before_market_closes not normally called in backtest

[brettelliot]

When using lumibot 3.7.8 and python 3.11 before_market_closes is not normally called during a backtest:

Running backtest of MyStrategy
2024-10-12 07:39:18 | __main__ | INFO | Running backtest of MyStrategy
Starting backtest for MyStrategy...
2024-10-12 07:39:18 | backtest_stats | INFO | Starting backtest...
2024-10-12 07:39:18 | root | INFO | Backtesting starting...
2020-01-01 00:00:00-05:00 initialize called
2020-01-02 09:30:00-05:00 on_trading_iteration called
2020-01-03 09:30:00-05:00 on_trading_iteration called
2020-01-06 09:30:00-05:00 on_trading_iteration called
2020-01-07 09:30:00-05:00 on_trading_iteration called
2020-01-08 09:30:00-05:00 on_trading_iteration called
2020-01-09 09:30:00-05:00 on_trading_iteration called
2020-01-10 15:55:00-05:00 before_market_closes called
show_indicators is False, not creating the plot file.

Code:

import logging
from datetime import datetime

from lumibot.backtesting import YahooDataBacktesting
from lumibot.strategies.strategy import Strategy
from lumibot.data_sources import data_source_backtesting

logger = logging.getLogger(__name__)
logger.setLevel(logging.INFO)
logger.addHandler(logging.StreamHandler())

"""
This shows that the before_market_closes method is not called in the backtest
run using: python -m lumibots.examples.example_backtest_doesnt_call_before_market_closes
"""

# Disable the progress bar
data_source_backtesting.print_progress_bar = lambda *args, **kwargs: None


class MyStrategy(Strategy):

    def initialize(self, symbol=""):
        dt = self.get_datetime()
        logger.info(f"{dt} initialize called")
        self.sleeptime = "1D"
        self.minutes_before_closing = 5

    # def before_market_opens(self):
    #     dt = self.get_datetime()
    #     logger.info(f"{dt} before_market_opens called")

    def before_market_closes(self):
        dt = self.get_datetime()
        logger.info(f"{dt} before_market_closes called")

    # def after_market_closes(self):
    #     dt = self.get_datetime()
    #     logger.info(f"{dt} after_market_closes called")

    def on_trading_iteration(self):
        dt = self.get_datetime()
        logger.info(f"{dt} on_trading_iteration called")


if __name__ == "__main__":
    logger.info("Running backtest of MyStrategy")

    backtesting_start = datetime(2020, 1, 1)
    backtesting_end = datetime(2020, 1, 10)

    result = MyStrategy.backtest(
        YahooDataBacktesting,
        backtesting_start,
        backtesting_end,
        show_plot=False,
        show_tearsheet=False,
        save_tearsheet=False,
        save_logfile=False,
        show_indicators=False,
    )

[brettelliot]

I think I found the bug but I don't know how to fix it. In strategy_executor.py, in the backtesting block, we don't call before_market_close or after_market_close.

Im not sure if we need to put the calls in this block after on_trading_iteration. There's another option... There is some code in _strategy_sleep that processes expired options. That's another reasonable approach, although its not guranteed to run only for backtesting.

I did try moving the code up, and it kinda worked? Im not sure why but its calling things twice:

2024-10-14 12:02:54,906 | __main__ | INFO | 2023-01-03 09:30:00-05:00 on_trading_iteration called.
2024-10-14 12:02:54,914 | __main__ | INFO | 2023-01-03 15:55:00-05:00 before_market_closes called
2024-10-14 12:02:54,914 | __main__ | INFO | 2023-01-03 16:00:00-05:00 after_market_closes called
2024-10-14 12:02:54,914 | __main__ | INFO | 2023-01-03 15:55:00-05:00 before_market_closes called
2024-10-14 12:02:54,915 | __main__ | INFO | 2023-01-03 16:00:00-05:00 after_market_closes called
2024-10-14 12:02:54,917 | __main__ | INFO | 2023-01-04 09:30:00-05:00 on_trading_iteration called.
2024-10-14 12:02:54,918 | __main__ | INFO | 2023-01-04 15:55:00-05:00 before_market_closes called
2024-10-14 12:02:54,918 | __main__ | INFO | 2023-01-04 16:00:00-05:00 after_market_closes called
2024-10-14 12:02:54,919 | __main__ | INFO | 2023-01-04 15:55:00-05:00 before_market_closes called
2024-10-14 12:02:54,919 | __main__ | INFO | 2023-01-04 16:00:00-05:00 after_market_closes called
2024-10-14 12:02:54,921 | __main__ | INFO | 2023-01-05 09:30:00-05:00 on_trading_iteration called.
2024-10-14 12:02:54,922 | __main__ | INFO | 2023-01-05 15:55:00-05:00 before_market_closes called
2024-10-14 12:02:54,922 | __main__ | INFO | 2023-01-05 16:00:00-05:00 after_market_closes called
2024-10-14 12:02:54,922 | __main__ | INFO | 2023-01-05 15:55:00-05:00 before_market_closes called
2024-10-14 12:02:54,923 | __main__ | INFO | 2023-01-05 16:00:00-05:00 after_market_closes called
2024-10-14 12:02:54,924 | __main__ | INFO | 2023-01-06 09:30:00-05:00 on_trading_iteration called.

@grzesir Do you have any thoughts? I could try it out and let you know how it works.