I am trying to calculate how many hours are left in the trading day, assuming the market is open but seem to be running into trouble. It seems like my exchange open flag is never evaluating to True, Any ideas?
def OnData(self, data: Slice):
#cancel any orders
self.Transactions.CancelOpenOrders()
# calculate Time to Expiry (daily)
str_format = "%H:%M:%S"
if self.Securities[self.symbol.Symbol].Exchange.ExchangeOpen == False:
return
startTime = self.Securities[self.symbol.Symbol].Exchange.Hours.GetMarketHours(self.Time).Segments[1].Start
startTime = datetime.strptime(str(startTime), str_format)
endTime = self.Securities[self.symbol.Symbol].Exchange.Hours.GetMarketHours(self.Time).Segments[2].Start
endTime = datetime.strptime(str(endTime), str_format)
currentTime = self.Time.time()
currentTime = datetime.strptime(str(currentTime), str_format)
self.time_ratio = (currentTime - startTime) / (endTime - startTime)
Louis Szeto
Hi MatthewDunn
The best guest would be that the data really piped in a non-market hour (e.g. like daily resolution), or the underlying asset of `self.symbol` is not tradable. But the attached code snippets provide insufficient information, please attach a whole backtest for further debugging.
Best
Louis
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MatthewDunn
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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