Next trading day

• 05/16/2017 at 11:38 AM #35696
  Despair

  How do i manage the following problem:

   

  Say i have a daily strategy and want to buy every month on the 10th or the next trading day in case the 10th is a holiday/weekend.  In the datafeed of the security the non-tradingday simply do not exist. So if the 10th is for example a sunday the datafeed jumps from friday 8th directly to monday 11th.

  Any ideas how i can accomblish this conveniently?

  

  Despair

  Blocked

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  05/16/2017 at 12:56 PM #35703
  Nicolas

  I coded something similar recently for Doctrading, about finding the last day of month: https://www.prorealcode.com/topic/astuce-dernier-jour-du-mois/page/2/

  At the beginning of the thread, you can find this code snippet that will give you the day of the week number by looking with its date:

  //find the day number with a date myYear=2017 myMonth=2 myDay=13 if myMonth >= 3 then D = (((23*myMonth)/9) + myDay + 4 + myYear + (myYear/4) - (myYear/100) + (myYear/400) - 2) mod 7 else z = myYear - 1 D = (((23*myMonth)/9) + myDay + 4 + myYear + (z/4) - (z/100) + (z/400) ) mod 7 endif return D

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  //find the day number with a date myYear=2017 myMonth=2 myDay=13   if myMonth >= 3 then D = (((23*myMonth)/9) + myDay + 4 + myYear + (myYear/4) - (myYear/100) + (myYear/400) - 2) mod 7 else z = myYear - 1 D = (((23*myMonth)/9) + myDay + 4 + myYear + (z/4) - (z/100) + (z/400) ) mod 7 endif   return D

  It’s the Keith algorithm. So if the D value is a Sunday for the 10th day of the month you look at, then you know you have to adapt the strategy to trade the next day.. Hope I’m clear 🙂

   

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  Nicolas

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