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I'm interested in only placing orders based on alpha creation more than some timedelta before market close. How do I access the current days market hours? For example, some days close early at 1PM. If this wasn't the case I could do something simple like:
if datetime.time(9,30) <= algorithm.Time.time() <= datetime.time(16,0) - timedelta(n):
This will not work for early closes.
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Mislav Sagovac
Check this great video (from 17:38):
http://www.youtube.com/watch?v=rQOn9iTchIg&t=17m38sÂ
Derek Melchin
Hi Trevor,
To access the next market close inside an alpha model, we can use the
security.Exchange.Hours.GetNextMarketClosemethod.
For example,
class MyAlpha(AlphaModel): symbol_data_by_symbol = {} def Update(self, algorithm, data): for symbol, symbol_data in self.symbol_data_by_symbol.items(): next_close_time = symbol_data.next_close(data.Time, False)See the attached backtest for reference.
Best,
Derek Melchin
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Trevor Woods Richardson
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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