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ES Futures - Only trade during SPY hours

I'm looking way for my algorithm to only trade during regular stock market hours. Is there any helper method for this?

2 responses

Hi Andrew,

You probably want to use schedule_function and specify the calendar of the scheduler to be the US_EQUITIES calendar.

Here's an example:

from quantopian.algorithm import calendars

def initialize(context):  
    # Runs at equity market open.  
    schedule_function(  
        func=myfunc,  
        date_rule=date_rules.every_day(),  
        time_rule=time_rules.market_open(minutes=1),  
        calendar=calendars.US_EQUITIES,  
  )  

If you want to run something every minute of equity market hours, you could schedule a function at equity market open and close and flip a boolean flag and then in handle_data, only execute your trade logic when the boolean flag is true.

Does this help?

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Thanks Jamie! That's helpful and has given me some ideas.