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

Open enzbus opened this issue 1 year ago • 1 comments

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 avatar Feb 01 '24 19:02 enzbus

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.

enzbus avatar Feb 05 '24 13:02 enzbus