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Hi,
In the Algorithm Framework, I usually get the Market Open and Close Times by doing this right at the market open:
self.todayOpen = {} # store open times
self.todayClose = {} # store close times
for security in algorithm.ActiveSecurities.Values:
# get Open and Close Hours for today
hours = algorithm.ActiveSecurities[security.Symbol].Exchange.Hours
if hours.IsDateOpen(algorithm.Time):
self.todayOpen[security.Symbol] = hours.GetNextMarketOpen(algorithm.Time - timedelta(hours=2), False)
self.todayClose[security.Symbol] = hours.GetNextMarketClose(algorithm.Time - timedelta(hours=2), False)Basically, every trading day, I use the function GetNextMarketOpen and I pass the current time minus 2 hours to get the current day market open....it works but it's ugly! Is there any elegant way of getting the current trading day market open and close time?
I need this time for the duration of my insights as I like to add/deduct time from the open/close for the duration of the signals.
Thanks!
Emilio
Alexandre Catarino
Hi Emilio Freire
I would suggest creating a class to hold the relevant open/close hours:
class MarketHours: def __init__(self, algorithm, symbol): self.hours = algorithm.Securities[symbol].Exchange.Hours self.CurrentOpen = self.hours.GetNextMarketOpen(algorithm.Time, False) self.CurrentClose = self.hours.GetNextMarketClose(self.CurrentOpen, False) self.NextOpen = self.hours.GetNextMarketOpen(self.CurrentClose, False) def Update(self): self.CurrentOpen = self.NextOpen self.CurrentClose = self.hours.GetNextMarketClose(self.CurrentOpen, False) self.NextOpen = self.hours.GetNextMarketOpen(self.CurrentClose, False)Create the objects in OnSecuritiesChanged and save them in dictionaries:
def OnSecuritiesChanged(self, algorithm, changes): for security in changes.AddedSecurities: symbol = security.Symbol if not symbol in self.marketHours: self.marketHours[symbol] = MarketHours(algorithm, symbol)In Update method, we will update those objects:
if self.day != algorithm.Time.day: for symbol, markethours in self.markethours.items(): markethours.Update() self.day = algorithm.Time.dayMark Fernandes
Hello,
To get the current day's market hours information:
Result:
Reference
Regards,
Emilio Freire
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