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schedule_function running handle_data every day despite specifying each month?

I have the following schedule function in the initialize function:

schedule_function(handle_data,  date_rules.month_start(), time_rules.market_close())  

Within the handle_data function I output some results to an empty DataFrame, with a new row added for each new day handle_data is called. The DataFrame has 2 columns, the date and a mean of some prices:

  close_price_mean = buy_list.mean()  
   today = zipline.api.get_datetime().date()  
   df.loc[today] = pd.Series({'Average portfolio perf':close_price_mean}  

When I run the backtest, I am surprised to find that there is a new row for every day of the backtest, rather than only at the start of each month, as the schedule function defines with date_rules.month_start() . Does this means that handle_data is actually getting called each day in the background?

The actual backtest results appear to only form portfolios at the start of each month, as you would expect, but it seems that somehow the handle_data function gets called every day as the DataFrame gets data for each day of the backtest?

I would be very grateful if anyone could help me understand what is happening here.

2 responses

The function handle_data is a built in function which automagically gets called every minute. One doesn't need to schedule it. It just happens. It's generally good practice to NOT name a function handle_data and schedule it too. If one does, it will run every minute, and run an extra time when it is scheduled. That is what's causing the behavior you are seeing.

The solution is to simply rename your function something other than handle_data.

That should give you the expected results.

good luck.


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Thanks very much Dan, that's done the trick.