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How to call method beforeMarketOpen 10 mins before market open every day
Is below correct way to implement ?
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen("SPY", -10) , self.BeforeMarketOpen)
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I see now what you mean, let me clarify a few things:
- In QuantConnect the trading day ends at midnight of the data timezone. In the market-hours JSON file this can be found here.
- In QuantConnect, the Sunday trading day starts at 17:00 Chicago time (22:00 UTC), this can be seen here.
- QuantConnect will produce one Sunday bar from 22:00 UTC to 00:00 UTC and then a Monday bar from 00:00 UTC to 00:00 UTC the next day. This is arguably more correct as it clearly shows there is trading taking place on the Sunday and then the Monday, instead of just one big Monday bar.
As far as I'm aware, there's no way to strictly control the opening and closing times of the bars. A few months ago I made public a time-zoned daily bar consolidator for LEAN which would be helpful to you if you ran LEAN locally. If you don't, you'll have to live with the discrepancy between Tradingview and QuantConnect. Starting your trading week at 22:00 UTC Sunday (midnight Moscow/Madagascar/Saudi Arabia?) seems really arbitrary.
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