How to know if the next day it is a trading day?

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How to know if the next day it is a trading day?

posted Apr 11, 2015

I need to be able to to re-balace no later than the 15th day of each month. The Q schedule function only allows the offset in the rules. Anyone knows how to know if the day 15 it is on the weekend and then rebalance on the previous trading day?

                      schedule_function(rebalance,  
                      date_rule=date_rules.month_start(days_offset=10),  
                      # date_rule=date_rules.month_end(days_offset=0),  
                      # date_rule=date_rules.every_day(),  
                      time_rule=time_rules.market_close())

EG

2 responses

Hi Erick,

Zipline has some functionality that may be useful:

https://github.com/quantopian/zipline/blob/master/zipline/utils/tradingcalendar.py

I've used it in an algo to determine days when the market closes early. See attached for an example.

I'll have to ruminate on how to "re-balance no later than the 15th day of each month" but I see that tradingcalendar has a function get_non_trading_days, so maybe there is some way to test if the 15th day of the month is a trading day, and if not, then test the 14th, etc. until the trading day closest to or on the 15th day is found.

Grant

OK Thanks Grant, Let me explore the zipline code.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.