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What does the timestamp mean?
Julius Zhang
posted

I tried to print out the first available price for each day.

# Put any initialization logic here.  The context object will be passed to  
# the other methods in your algorithm.  
from pytz import timezone

def initialize(context):  
    context.prev_day = {"day":0}

# Will be called on every trade event for the securities you specify.  
def handle_data(context, data):  
    exchange_time = get_datetime().astimezone(timezone('US/Eastern'))  
    if exchange_time.day != context.prev_day["day"]:  
        log.info(exchange_time)  
        context.prev_day["day"] = exchange_time.day  
        order(sid(19656), 100)

the log shows this:

2007-01-03handle_data:12INFO2007-01-03 09:34:00-05:00
2007-01-04handle_data:12INFO2007-01-04 09:33:00-05:00
2007-01-05handle_data:12INFO2007-01-05 09:31:00-05:00

My question is how to understand the minute range given here 09:31:00-05:00. Also, why is that not every date starts at 9:30 or 9:31? Thanks

1 response
Jonathan Kamens

That's not a range, it's a timezone. "-05:00" means five hours behind UTC.

We only call handle_data for minutes when there were trades for one or more of the stocks in your universe. If you use illiquid stocks in your algorithm, handle_data won't be called every minute. If you want it to be, you can include a reference in your algorithm to a very liquid SID, e.g., SPY.

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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.