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Hi All, is there a good example out there of how to compute the number of bars held on a position? If I store fill time, I can compute the number of “days held”, but that would include weekends and other days the markets aren't open. Is there a good way to calculate bars held? To keep things simple, I'm just using daily resolution in my algorithms, so bars held would be the same as a count of the number of days markets have been open since the fill date.
Thanks,
Chetan
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Derek Melchin
Hi Chetan,
To accomplish this, in OnData, we could save the date of each Slice object into a list in the algorithm class. Then to calculate the number of days since the fill date, we just use the index of the fill date and the list length.
Alternatively, we could use the GetDaysByType method to find all of the business days between two dates.
Best,
Derek Melchin
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Chetan Prabhu
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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