Dear all,
Quantopian is a really great platform, and I would like to thanks all the staff involved in its conception.
As I'm new here, I apologized by advance if my question was already asked.
I'm trying to place orders for futures, outside of RTH:
Firstly, I've tried the straight forward handle_data method, because as it is said in the API help it is "called every minute."
Alas, it appears to work only between 6:30 AM and 5 PM Eastern Time (ET) accordingly to the "US Future calendar".
As I'm used to trade with NQ, the trading hours for CME Globex are : Sunday - Friday 6:00 PM - 5:00 PM with trading halt 4:15 PM - 4:30 PM, why such a difference and this restrictive calendar for the futures?
Also, I've tried the more elegant schedule_function method, but the problem appears to be the same :
market_open has a 12 hours upward limitation (theorically it goes until 8PM), and market_close the same limitation downward (you goes until 6 AM).
Finally, I didn't found the solution for a trade at midnight (ET) (for example).
Thanks you by advance for any help!
Sincerely,
Michael
ps : another point, I found that some orders execution appears to be very slow compared to my IB paper account. For example, if I try to sell 6 NQ contracts with the default slippage parameters, they are sold at the rate of 1 or 2 contracts by minute (!). Sometime this entire sell operation take more than 10 minutes: something I miss?
