speed optimization because of weekends

lumibot/backtesting/polygon_backtesting.py

@@ -2,10 +2,11 @@
 import traceback
 from datetime import date, timedelta
 
+from polygon import RESTClient
+
 from lumibot.data_sources import PandasData
 from lumibot.entities import Asset, Data
 from lumibot.tools import polygon_helper
-from polygon import RESTClient
 
 START_BUFFER = timedelta(days=5)
 
@@ -147,9 +148,7 @@ def _pull_source_symbol_bars(
     ):
         # Get the current datetime and calculate the start datetime
         current_dt = self.get_datetime()
-        start_dt, ts_unit = self.get_start_datetime_and_ts_unit(
-            length, timestep, current_dt, start_buffer=START_BUFFER
-        )
+        start_dt, ts_unit = self.get_start_datetime_and_ts_unit(length, timestep, current_dt, start_buffer=START_BUFFER)
 
         # Get data from Polygon
         pandas_data_update = self.update_pandas_data(asset, quote, length, timestep, start_dt)

lumibot/tools/polygon_helper.py

@@ -290,6 +290,16 @@ def get_missing_dates(df_all, asset, start, end):
         A list of dates that we need to get data for
     """
     trading_dates = get_trading_dates(asset, start, end)
+
+    # For options and stocks, exclude weekends
+    if asset.asset_type in ["option", "stock"]:
+        # Remove weekends from the missing dates
+        trading_dates = [x for x in trading_dates if x.weekday() < 5]
+
+    # For Options, don't need any dates passed the expiration date
+    if asset.asset_type == "option":
+        trading_dates = [x for x in trading_dates if x <= asset.expiration]
+
     if df_all is None or not len(df_all):
         return trading_dates
 
@@ -299,10 +309,6 @@ def get_missing_dates(df_all, asset, start, end):
     dates = pd.Series(df_all.index.date).unique()
     missing_dates = sorted(set(trading_dates) - set(dates))
 
-    # For Options, don't need any dates passed the expiration date
-    if asset.asset_type == "option":
-        missing_dates = [x for x in missing_dates if x <= asset.expiration]
-
     return missing_dates