Best approach to limit strategy to certain times of day?

benmercerdev

I'd like to limit my strategy/backtesting not only to certain days of data, but also to certain times during those days, for example +/- 30 minutes of BOD and EOD.

Can anyone recommend the best approach to this?

run-out

You might wish to try using this library DateTimeRange.

from datetimerange import DateTimeRange

Set the current date and time:

# Current bar datetime, date, and time.
dt = self.data.datetime.datetime()
date = self.data.datetime.date()

Set the regular trading hours (rth) as:

# str HH:MM:SS
self.p.rth_start
self.p.rth_end

Then use this code to set the trading time range:

 # Create Regular Trading Hours range for the current trading day.
        rth = DateTimeRange(
            datetime.combine(
                date, datetime.strptime(self.p.rth_start, "%H:%M:%S").time()
            ),
            datetime.combine(
                date, datetime.strptime(self.p.rth_end, "%H:%M:%S").time()
            ),
        )

Then check if the datetime is in regular trading hours. If so, then 'return'.

# Only trade in regular trading hours and intraday bars.
        if dt not in rth and self.p.time_frequency != 'D':
            return

vladisld

You may also utilize the trading calendars:

    def in_session(data_feed, sos_delta=timedelta(), eos_delta=timedelta()):
        dt = data_feed.num2date(tz=timezone.utc, naive=False).replace(tzinfo=None)
        (sos, eos) = data_feed._calendar.schedule(datetime.combine(dt.date(), time()))

        if eos_delta:
            eos -= delta

        if sos_delta:
            sos += delta

        return sos <= dt <= eos

benmercerdev

Excellent, thanks, guys. Let me give these a go.

benmercerdev

I ended up using a version of @run-out 's suggestion without the datetimerange, using two custom trade hour params with corresponding params in my strategy

cth_start = datetime.datetime.strptime(args.cth_start, '%H:%M:%S').time()
cth_end = datetime.datetime.strptime(args.cth_end, '%H:%M:%S').time()

and then within my strategy simply:

def next(self):
            if (self.data.datetime.time() < self.p.cth_start) or (self.data.datetime.time() > self.p.cth_end):
                return