I'd like to make my trading behavior different depending on whether it's the day before/after an earnings announcement or not. I found this item, which can download the data: http://www.quantshare.com/item-742-historical-earnings-calendar-for-major-stock-exchanges. However, I can't figure out how to use it in a strategy script. I've tried to following snippet of code to detect whether I'm processing the bar before which earnings will be announced:
I confirmed that the earnings data appears in the earnings_cal database. I'm running this little test just on AAPL from April 1 to May 10 (this year), and AAPL shows up as expected with etime equal to "After Market Close" on "23/04/2013 00:00:00". Changing my by signal to be set with:
Please note also that in case you want to get numeric data, the third parameter of the "GetData" function is wrong. It should be: LastData, NA or Zero.
LastData: If on the current date, "GetData" returns no values then use the last available one
NA: If on the current date, "GetData" returns no values then return NA (Not a Number)
Zero: If on the current date, "GetData" returns no values then return 0
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