It doesn't seem to be fixed on the latest version. Code: C:\pysystemtrade>git log commit 95ce276859bfe6cf6c5220e052af708b2667976b Author: rob@systematicmoney.org <rob@qoppac.com> Date: Thu Jan 4 11:01:40 2018 +0000 version 16.1 The P&L for the next day after exchange holiday is still zero. Code: >>> system.data.daily_prices("GBP").tail(10) 2017-12-25 NaN <--- exchange holiday 2017-12-26 1.3431 2017-12-27 1.3440 2017-12-28 1.3479 2017-12-29 1.3557 2018-01-01 NaN <--- exchange holiday 2018-01-02 1.3628 2018-01-03 1.3547 2018-01-04 1.3586 2018-01-05 1.3597 Freq: B, Name: price, dtype: float64 >>> system.accounts.get_notional_position("GBP").tail(10) 2017-12-25 44.949005 2017-12-26 44.469445 2017-12-27 46.485309 2017-12-28 48.276678 2017-12-29 48.615382 2018-01-01 48.615389 2018-01-02 51.620324 2018-01-03 49.690158 2018-01-04 52.426681 2018-01-05 56.820880 Freq: B, dtype: float64 >>> system.accounts.pandl_for_instrument("GBP").tail(10) Calculating pandl for instrument for GBP Calculating buffered positions 2017-12-25 0.000000 <--- exchange holiday 2017-12-26 0.000000 <--- still zero 2017-12-27 308.806873 2017-12-28 1328.743155 2017-12-29 2992.167840 2018-01-01 0.000000 <--- exchange holiday 2018-01-02 0.000000 <--- still zero 2018-01-03 -3095.374570 2018-01-04 1488.347216 2018-01-05 410.335081
Does anyone know if PRICE column of data in CRUDE_W_carrydata.csv refers to settlement price or last price? I'm trying to extend the files already provided. Thanks! DATETIME,PRICE,CARRY,CARRY_CONTRACT,PRICE_CONTRACT 1987-11-25,18.12,,198811,198812
Hey GAT, trying to extend your csv data files, may I know if PRICE column of data in CRUDE_W_carrydata.csv (also all the futures data file) refers to settlement price or last price? I'm trying to extend the files already provided. Thanks! DATETIME,PRICE,CARRY,CARRY_CONTRACT,PRICE_CONTRACT 1987-11-25,18.12,,198811,198812
It's the price IB provide with the historical data function set to get daily prices. I think it's settlement, but not sure. GAT
I think that IB only provides OHLC bars, so it would be the close price if that is what you filter out. I'm not sure whether IB even provides settlement prices.
Do you know if the futures all close at the same time? Does it depend on exchange ? Does it depend on instrument?
I numbered your questions for simplicity: 1. Not all futures close at the same time. 2. Yes, it does depend on the exchange. 3. Yes, it does depend on instrument. Also, if IB is your source of data and you use daily OLHC bars, you should be careful what you request: either the full day (which might be almost 24 hours, depending on instrument). Or a time period which IB calls "liquid trading hours" or "regular trading hours". These time periods are defined for certain instruments, and depend per instrument.
On a daily price level my research indicated that it is irrelevant whether we use close or settlement price. I recreated the provided csv files using Quandl sourced data (sometimes stitching GATs as he has more history for some instruments than that which Quandl provide) - the backtests were comparable. But don't take my word for it!
My experience is that you have to be careful with data obtained from Quandl. In some cases do they provide open-high-low-close data, whereas in other cases they provide open-high-low-settle data. The difference between using settlement prices versus daily close prices might be not large for a system which reviews once per day. But if your system works in a different way (e.g. once per hour) it might have an influence.