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end of day

How do you determine when end of day is?
I would like to allow vwap orders every half hour like this
style=VWAPBestEffort(limit_price=price1,
end_date=now + timedelta(minutes=30)))

but the backtest crashes every once in awhile saying that I am placing vwap orders that will finish after the close

5 responses

Someone gave me this method to determine if its near close. Maybe it can be of use to you.

def before_close(dt, minutes=0, hours=0):
delta_t = datetime.timedelta(minutes=60*hours + minutes)
ref = calendar.canonicalize_datetime(dt)
open_close = calendar.open_and_closes.T[ref]
market_close = open_close['market_close']
return dt > market_close - delta_t

how do you import calendar?

from zipline.utils import tradingcalendar as calendar

thank you

You can also use schedule_function to run the code every 30 minutes. It will be smart enough not to run the function if it's the end of day. Here's an example:

def initialize(context):  
  # For every minute available (max is 6 hours and 30 minutes)  
  total_minutes = 6*60 + 30

  for i in range(total_minutes):  
    # Every 30 minutes run schedule  
    if i % 30 == 0:  
      # This will start at 9:31AM and will run every 30 minutes  
      schedule_function(  
      myfunc,  
        date_rules.every_day(),  
        time_rules.market_open(minutes=i),  
        True  
      )

def myfunc(context,data):  
  pass

def handle_data(context,data):  
  pass  
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