T+1 and time increments by Atish Sawant

Atish Sawant

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Is there an method already built in for incrementing by some time increment that takes into account when the market is open?

For example, I sell a stock 2 hours after I buy it. This takes place even over the end of day and over weekends. So if I buy on Friday at 3pm, then I would sell it on Monday at 10:30AM.

I could bulid one myself but was curious if it had already been implemented somewhere.

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Atish Sawant

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Atish Sawant

181 ,

So I found this which describes regular schedules.

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/ScheduledEventsAlgorithm.py

However, I'm still looking for the documentation on checking if a day is a trading day. I did find this

https://www.quantconnect.com/forum/discussion/891/trading-days-vs-days

But it still doesn't quite work in Python. An example of this in python would be great.

Jared Broad

Not currently; we have similar code for days but not intraday timespans like that. We have a MarketOpen check you could use and then iterate forward in minute increments? This is how we do it for the History API.

https://github.com/QuantConnect/Lean/blob/1ccd33bef724af683d0e806f116ef22cfdac9cf4/Common/Time.cs#L398

public static DateTime GetStartTimeForTradeBars(SecurityExchangeHours exchange, DateTime end, TimeSpan barSize, int barCount, bool extendedMarketHours)

{

	if (barSize <= TimeSpan.Zero)

	{

		throw new ArgumentException("barSize must be greater than TimeSpan.Zero", "barSize");

	}



	var current = end.RoundDown(barSize);

	for (int i = 0; i < barCount;)

	{

		var previous = current;

		current = current - barSize;

		if (exchange.IsOpen(current, previous, extendedMarketHours))

		{

			i++;

		}

	}

	return current;

}

Atish Sawant

181 ,

I pieced together all the code logic to work. However I'm getting an order status of 3 on a market order that doesn't kick off an error or seem to get filled for some reason.

Alexandre Catarino

Please chekout the docs, under Order Error Codes, to get meaning of order status:

Error Code	Interpretation

-3		InsufficientBuyingPower - Not enough money to to submit order.

Atish Sawant

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