Daily Strategy w/Intraday Limit Orders in Zipline

Technical Help
#1

@Brian I know that with Zipline, Limit Orders in a daily strategy are equivalent to placing a limit-on-close order and the best practice in daily strategies is to use MarketOnClose and LimitOnClose.

That said:
(1) is it possible to have a daily strategy with intraday orders in Zipline? For example, can you use the minute data base, resample the data to daily bars for entry and exit signals but then use intraday limit orders using the minute bars so you don't have to have Orders on the Open or Close for backtests and live strategies?
(2) If this is possible, do you have any examples?

Thanks.

#2

You can access daily prices in an intraday strategy by using Pipeline (which is always daily frequency) or by using data.history(..., '1d'). The Zipline intro tutorial combines daily logic from Pipeline with intraday order timing.

1 Like
#3

Great. Thank you.