A feature to exit at the end of day.

[wolfcuring]

As I am interested in intra-day trading, I need to exit at the last bar of day. I checked kernc's package, it does not seem to support this functionality. So I coded a func to added a column to the OHLC data, so that when it is the second last bar of a day, it gives a signal of 1.

def col_day_end(es):
    es['end_of_day'] = 0 
    es['day'] = es.index.astype(str).str.split(' ').str[0]
    last = pd.DataFrame.last_valid_index
    es.loc[es.groupby('day').apply(last),'end_of_day'] = 1 

    es.end_of_day = es.end_of_day.shift(periods=-1)

    return es.end_of_day 

    ...
    if self.position:
            if self.data.end_of_day == 1 :
                self.position.close()
  

It works, but seems quite clumsy. Maybe this can be added to the package in further version.