Hey all,

I try to create an intraday trading strategy, thus, every EOD I would like to Liquidate my portfolio, 

Using Schedule events :      

self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose("SPY", 1) , Action(self.EOD))


def EOD(self):
self.Log("EOD: Fired at : {0}".format(self.UtcTime))
self.Liquidate()

and in the alpha itself, I would like to perform a logic only at the first minute of a trading day :


START_TIME = datetime.time(14, 30, 0)
END_TIME = datetime.time(14, 31, 0)


# AT THE ALPHA :
def Update(self, algorithm, data):

if not self.should_get_updates(algorithm):
return []
#Rest of the logic here 

return insights


def should_get_updates(self,algorithm):
if time_in_range(START_TIME,END_TIME, datetime.time(algorithm.UtcTime.hour,algorithm.UtcTime.minute, 0) ):
algorithm.Debug(f'[should_get_updates] - return True to : {algorithm.UtcTime }')

return True
else:
return False


def time_in_range(start, end, x):
"""Return true if x is in the range [start, end]"""
if start <= end:
return start <= x < end
else:
return start <= x or x < end

And actually, it works fine except periods in the year when the EOD and SOD are changed:

71234_1564560735.jpg

 

When checking Wikipedia:

71234_1564560799.jpg

Does the UTC time suppose to be changed during the year?

is there any way to emit insights using AlphaModel,Update with external interrupt logic?

 I tried to call AlphaModel.Update but seems like the portfolio construction didn't like that and wasn't affected at all

THANKS for the helpers
 

Author

Ofir Shmulevich

July 2019