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Weird behavior with "before_trading_start"

If you add the following piece of code, you'll see some unexpected behavior.

def before_trading_start(context):  
    return get_datetime('US/Eastern')  
2002-01-03 PRINT 2002-01-02 19:00:00-05:00  
2002-01-04 PRINT 2002-01-03 19:00:00-05:00  
2002-01-04 PRINT 2002-01-03 19:00:00-05:00  
2002-01-07 PRINT 2002-01-06 19:00:00-05:00  
2002-01-07 PRINT 2002-01-06 19:00:00-05:00  
2002-01-07 PRINT 2002-01-06 19:00:00-05:00  
2002-01-08 PRINT 2002-01-07 19:00:00-05:00  
2002-01-08 PRINT 2002-01-07 19:00:00-05:00  
2002-01-09 PRINT 2002-01-08 19:00:00-05:00  
2002-01-10 PRINT 2002-01-09 19:00:00-05:00  
2002-01-10 PRINT 2002-01-09 19:00:00-05:00  
2002-01-11 PRINT 2002-01-10 19:00:00-05:00  
2002-01-14 PRINT 2002-01-13 19:00:00-05:00  
2002-01-14 PRINT 2002-01-13 19:00:00-05:00  
2002-01-14 PRINT 2002-01-13 19:00:00-05:00  

It appears that before_trading_start can run several times before the trading day. Weird.

Anyone see the same? Anyone have any insight on why?

Seems like a bug...

4 responses

Jonathan,

I haven't been able to replicate it. The attached code produces:

2015-04-14 PRINT 2015-04-13 20:00:00-04:00  
2015-04-15 PRINT 2015-04-14 20:00:00-04:00  
2015-04-16 PRINT 2015-04-15 20:00:00-04:00  

Could you attach your entire code as a backtest? I'll run it to see if I can understand what's going on.

Grant

Clone Algorithm
1
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5532cb2c6e19170d4ae7b462
There was a runtime error.

Hi Grant,

You will notice that before_trading_start occurs twice on 1/4/2002. I'm sure it has something to do with fetch_csv. Strange indeed.

Thanks,
Jonathan.

Clone Algorithm
4
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5532dbd54576400d52163c7b
There was a runtime error.

Jonathan, this looks to be a bug with Fetcher + before_trading_start(), which I was also to reproduce with different date combinations.

Appears that on the date of your fetcher file, before_trading_start() will get called several times. We'll get that fixed.

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This is now fixed. Thanks for pointing it out.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.