It seems that there are some data issues between Nov. 2012 and April 2013 - the algorithm here simply buys a few minutes before close and sells a few minutes after open.
Has anyone else notices such issues?
Hello David,
If you look at the first and last prices of each day with:
print data[context.aapl].datetime
you will see:
2012-11-01 PRINT 2012-11-01 20:00:00+00:00
2012-11-02 PRINT 2012-11-02 13:31:00+00:00
.
.
2012-11-02 PRINT 2012-11-02 20:00:00+00:00
2012-11-05 PRINT 2012-11-05 14:31:00+00:00
so you don't have any sell orders from 2012-11-05. Daylight Savings Time finished in the US on 2012-11-4, I think, so this is a timezone issue but I don't know any more than that.
P.
David, the data is UTC, and November-April is Daylight Savings Time. Your algo isn't handling DST, so the market is closed when you're looking for the data.
Check out Seong's take on market-on-close orders. It handles DST on close, and on market half-days. I imagine you can adapt it to handle market opens, too. Keep in mind, though, that a fair number of market opens are delayed, so on any given day many stocks have no data for 9:31 Eastern.
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