It seems that the Quantopian backtesting database should contain a "market open" flag to indicate if trading was allowed for a given security during a historical calendar minute/day. Presently, there is no way to know if the market was open for trading. One application would be to do analysis of thinly traded securities (e.g. If the market was open for sid(n), did sid(n) trade?).
Along a similar vein, perhaps a "trading suspended" flag would make sense, too.
Has anyone given this consideration? Your feedback is welcome. Seems that in paper/live trading, something like this will be required, right?
Would you want the algorithm to be called irrespective of whether the market was open or not? What about overnight?
If an algorithm uses Facebook (IPO May 18, 2012) should the market be set as "closed" for it before this date?
Is there a distinction between a stock that cannot be traded, and the market actually being closed? (e.g. Facebook IPO was delayed by 30mins on NASDAQ)
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.
