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:
When checking Wikipedia:
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
Douglas Stridsberg
The market trades New York time - due to daylight saving the UTC offset will change twice every year, yes. It's not UTC that changes, it's the offset against UTC that changes.
You can change the timezone your algorithm operates in using self.SetTimeZone(). It's probably a good idea to keep the algo timezone the same as the market timezone.
Ofir Shmulevich
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