How to determine if a day is the last trading day of the month?

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posted Sep 28, 2015

Previously I've invoked

date_rules.month_end().get_nth_to_last_trading_day_of_month(aDatetime)

but there was a change in the Quantopian API and now you have also to pass to that method the TradingEnvironment as argument.
See this extract from zipline:

    def get_last_trading_day_of_month(self, dt, env):  
        self.month = dt.month

        if dt.month == 12:  
            # Roll the year foward and start in January.  
            year = dt.year + 1  
            month = 1  
        else:  
            # Increment the month in the same year.  
            year = dt.year  
            month = dt.month + 1

        self.last_day = env.previous_trading_day(  
            dt.replace(year=year, month=month, day=1)  
        ).date()  
        return self.last_day

The problem is, that I don't know how the get the TradingEnvironment and I need for my algo exactly the last trading day of the month as computed by Quantopian.
May somebody help me please?

Thanks
Costantino

6 responses

Jamie McCorriston

Sep 28, 2015

You can use the get_environment() function! this is incorrect, see below for correct answer

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Costantino

Sep 28, 2015

Unfortunately it doesn't work: date_rules.month_end().get_nth_to_last_trading_day_of_month requires an instance of TradingEnvironment and get_environment() returns a string. Therefore the following exception occurs:

Runtime exception: AttributeError: 'str' object has no attribute 'previous_trading_day'

Any other thoughts?

Matthieu Lestel

Sep 29, 2015

If you need it in real time you can use a boolean controlled by scheduled functions, else request daily price history and you can extract the last day of the month from the series index.

############################## Before Trading ####################################

def before_trading_start(context, data):  
    context.is_end_month = False

############################## Initialization ####################################

def initialize(context):  
    context.is_end_month = False  
    context.securities = sid(8554)  
    schedule_function(func=activate_end_month,  
                      date_rule=date_rules.month_end(),  
                      time_rule=time_rules.market_open())  
    schedule_function(func=rebalance,  
                      time_rule=time_rules.market_close())

############################## Event Handler ####################################

def handle_data(context, data):  
    pass

def activate_end_month(context, data):  
    context.is_end_month = True

def rebalance(context, data):  
    if context.is_end_month:  
        log.debug("last trading day of the month")  
    else:  
        log.debug("not last trading day of the month")

Jamie McCorriston

Sep 29, 2015

My mistake, Matthieu is right! Your best bet is to use schedule_function with the date_rules.month_end() date rule.

Disclaimer

Costantino

Sep 30, 2015

Okay, I actually implemented the logic in the following way:

def initialize(context):  
    log.info("Init")  
    context.benchmark = symbol('SPY')  
    context.is_month_end = False  
    schedule_function(set_month_end,  
                      date_rule=date_rules.month_end(1),  
                      time_rule=time_rules.market_close())  
    schedule_function(rebalance,  
                      date_rule=date_rules.month_end(),  
                      time_rule=time_rules.market_close())


def set_month_end(context, data):  
    context.is_month_end = True  

def rebalance(context, data):  
    log.info("context.is_month_end = %s" % context.is_month_end)  
    # Your logic here  
    context.is_month_end = False  

def before_trading_start(context, data):  
    if context.is_month_end:  
        log.info("context.is_month_end = %s"  % context.is_month_end)

def handle_data(context, data):  
    if context.is_month_end:  
        log.info("context.is_month_end = %s" % context.is_month_end)

context.is_month_end is set to True one day before month_end then set back to False after the rebalancing.
The code above results in the following logs:

2013-01-31before_trading_start:27INFOcontext.is_month_end = True  
2013-01-31handle_data:31INFOcontext.is_month_end = True  
2013-01-31rebalance:20INFOcontext.is_month_end = True  
2013-02-28before_trading_start:27INFOcontext.is_month_end = True  
2013-02-28handle_data:31INFOcontext.is_month_end = True  
2013-02-28rebalance:20INFOcontext.is_month_end = True  
2013-03-28before_trading_start:27INFOcontext.is_month_end = True  
2013-03-28handle_data:31INFOcontext.is_month_end = True  
2013-03-28rebalance:20INFOcontext.is_month_end = True  
[...]

Dan Dunn

Sep 30, 2015

Thanks for sharing. I added the "tools and tips" tag so that other people can find your code in the future.

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