New market hours code #845
Replies: 8 comments 7 replies
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A good way of testing this is to run interactive_diagnostics/1: view instrument_configuration/12: view trading hours for all instruments. |
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When I do that, I'm getting this stack trace. Tried the (sort of) obvious solution of wrapping the parameters in a listOfOpeningTimes, but then got an infinite recursion. I'm debugging, but not too familiar with the new code yet. |
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Dare I say it was working a moment ago? I also have a different bug, bear with me. |
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Figured out the infinite recursion: dateutils.following_midnight_of_datetime, really should be 23:59, or something like that. If it's actually midnight, it's still on the next day, and the condition of start and end not being on the same day is still true, and it just keeps recursing. |
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This worked for me |
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Let me look at this tomorrow
The code needs refactoring anyway as its a bit of a spaghetti clump
…On Wed, 16 Nov 2022, 18:05 Todd Gibson, ***@***.***> wrote:
This worked for me
return preceeding_midnight_of_datetime(some_datetime + datetime.timedelta(days=1))
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No problem. Please note that my original "what worked for me" was just your code by mistake. Please see my edited comment on github for what actually worked. |
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This is now working for me with the suggested change, and I've also refactored the hell out of it so it's actually quite pleasant to look at now. |
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Looks like it's working for me too. Thanks for all your work on this. |
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This is excellent, thank you, working for me as well. What are your thoughts on a script that calculates the conservative (or, liquid) trading hour time ranges for each instrument based on a 24hr histogram of daily volume averaged over the past month for said instr? It could be used periodically to populate the private_config_trading_hours.yaml with sufficiently liquid hours for each instrument. Do you think this would be something worth doing or will I not see much benefit over the hardcoded timezone-based values? For those of you in US EST, this is the contents of my private/private_config_trading_hours.yaml that worked for me - it is a straight conversion of Carver's GMT conservative hours into EST - note that you cannot make a single definition of a range spanning midnight, such as 20:00 - 01:00am. This should be broken into two ranges: |
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Hello All (TLDR: getting no english on the Korea trading hours running the diagnostic) Thanks for all the work on this, a question :
IB shows the contracts trade on the JAPAN Time Zone Is there an additional zone that need to be put into the the list? |
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I don't get this problem, but here is how you can diagnose: I'm guessing there is no overlap between your Japan timezones and when KR trades? |
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You are correct, thank you. |
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EST here. I had holes in my KR times until I realized I had GMT_offset at zero still (wasn’t using it before). Changed it to -5 and the KR times reappeared. |
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I hate to raise this issue again, but I noticed a few days ago that my trading hours were all screwed up. Not sure why, as I hadn't made any changes to the system. I've been using Rob's default trading hours with the GMT offset of -5 for EST and it was working well. I thought it might be Christmas messing everything up, but the times for 12/27 onwards are wrong. Most of the trouble seems to be in the Japan, Korea instruments. (Korea just a blank). Thanks and Happy Holidays! Addendum: Woke up 12/25 and ran the report again and everything is back to normal. I assume this was something related to IB due to the holidays (I hope). |
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Latest release hopefully puts to bed all the problems with working in different timezones and allows maximum flexibility with configuring trading hours. Basically it replaces the old hardcoded 'conservative_trading_hours' and allows you to configure the conservative trading hours by timezone, or individual instrument.
Easiest way to explain it is to examine /sysbrokers/IB/ib_config_trading_hours.yaml
This seems to work for me, but then I am on UTC. So please give it a go.
Note that by default this will give you the same conservative values I use for UTC without any time zone adjustement
If you want to change these, set up a
private.private_config_trading_hours.yamlwhich is a copy of the original file and modify accordingly (you don't need to copy the header text, or the examples for individual instruments).Beta Was this translation helpful? Give feedback.
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