research/stat_pairs_backtest
2
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Using timezone for trading session

Browse Source
This commit is contained in:
Oleg Sheynin
2025-07-16 18:17:34 +00:00
parent 9c34d935bd
commit facf7fb0c6
3 changed files with 2171 additions and 137 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/pt_trading/trading_pair.py
+6 -2
View File
@@ -45,14 +45,18 @@ class TradingPair:
def get_begin_index(self) -> int:
if "trading_hours" not in self.config_:
return 0
start_time = pd.to_datetime(self.config_["trading_hours"]["begin_session"]).time()
assert "timezone" in self.config_["trading_hours"]
assert "begin_session" in self.config_["trading_hours"]
start_time = pd.to_datetime(self.config_["trading_hours"]["begin_session"]).tz_localize(self.config_["trading_hours"]["timezone"]).time()
mask = self.market_data_['tstamp'].dt.time >= start_time
return int(self.market_data_.index[mask].min())
def get_end_index(self) -> int:
if "trading_hours" not in self.config_:
return 0
end_time = pd.to_datetime(self.config_["trading_hours"]["end_session"]).time()
assert "timezone" in self.config_["trading_hours"]
assert "end_session" in self.config_["trading_hours"]
end_time = pd.to_datetime(self.config_["trading_hours"]["end_session"]).tz_localize(self.config_["trading_hours"]["timezone"]).time()
mask = self.market_data_['tstamp'].dt.time <= end_time
return int(self.market_data_.index[mask].max())