Open Price mean reversion strategy

# region imports
from AlgorithmImports import *
# endregion

class FatFluorescentOrangeOwlet(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 1, 1)  # Set Start Date
        self.SetEndDate(2023, 1, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
        # make a rolling window of size 2 to compare last close with present
        self.rollingWindow = RollingWindow[TradeBar](2)
        # consolidate minute data to daily data
        self.Consolidate(self.symbol, Resolution.Daily, self.CustomBarHandler)
        # trade everyday, stop before 15 minutes from marketclose and exit all open positions at the end of the day
        self.Schedule.On(self.DateRules.EveryDay(self.symbol),
                         self.TimeRules.BeforeMarketClose(self.symbol,15),
                         self.ExitPositions)

    def OnData(self, data: Slice):
        if not self.rollingWindow.IsReady:
            return
        # check the bar at opening of trading time (9:31AM) as bar data is available after a minute of trading open
        if not(self.Time.hour==9 and self.Time.minute == 31):
            return
        if data[self.symbol].Open >= 1.01*self.rollingWindow[0].Close:
            self.SetHoldings(self.symbol,-1)
        if data[self.symbol].Open < 0.99*self.rollingWindow[0].Close:
            self.SetHoldings(self.symbol,1)
        
    
    def ExitPositions(self):
        self.Liquidate(self.symbol)

    def CustomBarHandler(self,bar):
        self.rollingWindow.Add(bar)