quantlab.acquisition.wrds.taq.trading_days_between#

quantlab.acquisition.wrds.taq.trading_days_between(session, start, end)[source]#

Return the trading days in [start, end], ascending.

A trading day is a day that has a complete_nbbo table, listed per year through session.trading_days.

Parameters:
sessionWrdsSession

The shared WRDS session.

start, enddatetime.date

First and last day of the window, inclusive.

Returns:
list of datetime.date

The trading days in the window.

Examples

Needs a live WrdsSession:

from datetime import date
days = trading_days_between(session, date(2024, 1, 1), date(2024, 3, 31))