Computing Bars Held?

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Computing Bars Held?

Last comment by - October 2022

Computing Bars Held?

How to compute bars held in an algorithm using daily resolution?

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Computing Bars Held?

Chetan Prabhu | October 2022

Hi All, is there a good example out there of how to compute the number of bars held on a position? If I store fill time, I can compute the number of “days held”, but that would include weekends and other days the markets aren't open. Is there a good way to calculate bars held? To keep things simple, I'm just using daily resolution in my algorithms, so bars held would be the same as a count of the number of days markets have been open since the fill date.

Thanks,

Chetan

Author

October 2022

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QuantConnect | October 2022 |

Accepted Answer

Hi Chetan,

To accomplish this, in OnData, we could save the date of each Slice object into a list in the algorithm class. Then to calculate the number of days since the fill date, we just use the index of the fill date and the list length.

Alternatively, we could use the GetDaysByType method to find all of the business days between two dates.

Best,
Derek Melchin

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October 2022

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