How can I set time_rules offset beyond 12 hours for BTC trading?

[Yeongbae JEON]

Hello, This post is extension of the previous post

Because BTC trading is running for 24 hours, I want to schedule a function every two hour. However, time_rules.market_open() gives following error

offset must be in between 1 minute and 12 hours, inclusive.

Below is my code
%%zipline -b gdax-bundle --start 2018-1-3 --end 2018-1-8 --data-frequency minute --trading-calendar GDAX
from zipline.api import symbol, get_datetime
from zipline.api import schedule_function, date_rules, time_rules

def initialize(context):
    context.btc = symbol("BTC")
    for i in range(0,24,2):
        schedule_function(rebalance, 
                          date_rules.every_day(),
                          time_rules.market_open(hours=i))

def rebalance(context, data):
    print(get_datetime())
    
def handle_data(context, data):
    pass

I can use handle_data to call rebalance function every two hour Since handle_data is called every minute. However I think it is better to use schedule_function.
Does anyone know how to set offset of time_rules beyond 12?

[Ed Bartosh]

Hello,

I personally find it more clear to use handle_data for this purpose.

However, you can work around that limitation this way:

for i in range(0,12,2):
        schedule_function(rebalance,
                          date_rules.every_day(),
                          time_rules.market_open(hours=i))

        schedule_function(rebalance,
                          date_rules.every_day(),
                          time_rules.market_close(hours=i+2))

It's a bit ugly, but should work. I didn't test it though.

Regards,

Ed

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BR,
Ed

[Yeongbae JEON]

Hello, thank you for help. Your code works with little change. Because market_open and market_close does not allow zero offset, I added "minutes=1" parameter to time_rules.market_open

%%zipline -b gdax-bundle --start 2018-1-3 --end 2018-1-8 --data-frequency minute --trading-calendar GDAX
from zipline.api import symbol, get_datetime
from zipline.api import schedule_function, date_rules, time_rules

def initialize(context):
    context.btc = symbol("BTC")

    for i in range(0,12,2):
        schedule_function(rebalance,
                          date_rules.every_day(),
                          time_rules.market_open(hours=i, minutes=1))
        schedule_function(rebalance,
                          date_rules.every_day(),
                          time_rules.market_close(hours=i+2))

def rebalance(context, data):
    print(get_datetime())
   
def handle_data(context, data):
    pass

Here is part of result:

2018-01-03 00:00:00+00:00
2018-01-03 02:00:00+00:00
2018-01-03 04:00:00+00:00
2018-01-03 06:00:00+00:00
2018-01-03 08:00:00+00:00
2018-01-03 10:00:00+00:00
2018-01-03 11:59:00+00:00
2018-01-03 13:59:00+00:00
2018-01-03 15:59:00+00:00
2018-01-03 17:59:00+00:00
2018-01-03 19:59:00+00:00
2018-01-03 21:59:00+00:00
2018-01-04 00:00:00+00:00
2018-01-04 02:00:00+00:00
2018-01-04 04:00:00+00:00
2018-01-04 06:00:00+00:00
2018-01-04 08:00:00+00:00
2018-01-04 10:00:00+00:00
2018-01-04 11:59:00+00:00
2018-01-04 13:59:00+00:00
2018-01-04 15:59:00+00:00
2018-01-04 17:59:00+00:00
2018-01-04 19:59:00+00:00
2018-01-04 21:59:00+00:00
2018-01-05 00:00:00+00:00
2018-01-05 02:00:00+00:00
2018-01-05 04:00:00+00:00
2018-01-05 06:00:00+00:00
2018-01-05 08:00:00+00:00

there is one minute off, but it is ok for me. Thank you.

[Ed Bartosh]

Hello,

The output still looks a bit inconstent to my taste. How about this?

#!/usr/bin/env python

from zipline.api import get_datetime, schedule_function, date_rules, time_rules

def initialize(context):

    for i in range(0, 12, 2):

        schedule_function(rebalance, 

                          date_rules.every_day(),

                          time_rules.market_open(hours=i, minutes=1))

        schedule_function(rebalance, 

                          date_rules.every_day(),

                          time_rules.market_close(hours=i+2, minutes=-1))

def rebalance(context, data):

    print(get_datetime(tz='UTC'))

$ zipline run -b gdax-bundle -f ./test.py -s 2018-01-02 -e 2018-01-03 --trading-calendar GDAX --data-frequency minute -o /dev/null 2>/dev/null

2018-01-02 00:00:00+00:00

2018-01-02 02:00:00+00:00

2018-01-02 04:00:00+00:00

2018-01-02 06:00:00+00:00

2018-01-02 08:00:00+00:00

2018-01-02 10:00:00+00:00

2018-01-02 12:00:00+00:00

2018-01-02 14:00:00+00:00

2018-01-02 16:00:00+00:00

2018-01-02 18:00:00+00:00

2018-01-02 20:00:00+00:00

2018-01-02 22:00:00+00:00

2018-01-03 00:00:00+00:00

2018-01-03 02:00:00+00:00

2018-01-03 04:00:00+00:00

2018-01-03 06:00:00+00:00

2018-01-03 08:00:00+00:00

2018-01-03 10:00:00+00:00

2018-01-03 12:00:00+00:00

2018-01-03 14:00:00+00:00

2018-01-03 16:00:00+00:00

2018-01-03 18:00:00+00:00

2018-01-03 20:00:00+00:00

2018-01-03 22:00:00+00:00

Regards,

Ed

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BR,
Ed