I figured it out. Just add a variable in 'context' to countdown the selling dates for each stock in the universe. Every time you buy a stock, you add a countdown for that stock. Then decrease the countdown by 1 per frame, when it reaches 0, it is the time to sell that stock. Attached is an example, but the strategy implemented here is not good, it's just for the illustration.

An easier and probably more robust approach is to store a dict that maps your symbol to a target sale time, and then once per frame, look at your holdings and see if that time has been reached. Looking purely at frame counts is a great way for timing to go screwy due to unexpected irregularities.

Hi J. Shagam, thanks for your suggestion. Actually I thought about the approach you mentioned, but the problem is that 5 days later after the buying date may not be a trading day, so the date may never be reached. Or is there any way to get the 5th trading day after the buying date?

Ah, if you want trading days rather than calendar days, then yeah you'll have to do something like that.

Maybe nudge you in the right direction or some direction anyway to hopefully be able to tell when five trading days have gone by...

import datetime as dt  # Surprising that datetime doesn't have timezone  
from pytz import timezone  
from zipline.utils import tradingcalendar

def handle_data(context, data):  
        # Real-world time now  
        days_offset = 0  # Alter days_offset like 2 to go back in time 2 days.  
        today  = dt.date.today() - dt.timedelta(days=days_offset) # end  
        y_now  = today.year  
        m_now  = today.month  
        d_now  = today.day  
        week   = today - dt.timedelta(days=7) # start, a week ago  
        y_week = week.year  
        m_week = week.month  
        d_week = week.day  
        start  = dt.datetime(y_week,m_week,d_week,0,0,0,0,timezone('US/Eastern'))  
        end    = dt.datetime(y_now, m_now, d_now, 0,0,0,0,timezone('US/Eastern'))

        context.event_dates = tradingcalendar.get_trading_days(start, end)  
        log.info(str(context.event_dates[-5]))

Hi Gary, thanks for the information. I'll check out the 'tradingcalendar'