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Trading and Orders

Trading Calendar

Introduction

The trading_calendar contains a variety of events relevant to the assets in your algorithm.

Trading Day Properties

TradingDay objects represent the trading events of a single day. They have the following properties:

TradingDay Select Language:
    The date that this instance is associated with
  • date: DateTime
    • Property returns true, if the day is a business day
  • business_day: bool
    • Property returns true, if the day is a public holiday
  • public_holiday: bool
    • Property returns true, if the day is a weekend
  • weekend: bool
    • Property returns the list of options (among currently traded) that expire on this day
  • option_expirations: List<Symbol>
    • Property returns the list of futures (among currently traded) that expire on this day
  • future_expirations: List<Symbol>
    • Property returns the list of futures (among currently traded) that roll forward on this day
  • future_rolls: List<Symbol>
    • Property returns the list of symbols (among currently traded) that are delisted on this day
  • symbol_delistings: List<Symbol>
    • Property returns the list of symbols (among currently traded) that have ex-dividend date on this day
  • equity_dividends: List<Symbol>

Get a Single Trading Day

To get the trading events of the current day, call the get_trading_day method with no arguments.

Select Language: 
trading_day = self.trading_calendar.get_trading_day()

To get the trading events of a specific day, pass a datetime object to the get_trading_day method.

Select Language: 
trading_day = self.trading_calendar.get_trading_day(datetime(2022, 6, 1))

Get Trading Days

To get all the trading events across a range of dates, pass start and end datetime objects to the get_trading_days method.

Select Language: 
start_date = datetime(2022, 6, 1)
end_date = datetime(2022, 7, 1)
trading_days = self.trading_calendar.get_trading_days(start_date, end_date)

To get specific trading events across a range of dates, pass a TradingDayType enumeration member and the dates to the get_days_by_type method.

Select Language: 
trading_days = self.TradingCalendar.get_days_by_type(TradingDayType.OPTION_EXPIRATION, start_date, end_date)

The TradingDayType enumeration has the following members:

TradingDayType Select Language:
    Business day (0)
  • BUSINESS_DAY: TradingDayType
    • Public Holiday (1)
  • PUBLIC_HOLIDAY: TradingDayType
    • Weekend (2)
  • WEEKEND: TradingDayType
    • Option Expiration Date (3)
  • OPTION_EXPIRATION: TradingDayType
    • Futures Expiration Date (4)
  • FUTURE_EXPIRATION: TradingDayType
    • Futures Roll Date (5)
  • FUTURE_ROLL: TradingDayType
    • Symbol Delisting Date (6)
  • SYMBOL_DELISTING: TradingDayType
    • Equity Ex-dividend Date (7)
  • EQUITY_DIVIDENDS: TradingDayType
    • FX Economic Event (8)
  • ECONOMIC_EVENT: TradingDayType

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