order for US Equities.
### </summary>
### <meta name="tag" content="trading and orders" />
### <meta name="tag" content="placing orders" />
class MarketOnOpenOnCloseAlgorithm(QCAlgorithm):
def initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.set_start_date(2013,10,7) #Set Start Date
self.set_end_date(2013,10,11) #Set End Date
self.set_cash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.equity = self.add_equity("SPY", Resolution.SECOND, fill_forward = True, extended_market_hours = True)
self.__submitted_market_on_close_today = False
self.__last = datetime.min
def on_data(self, data):
'''on_data event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
if self.time.date() != self.__last.date(): # each morning submit a market on open order
self.__submitted_market_on_close_today = False
self.market_on_open_order("SPY", 100)
self.__last = self.time
if not self.__submitted_market_on_close_today and self.equity.exchange.exchange_open: # once the exchange opens submit a market on close order
self.__submitted_market_on_close_today = True
self.market_on_close_order("SPY", -100)
def on_order_event(self, fill):
order = self.transactions.get_order_by_id(fill.order_id)
self.log("{0} - {1}:: {2}".format(self.time, order.type, fill))
```Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.