Jacob, I assume by "belly up" you mean that the algo has a runtime error and fails when you change the backtest from daily mode to minutely mode.
The answer is that yes, it happens a lot, to newbies and experts both. We try really hard to make algo writing easy, and we work hard to make the product "smart" so that you can easily get past obstacles and complexities of algo writing. This is a problem that we didn't anticipate as well as others. (The ones we anticipate well are ones that you never noticed!) We're working on a few different changes to make this one go away, in particular making sample algorithms all minutely-compatible and by building some smart "run-once-daily" functions that work in minute mode algos. The new history() command should help, too, by making trailing windows of data in minute mode more easily accessible.
Some general strategies:
- Don't use brittle code like Booleans. It's tempting to say "if first run = True" but that fails in many ways. Find a more robust way to identify your current status.
- Along the same lines, it's easy to just say "order 50 shares" but that is brittle in the face of market and algorithm status. You should think instead of "target position X" and then have helper code that assesses your current portfolio position and issues the commands that gets you to the new, target portfolio.
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