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fix: generalize values for before_trading_start_minutes #222

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fix: generalize values for before_trading_start_minutes #222

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7650a4c
fix: generalize values for before_trading_start_minutes
zhiyisun Sep 24, 2023
d158c37
Support both zoneinfo and pytz in Exchange_Calendar
zhiyisun Sep 26, 2023
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15 changes: 11 additions & 4 deletions src/zipline/algorithm.py
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Original file line number Diff line number Diff line change
Expand Up @@ -16,7 +16,7 @@
from collections import namedtuple
from copy import copy
import warnings
from datetime import tzinfo, time, timezone
from datetime import tzinfo, time, timezone, timedelta, date, datetime
import logging
import pytz
import pandas as pd
Expand Down Expand Up @@ -516,11 +516,18 @@ def _create_clock(self):
execution_closes = market_closes
execution_opens = market_closes

# FIXME generalize these values
# Default to 8:45am if trading_calendar doesn't have valid open_time
before_trading_time = time(8,45)
for open_time in self.trading_calendar.open_times:
if open_time[0] is None and open_time[1] is not None:
opentime = datetime.combine(date(1,1,1), open_time[1])
before_trading_time = (opentime - timedelta(minutes=45)).time()
break

before_trading_start_minutes = days_at_time(
self.sim_params.sessions,
time(8, 45),
"US/Eastern",
before_trading_time,
str(self.trading_calendar.tz),
day_offset=0,
)

Expand Down