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Prevent backtests over periods where the market closes early

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moshferatu 2024-01-31 13:46:50 -08:00
parent f0f6e02a12
commit c56e7bf0bf
1 changed files with 7 additions and 2 deletions
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9
backtesting/backtest_iron_condor.py
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@ -127,10 +127,15 @@ def _backtest_iron_condor(
call_spread_history = get_spread_history(historical_option_data, call_spread_strategy)
put_spread_history = get_spread_history(historical_option_data, put_spread_strategy)
current_date = call_spread_history.iloc[0].name[:10]
entry_time = call_spread_strategy.trade_entry_time
if call_spread_history is None or put_spread_history is None:
# This can happen when the market closes early for the day.
logging.warn('No spread history found in %s for %s', historical_data_file, entry_time)
return None
current_date = call_spread_history.iloc[0].name[:10]
call_spread_entry = call_spread_history.loc[current_date + ' ' + entry_time]
original_call_spread_price = ((call_spread_entry['ask_short_strike'] + call_spread_entry['bid_short_strike']) / 2.0) - ((call_spread_entry['ask_long_strike'] + call_spread_entry['bid_long_strike']) / 2.0)