sell_all() method has issue where it does not sell all positions and instead jacknifes because of variable "is_multileg"

[andrewtcrooks]

/opt/homebrew/anaconda3/envs/stockbot/bin/python /Users/andrew/PyCharm/StockBot/stockbot/main.py
2024-11-01 19:41:28 | lumibot.credentials | INFO | .env file loaded from: /Users/andrew/PyCharm/StockBot/stockbot/.env
2024-11-01 19:41:30 | asyncio | INFO | [unknown] Waiting for the socket stream connection to be established,
method _stream_established must be called
2024-11-01 19:41:30 | alpaca.trading.stream | INFO | started trading stream
2024-11-01 19:41:30 | alpaca.trading.stream | INFO | starting trading websocket connection
2024-11-01 19:41:30,471 | asyncio | INFO | [Transformer Strategy] Strategy Transformer Strategy is initializing
2024-11-01 19:41:30,471 | asyncio | INFO | [Transformer Strategy] Executing the initialize lifecycle method
2024-11-01 19:41:30,472 | asyncio | INFO | [Transformer Strategy] Initializing Transformer Strategy...
2024-11-01 19:41:30,472 | asyncio | INFO | [Transformer Strategy] Getting historical prices for [AAPL, MSFT], 65 bars, minute
2024-11-01 19:41:30,474 | alpaca.trading.stream | INFO | connected to: wss://paper-api.alpaca.markets/stream
2024-11-01 19:41:30,835 | root | ERROR | Could not get any pricing data from Alpaca for AAPL, the DataFrame came back empty
2024-11-01 19:41:31,057 | root | ERROR | Could not get any pricing data from Alpaca for MSFT, the DataFrame came back empty
2024-11-01 19:41:31,057 | asyncio | INFO | [Transformer Strategy] No historical data fetched during initialization for AAPL.
2024-11-01 19:41:31,057 | asyncio | INFO | [Transformer Strategy] No historical data fetched during initialization for MSFT.
2024-11-01 19:41:31,888 | asyncio | INFO | [Transformer Strategy] Sleeping until the market opens
2024-11-01 19:41:32,229 | asyncio | INFO | [Transformer Strategy] Executing the before_market_opens lifecycle method
2024-11-01 19:41:32,565 | asyncio | INFO | [Transformer Strategy] Sleeping until the market opens
2024-11-01 19:41:32,638 | asyncio | INFO | [Transformer Strategy] Executing the before_starting_trading lifecycle method
2024-11-01 19:41:32,780 | asyncio | INFO | [Transformer Strategy] Strategy will check in again at: 2024-11-01 19:42:00
Traceback (most recent call last):
File "/Users/andrew/PyCharm/StockBot/stockbot/main.py", line 37, in
main()
File "/Users/andrew/PyCharm/StockBot/stockbot/main.py", line 34, in main
trader.run_all()
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/traders/trader.py", line 140, in run_all
self._join_pool()
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/traders/trader.py", line 229, in _join_pool
strategy_thread.join()
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/strategies/strategy_executor.py", line 287, in join
super(StrategyExecutor, self).join(timeout)
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/threading.py", line 1096, in join
self._wait_for_tstate_lock()
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/threading.py", line 1116, in _wait_for_tstate_lock
if lock.acquire(block, timeout):
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/traders/trader.py", line 241, in _stop_pool
strategy_thread.stop()
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/strategies/strategy_executor.py", line 284, in stop
self._on_abrupt_closing(KeyboardInterrupt())
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/strategies/strategy_executor.py", line 517, in _on_abrupt_closing
self.strategy.on_abrupt_closing()
File "/Users/andrew/PyCharm/StockBot/stockbot/strategies/strategy_transformer/strategy.py", line 206, in on_abrupt_closing
self.sell_all()
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/strategies/strategy.py", line 1861, in sell_all
self.broker.sell_all(self.name, cancel_open_orders=cancel_open_orders, strategy=self, is_multileg=is_multileg)
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/brokers/broker.py", line 1044, in sell_all
self.submit_orders(orders, is_multileg=is_multileg)
File "/opt/homebrew/anaconda3/envs/stockbot/lib/python3.10/site-packages/lumibot/brokers/broker.py", line 965, in submit_orders
self._submit_orders(orders, **kwargs)
TypeError: Broker._submit_orders() got an unexpected keyword argument 'is_multileg'
2024-11-01 19:41:45,097 | asyncio | INFO | [Transformer Strategy] Executing the on_abrupt_closing event method
2024-11-01 19:41:45,097 | asyncio | INFO | [Transformer Strategy] Closed Abruptly! Selling all positions. Abandon ship!
2024-11-01 19:41:45,097 | asyncio | WARNING | [Transformer Strategy] Selling all positions for Transformer Strategy strategy

Process finished with exit code 1

[andrewtcrooks]

And can anyone explain why this pulls data up until like 620PM PST and then suddenly stops until sometime before market opens the next day?

[andrewtcrooks]

Putting this method inside my custom strategy seems to fix it for now so that it will actually sell off the positions when sell_all is called, even if it's doing it one at a time instead of in a multileg order. I look forward to that functionality being added

  def sell_all(self, cancel_open_orders: bool = True, is_multileg: bool = False):
      """
      Sell all current positions in the portfolio.

      :param is_multileg:
      :param cancel_open_orders: Cancel all open orders if True, leave all orders in place if False. Default is True.
      """
      if cancel_open_orders:
          self.cancel_open_orders()
      positions = self.get_positions()  # Access current positions
      self.log_message(f"Selling all positions...")
      for symbol, position in positions:
          quantity = position.quantity
          if quantity > 0:
              try:
                  # Place a market sell order for the entire quantity
                  self.sell_order(symbol, quantity)
                  self.log_message(f"Placed sell order for {quantity} shares of {symbol}.")
              except Exception as e:
                  self.log_message(f"Error selling {symbol}: {e}")

[andrewtcrooks]

The source of the error is the _submit_order method inside broker.py not recognizing the "is_multileg" parameter being passed to it as kwargs.

This brings up an important question, why does the sell_all method need a "multileg" option? shouldn't it inherently sell all the assets with a multileg order to save on costs?

It sounds like fixing it might be an option but simply removing the redundancy might be more beneficial.

[andrewtcrooks]

Best of luck, I'm switching over to QuantConnect so I can just worry about the strategy part. This has been an very educational experience though. Thank you.