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Ray Trader INVESTOR

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Hello,

I want to execute coarse filter only at a specific time interval. Like weekly, 15 days or monthly. I will take example of monthly -

if self.Time.month == self.current: 

            return Universe.Unchanged

        self.current = self.Time.month

How is it different from -

 if self.Time.month - self.current < 2: 

            return Universe.Unchanged

        self.current = self.Time.month

Considering we have initialized self.current on init -

self.current = self.Time.month

I get different results for both the scenarios above.

Also, how can I make the code run every 15 days or every week?

Thanks,

Ray

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Ray Trader

Accepted Answer

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Rahul Chowdhury

39.9k Pro ,

Hey Ray,

The algorithm returns different results because

if self.Time.month == self.current: 

    return Universe.Unchanged

self.current = self.Time.month

rebalances once a month, while

if self.Time.month - self.current < 2: 

    return Universe.Unchanged

self.current = self.Time.month

rebalances once every two months.You can rebalance every week by using the week number of the datetime object, which is accessed with time.isocalender()[1]

if self.Time.isocalendar()[1] == self.current: 

    return Universe.Unchanged

self.current = self.Time.isocalender()[1]

One way to rebalance every 15 days is to use a pointer to keep track of our next rebalance date and wait until that date.

if self.Time < self.nextRebalance: 

    return Universe.Unchanged

self.nextRebalance = self.Time + timedelta(days=15)

Best
Rahul

Ray Trader

3.1k Pro ,

Hi Rahul,

Thanks for the details. I will check it out. Is there a place for official documentation for methods available for "Time" or it is a default python class that can be checked?

Rahul Chowdhury

39.9k Pro ,

Hi Ray,

Time returns a datetime object, which is a default python class. You can find more information about datetime in the python docs.

Ray Trader INVESTOR

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