Historical Closing after market opens by Stephane b

Stephane b INVESTOR

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Hi everyone,

I call a function 1 minuter after market opens everyday:

        context.Schedule.On(

            context.DateRules.EveryDay('SPY'), 

            context.TimeRules.AfterMarketOpen('SPY', 1),       

            Action(context.my_trade))

Then I get the histroical data for each stock in my universe:

        for x in context.my_universe:

            data = context.History(x, 31, Resolution.Daily)

            context.Log(data)

Which returns this data:

2018-05-02 09:31:00 

                                    open       high        low      close  volume

symbol             time                                                          

ASRVP RB8TP14WK0O5 2018-03-22  27.384970  27.403869  27.384970  27.384970   201.0

                   2018-03-23  27.384970  27.403869  27.384970  27.384970     0.0

                   2018-03-24  27.384970  27.403869  27.384970  27.384970     0.0

                   2018-03-27  27.403869  27.403869  27.403869  27.403869   200.0

                   2018-03-28  27.403869  27.403869  27.403869  27.403869     0.0

                   2018-03-29  27.403869  27.403869  27.403869  27.403869     0.0

                   2018-03-30  25.702939  25.702939  25.513947  25.702939   845.0

                   2018-04-03  25.523397  27.299923  25.523397  27.299923   348.0

                   2018-04-04  26.429536  26.429536  26.429536  26.429536    66.0

                   2018-04-05  26.304323  26.391009  26.005738  26.005738  2181.0

                   2018-04-06  26.304323  26.391009  26.005738  26.005738     0.0

                   2018-04-07  26.294691  26.294691  26.294691  26.294691   200.0

                   2018-04-10  26.294691  26.294691  26.294691  26.294691     0.0

                   2018-04-11  26.391009  26.391009  26.391009  26.391009   100.0

                   2018-04-12  26.487326  26.940019  26.487326  26.940019   651.0

                   2018-04-13  26.940019  27.373448  26.940019  27.373448   300.0

                   2018-04-14  26.940019  27.373448  26.940019  27.373448     0.0

                   2018-04-17  26.940019  27.373448  26.940019  27.373448     0.0

                   2018-04-18  26.940019  27.373448  26.940019  27.373448     0.0

                   2018-04-19  26.940019  27.373448  26.940019  27.373448     0.0

                   2018-04-20  26.304323  26.304323  26.304323  26.304323   100.0

                   2018-04-21  26.304323  26.304323  26.304323  26.304323     0.0

                   2018-04-24  26.304323  26.304323  26.304323  26.304323     0.0

                   2018-04-25  26.304323  26.304323  26.304323  26.304323     0.0

                   2018-04-26  26.304323  26.304323  26.304323  26.304323     0.0

                   2018-04-27  26.304323  26.304323  26.304323  26.304323     0.0

                   2018-04-28  26.313955  26.342850  26.313955  26.342850   351.0

                   2018-05-01  26.313955  26.342850  26.313955  26.342850     0.0

                   2018-05-02  27.277130  27.489029  27.209708  27.209708   460.0

Which raises the question:

What it the closing price on may 2nd given that I am calling this function 1 minute after market opens ON may 2nd .... As a matter of fact, what are the High and Low prices as well ?

Thanks a lot for clarifying this info for me,

Best

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Stephane b

Accepted Answer

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Jing Wu

242.2k ,

context.History(symbol, 31, Resolution.Daily) request the history price in daily resolution.

The datetime index in history request is the EndTime of the bar. It is designed in LEAN to prevent the forward-looking in algorithm trading as the daily closing price is only available after the market closes. Therefore, in the timeframe, the price with the index 2018-05-02 is actually the daily open/high/low/close price on 2018-05-01.

Stephane b

401 ,

I see ! Thanks ! So basically, all the prices shows in this dataframe above are actually for the day before, correct ?

Also, how can I pull the open price of a security 1 minute after the market opens ? Is there an easy/quick way to do that ? I basically want to pull theopen prices of the past 31 days (including the current day) and the closing price of the past 31 days (obviously excluding the current day)

Thanks again !

Jing Wu

242.2k ,

Correct. The daily history request returns the price a day before because the today's close price is available after the market closes and a daily bar is constructed with open/high/low/close. However, you can get the daily open price after the market open. For example, you can schedule the event to fire 1 min after the market open and get the open price of the first-minute bar with

self.Securities[symbol].Open

Then you can append this open price to the end of the history open price series.

Stephane b INVESTOR

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