Dealing with survivorship bias about pybroker HOT 6 CLOSED

Thank you for your question, snexus.

In PyBroker, the execution function is called separately for each symbol, and only when there are bars of data available. If there is no data available on a date, the execution function will not run for that missing bar.

Regarding your scenario, if you had bought a symbol in 2015, and there is no data available for that symbol in 2016, and you did not sell the symbol before it was delisted, then the position will still be held in your portfolio at the close price of the last available bar of data.

It would be difficult to determine what action to take when data ends, as PyBroker does not assume that the timestamps of bars for multiple symbols need to all be the same. It is not clear when to raise an error condition after a certain amount of time elapses between bars of different symbols. But I am open to suggestions on how to handle this situation differently.

One thought that comes to mind would be to add a configuration option that, when enabled, automatically liquidates any held position on the last bar of available data at market price, specified with PriceType.

from pybroker.

An ability to liquidate any held position would be great!

from pybroker.

Great, I will work on adding this now, and update this ticket once committed.

from pybroker.

Added exit_on_last_bar option with 8f89571

This will be in release v1.0.21

from pybroker.

Thanks for that!

from pybroker.

Added in v1.0.21

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