Get next trading day?

The TradingCalendar object has that information.
We can get the next business day with this code snippet:

Are there those classes in the Python version?

Hi Bolt.Investments,
All the above classes are available in python. Note that  we'll be depreciating OnEndOfDay(self) constructor, please use OnEndOfDay(self, symbol) constructor in the future for more accurate behavior as each security might have different EndOfDay time.
Best,
Varad Kabade

Hi,

It should be this in Python (just in case it is useful):

def OnEndOfDay(self, symbol):
	tomorrow = self.Time.date() + timedelta(days=1)
	nextTradingDay = self.TradingCalendar.GetDaysByType(TradingDayType.BusinessDay, tomorrow, tomorrow + timedelta(days=5))
	if nextTradingDay is not None and len(nextTradingDay) > 0:
		self.Log(f"{self.Time} -> {nextTradingDay[0].Date}")

Fred

Hi Fred,

Do you know how the function differentiates the holidays between different regions/markets? A holiday in US might not be a holiday in London. Also the bond market and stock market do have different holidays. Thanks!

Best,

Yuan

Hi TC,

The TradingCalendar takes a SecurityManger (to manage securities) and a MarketHoursDatabase (to know when a market opens and closes).

The one you get from self.TradingCalendar gets initialized with a time zone New York. So no London holidays unfortunately 😊.

The calendar is populated more or less like this:

private IEnumerable<TradingDay> PopulateTradingDays(DateTime start, DateTime end)
         {
             var symbols = _securityManager.Keys;
  
             var holidays = new HashSet<DateTime>();
             foreach (var symbol in symbols)
             {
                 var entry = _marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType);
  
                 foreach (var holiday in entry.ExchangeHours.Holidays)
                 {
                     holidays.Add(holiday.Date);
                 }
             }
  
             var qlCalendar = new UnitedStates();
             var options = symbols.Where(x => x.ID.SecurityType.IsOption()).ToList();
             var futures = symbols.Where(x => x.ID.SecurityType == SecurityType.Future).ToList();
  
             var totalDays = (int)(end.Date.AddDays(1.0) - start.Date).TotalDays;
             if (totalDays < 0)
             {
                 throw new ArgumentException(
                     $"TradingCalendar.PopulateTradingDays(): Total days is negative ({totalDays}), indicating reverse start and end times." +
                     $" Check your usage of TradingCalendar to ensure proper arrangement of variables");
             }
  
             foreach (var dayIdx in Enumerable.Range(0, totalDays))
             {
                 var currentDate = start.Date.AddDays(dayIdx);
  
                 var publicHoliday = holidays.Contains(currentDate) || !qlCalendar.isBusinessDay(currentDate);
                 var weekend = currentDate.DayOfWeek == DayOfWeek.Sunday ||
                                 currentDate.DayOfWeek == DayOfWeek.Saturday;
                 var businessDay = !publicHoliday && !weekend;
  
                 yield return
                     new TradingDay
                     {
                         Date = currentDate,
                         PublicHoliday = publicHoliday,
                         Weekend = weekend,
                         BusinessDay = businessDay,
                         OptionExpirations = options.Where(x => x.ID.Date.Date == currentDate),
                         FutureExpirations = futures.Where(x => x.ID.Date.Date == currentDate)
                     };
             }
         }

In a nutshell, dates are computed from the securities in the security manager. Security objects know their market. The hours database knows the hours and dates for markets.

And this is the explanation to the magic trick 😊. The lady is long gone from the box when the blades enter into the box. 😊 Hope it does not ruin the magic but rather increases it.

Fred

P.S. Re my Python code above in previous post, I am not sure if the IEnumerable returned by GetDaysByType() will get properly converted to Python from C# via Python.NET. In other words, it may not work. There is another magic trick to happen there to bridge between the two runtimes. Not sure if Python.NET does it for all or if it needs to be added in within LEAN. Did not dive that deep yet. One may be able to iterate over the returned object by GetDaysByType() but not call len() on it. Calling len() on an object in Python requires the object to implement a special method called __len__(). I'd bet Python.NET does not add those methods automatically. If it does, then, hats off to Python.NET 😊.

Thanks Fred!