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get_early_closes function
Grant Kiehne
posted

Here's some code that uses the Quantopian get_early_closes utility function to detect if the market will close early, due to a planned closing. I ran the backtest on daily data, but the idea is to use get_early_closes when running on minute data to flag when the market will close at 1 pm.

The log output, showing the days when the market closed early over the time period of the backtest:

2012-07-03 PRINT 2012-07-03
2012-11-23 PRINT 2012-11-23
2012-12-24 PRINT 2012-12-24
2013-07-03 PRINT 2013-07-03
End of logs.

Grant

2 responses
Daniel Sandberg

Interesting. Were early closes causing problems for your other algos?

Grant Kiehne

The question of closing out positions prior to the market close had come up several times on the forum. I posted a question regarding market-on-close orders (https://www.quantopian.com/posts/market-on-close-moc-orders) and found out about the get_early_closes function.

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