Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Robustify online execution of example strategies (when open prices are missing) #132

Open
enzbus opened this issue Feb 1, 2024 · 1 comment
Open

Robustify online execution of example strategies (when open prices are missing) #132

enzbus opened this issue Feb 1, 2024 · 1 comment
Labels
enhancement examples Improve examples

Comments

@enzbus
Copy link
Collaborator

enzbus commented Feb 1, 2024

Today's sp500 execution failed because Yahoo Finance didn't update the price of one symbol. DownloadedMarketData canceled the whole last row of returns, since it applies a dropna on it. The online usage parameter should be more aggressive and, in a case like this, use the last available price (yesterday's adjusted close) as provisional open price for today.
@enzbus enzbus added enhancement examples Improve examples labels Feb 1, 2024
@enzbus
Copy link
Collaborator Author

enzbus commented Feb 5, 2024

Turns out the symbol changed name (CDAY became DAY) on Jan 31st. Wikipedia page got updated on Feb 2nd. After updating, strategies runner had no issues with the changed universe.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
enhancement examples Improve examples
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
1 participant
@enzbus