Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add Shortened-Day Trade Schedule Awareness #11

Open
maxholloway opened this issue Jun 28, 2020 · 0 comments
Open

Add Shortened-Day Trade Schedule Awareness #11

maxholloway opened this issue Jun 28, 2020 · 0 comments
Labels
modest_infra_improvement Enhancements that don't impact usability, but would be nice to have. p4 Low Priority (priority 4)

Comments

@maxholloway
Copy link
Owner

Add Shortened-Day Trade Schedule Awareness

Summary

We do not currently take shortened days into account. More specifically, we allow a fixed amount of time for computation "within the same trading interval". For example, if the changes suggested in this issue are used, we will use the strat.options.tradinginterval (i.e. the tradinginterval argument specified in StrategyOptions) to determine how long we can place/fill orders for a particular bar. Since this is a fixed number, it does not take into account shortened days.

Solution

Solving this would involve at least the following steps:

  1. Specifying a particular trading calendar.
  2. Implementing logic to use that trading calendar (likely by generating a callable tradinginterval(today::Dates.Dates)).
  3. Replacing the current logic of checking the tradinginterval static value with logic to check tradinginterval(today) for this while loop.
@maxholloway maxholloway added p4 Low Priority (priority 4) modest_infra_improvement Enhancements that don't impact usability, but would be nice to have. labels Jun 28, 2020
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
modest_infra_improvement Enhancements that don't impact usability, but would be nice to have. p4 Low Priority (priority 4)
Projects
None yet
Development

No branches or pull requests

1 participant