This post is part of a series of posts that we expect to make over the coming months related to our effort to add support for global equity markets to Quantopian. The goal of this post is primarily to share information with everyone in the community that we learned while researching global equity markets.

Many of the challenges of working with global equity strategies can be generalized to an ‘alignment’ problem. Different equity markets have different trading hours, time zones, holiday schedules, currencies, trading rules, etc. which can make it difficult to define factors that are comparable across multiple markets. Solving the ‘alignment’ challenge is one of our primary goals as we look to add global equities to Quantopian.

Below is a visualization of the trading hours of each market in ACWI to highlight the temporal alignment problem. This image shows the trading hours (in UTC) of the primary equity exchange of each market in ACWI.

The attached notebook was used to generate the above image. You can use the notebook to adjust the visualization to plot in UTC, ET, or local time.

Regions
Global equity markets are frequently divided into 3 regions: Americas, Europe/Middle East/Africa, and Asia/Pacific. The visualizations are color coded using these groups and show fairly distinct trading hours for each region. Right now, we are planning on using these 3 regions to organize the markets in ACWI (primarily for internal data-related infrastructure design).

Notes:

• Global markets are sorted into to categories in the ACWI: developed and emerging. Developed markets are plotted with thicker lines while emerging markets have thinner lines. We expect to add developed markets to Quantopian before emerging markets.
  
• Some countries observe daylight savings while others do not. The dashed lines on a plot show the hours of the day during which a market is open for only part of the year.
  
• A simplifying assumption was made that all daylight savings events happen at the same time of year (which is not the case). This assumption was made to make the visualization more readable.
  
• Countries in the southern hemisphere that observe daylight savings tend to observe it on a schedule opposite to countries in the northern hemisphere. This is why you will see market hours for certain countries in the visualizations bookended with 2 hours of dashed lines.
  
• Trading hours and daylight savings observance have changed over the years for certain countries. The visualizations are meant to reflect the current state of each market.
  
• Certain exchanges observe daylight savings despite the fact that their country does not (e.g. Columbia, Peru). The visualization shows the hours of the exchange including daylight savings rules in these cases.

This post is meant to be informative more than anything else. We learned a lot while gathering the data needed to construct the above visualization so we wanted to share it with the community. Of course, if anyone sees anything incorrect or if you think there are other factors we should add to the visualization, please let us know!