Simulate case where you're using pre/after market data but only trading during market hours

[NowBothWhiteAndRed]

HI! I am exploring the following case and would just like to check with you if I am missing something obvious.

1. I need to simulate trading activities when the market is open and NOT during the pre/after hour periods. (I am using minutely data so it’s between 9:30 and 4 pm EST)
2. I still want to use the data of pre/after hours in my entry conditions. a. So: https://nbviewer.jupyter.org/github/polakowo/vectorbt/blob/master/examples/Trading-Sessions.ipynb does not seem to apply, since I don’t want to cut that data out, I just don’t want to simulate a trade then.

So far all I can think of is:

1. Make a Boolean series which has Falses where you’re out of your desired time range and Trues when you’re in it.
2. Use bitwise AND with entry/exits to make it so that your entry/exit conditions don’t occur during the times you don’t want them to.

Two issues with this:

1. If I am running a bunch of combinations, I now need to do this to every single column in the dataframe.
2. This doesn’t work on profit and profit_or_loss algos since they’re iterative. (My workaround right now for simple algorithms which go in on an indicator but go out at profit or loss is: a. FOR ENTRY: use bitwise and with a boolean series which maps to the trading interval I want. b. FOR EXIT: pass in data without that interval for signal generation. Then reindex the exit and new entries objects to fill in the missing pieces so that entries/exits and the dataset can all be broadcast to the same shape.

Both 1 and 2 carry significant performance impacts, of course.

I am assuming that this is another case for a custom numba function but it seems like then I would have to have one for every single indicator.

[polakowo]

I need to clarify a couple of things:

• Do you want to (1) split into trading sessions as in the "Trading-Sessions" notebook to assess performance per trading session, or (2) have one big column with all trading sessions but just disable signals outside of open market hours? (Note: when splitting, you can't continue with cash/holdings you left off the last day since each trading session resets with the start).
• If (1), do you want your indicator to run only during that day (this means per column, so also during the pre/after hour periods), or run the indicator on the whole pricing data from day zero so it can be used in any trading session?

In any case, there is currently no other way than masking signals after running an indicator. Maybe you've got a simplified example? We can then figure out how to do it efficiently.