Trading schedule about vectorbt

[polakowo]

You need to incorporate your schedule into your time series, which is done quite easily with pandas. To work 8 hours a day, just place signals only within those hours each day and generate an exit signal at the last tick of the day.

So, for example:

trading_time_idx = price.between_time('9:00','17:00',include_end=False).index

# restrict to trading time
entries[~entries.index.isin(trading_time_idx)] = False 
entries[entries.index.isin(trading_time_idx)] &= True
exits[~exits.index.isin(trading_time_idx)] = False
exits[exits.index.isin(trading_time_idx)] &= True

# close position at last tick
exits.loc[exits.groupby(exits.index.date).last().index] = True 

[ecthx]

This is very helpful.
Thanks!

[ecthx]

Does vectorbt reset the indicators at the beginning of the new trading session or after it detects large gap in the market data?

[polakowo]

There is no detection or whatever, vectorbt receives a column (e.g. year of data) and resets only after reaching the end of the column. If you want to compute metrics per trading session you need to split this big column into many smaller columns, each per session. I can give you an example if this is what you want to achieve.

[ecthx]

If you could give me an example that would be great. I'm working mostly with level2 data that I record myself so there is gaps in it.
I want to reset my indicators at the beginning of each trading day, so I guess splitting days into separate columns would work
Thanks

[polakowo]

If it’s ok I’ll post an example on Saturday as I hasn’t been near my computer all this time.

[ecthx]

Great. Thanks!

[polakowo]

Sorry for the delay, I had to make some changes to the code to make it work.

You can find an example here.

[Aqua-4]

Sorry for the delay, I had to make some changes to the code to make it work.

You can find an example here.

Cannot find the example anymore

[dclausen]

Sorry for the delay, I had to make some changes to the code to make it work.
You can find an example here.

Cannot find the example anymore

Hey @Aqua-4 I found it here: https://github.com/polakowo/vectorbt/blob/master/examples/TradingSessions.ipynb