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24/7 Trading #614
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ping @jfkirk |
@vertangelx I have a mostly-finished branch that overhauls the process for creating a custom trading calendar. That code lives in #556, though I'm not actively working on it at the moment. I haven't thought deeply about how to accomodate 24-hour markets, though I think @jfkirk has looked at that problem to some extent while working on support for futures. |
@ssanderson @jfkirk +1 interested in 24/7 markets |
Hi all, I currently have a prototype implement for the German Epex energy market which is also 24/7. I then also had to make sure that the benchmark and treasury curves also had the same days as trading_days. To do this I wrote my own version of the Finally you must intialize the
Here are the links to the calendar and loader code. One thing you have to watch out for is the timezone changes since this can push open or close into another day when converting to UTC but I'm hoping that this issue has been resolved with #579 |
@warren-oneill How do you use
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Try
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@warren-oneill I'm now getting an error
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Try defining the start and end of the simulation
where |
@warren-oneill A different error this time, thank you for your patience! Not sure why it's looking for
Did some prints:
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are you using the newest version of zipline installed from github? |
@warren-oneill Tried |
It could be something to do with timezone changes but its hard to say. |
Has anyone had any luck with this? I've implemented my own calendar as suggested above, but have run into the benchmark issue (at least I think that is what is causing the error). The example code @warren-oneill put up isn't visible anymore so having some difficulty understanding what other changes I need to make to get my custom calendar running. Here is what I've done so far. |
How can we define our own trading days and hours for special markets? For example, what settings will you change and how will you change it for a market that trades 24/7?
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