Extended Hours Trading - Research Notes

Experiment Overview

Context

Standard US equity market hours (9:30 AM - 4:00 PM ET) miss important trading opportunities:

Alpaca Extended Hours Requirements:

• Order type: LIMIT only (market orders rejected)
• timeinforce='day' required
• extended_hours=True parameter on order request
• Bracket orders and trailing stops NOT supported

Verified Workflow

1. Check if in Extended Session

from alpaca_trading.market_hours import is_extended_hours_session, get_market_session, MarketSession

# Check if currently in extended session
if is_extended_hours_session("AAPL"):
    # Must use limit orders with extended_hours=True
    print("In extended session - use limit orders only")

# Get specific session type
session = get_market_session("AAPL")
# Returns: MarketSession.PRE_MARKET, .REGULAR_HOURS, .AFTER_HOURS, or .CLOSED

2. Submit Extended Hours Orders

from alpaca_trading.trading.broker import Broker

# Extended hours orders MUST use limit orders
broker.submit_order(
    symbol="AAPL",
    qty=10,
    side="buy",
    type="limit",           # REQUIRED - market orders rejected
    time_in_force="day",    # REQUIRED - automatically enforced
    limit_price=150.0,
    extended_hours=True,    # Enable extended hours
)

# Validation built in - this raises ValueError:
broker.submit_order(
    symbol="AAPL",
    qty=10,
    side="buy",
    type="market",          # NOT ALLOWED
    extended_hours=True,    # Raises: "extended_hours=True requires type='limit'"
)

3. Live Trader CLI

# Enable extended hours trading (forces limit orders)
python scripts/live_trader.py --paper 1 --extended-hours 1

# Combined with CCXT for full 24/7 coverage
python scripts/live_trader.py --paper 1 --extended-hours 1 --use-ccxt 1

4. Capital Shift Timing Adjustment

When extended hours is enabled, capital shift timing changes:

from alpaca_trading.risk.capital_shift import CapitalShiftConfig, CapitalShiftManager

config = CapitalShiftConfig(
    enabled=True,
    extended_hours_enabled=True,  # Shift at 8:15 PM instead of 4:15 PM
    shift_fraction=0.75,
    max_crypto_allocation=0.50,
)

manager = CapitalShiftManager(config, alpaca_broker=broker)

# is_equity_market_open now considers 4 AM - 8 PM as "open"
is_open = manager.is_equity_market_open()  # True at 6 AM with extended hours

5. Dashboard Session Display

The web dashboard shows session type in the header:

API endpoint /api/v1/market/status returns:

{
  "equity_market": "closed",
  "equity_session": "pre_market",
  "crypto_market": "open",
  "next_open": "2024-01-16T14:30:00Z",
  "timestamp": "2024-01-16T10:00:00Z"
}

Failed Attempts (Critical)

Final Parameters

# Extended hours validation in broker.py
if extended_hours:
    if str(type).lower() != "limit":
        raise ValueError("extended_hours=True requires type='limit'")
    if time_in_force.lower() != "day":
        logger.warning("extended_hours=True requires time_in_force='day', forcing")
        time_in_force = "day"

# Session time boundaries (market_hours.py)
STOCK_PREMARKET_OPEN = time(4, 0)    # 4:00 AM ET
STOCK_MARKET_OPEN = time(9, 30)       # 9:30 AM ET
STOCK_MARKET_CLOSE = time(16, 0)      # 4:00 PM ET
STOCK_AFTERHOURS_CLOSE = time(20, 0)  # 8:00 PM ET

# Live trader CLI validation
if args.extended_hours and not args.use_limit_orders:
    logger.warning("Extended hours requires limit orders. Forcing --use-limit-orders=1")
    args.use_limit_orders = 1

Key Insights

• Crypto unaffected: isextendedhours_session() returns False for crypto (always tradeable)
• Weekends: Extended hours only applies to weekdays - weekends return False
• Holidays: Market holidays return CLOSED session regardless of time
• Order validation: Validation happens in broker.py before API call - fails fast
• Dashboard sync: WebSocket pushes equity_session for real-time UI updates
• Capital shift integration: Extended hours extends trading window, delays crypto shift

Files Created/Modified

Testing Checklist

# Verify these scenarios:
1. [x] is_extended_hours_session() returns True at 6 AM for stocks
2. [x] is_extended_hours_session() returns True at 5 PM for stocks
3. [x] is_extended_hours_session() returns False at 10 AM (regular hours)
4. [x] is_extended_hours_session() returns False at 9 PM (closed)
5. [x] is_extended_hours_session() returns False for crypto (always)
6. [x] is_extended_hours_session() returns False on weekends
7. [x] broker.submit_order() raises ValueError for market orders with extended_hours=True
8. [x] broker.submit_order() accepts limit orders with extended_hours=True
9. [x] Capital shift happens at 8:15 PM with extended_hours_enabled
10. [x] Capital restores at 3:45 AM with extended_hours_enabled
11. [x] is_equity_market_open() returns True at 6 AM with extended_hours_enabled
12. [x] Dashboard shows correct session type (PRE-MARKET, AFTER-HOURS, etc.)
13. [x] --extended-hours CLI forces --use-limit-orders
14. [x] executor passes extended_hours to broker

References

• Alpaca Extended Hours: https://docs.alpaca.markets/docs/extended-hours
• Alpaca Order Types: https://docs.alpaca.markets/docs/orders-at-alpaca
• US Market Hours: NYSE/NASDAQ open 9:30 AM - 4:00 PM ET, pre-market 4:00 AM, after-hours until 8:00 PM