ADR book: run after Yahoo's Asian bars are back (16:55 NY), retry for 30 minutes

.github/workflows/auction-sheet.yml

@@ -5,7 +5,8 @@ name: auction-sheet
 # closed at today's official open, today's ADR book is settled open -> close, and tonight's
 # book is opened at today's official close - all in the sheet's "Auction book" and
 # "Auction trades" tabs. Nothing is sent to Alpaca. The two crons cover ~16:25 New York in
-# summer and winter time; the script itself only runs between 16:20 and midnight New York, once a day.
+# summer and winter time; the script itself only runs between 16:50 and midnight New York (Yahoo's Asian bars, needed by
+# the ADR book, are missing around 16:30-16:45), once a day.
 
 on:
   schedule:
@@ -14,7 +15,7 @@ on:
   workflow_dispatch:
     inputs:
       force:
-        description: "run now even outside 16:20-24:00 New York"
+        description: "run now even outside 16:50-24:00 New York"
         default: "false"
 
 permissions:
@@ -27,7 +28,7 @@ concurrency:
 jobs:
   sleeve:
     runs-on: ubuntu-latest
-    timeout-minutes: 40
+    timeout-minutes: 75
     env:
       ALPACA_API_KEY: ${{ secrets.ALPACA_API_KEY }}            # market data only
       ALPACA_SECRET_KEY: ${{ secrets.ALPACA_SECRET_KEY }}

qtrade/clock.py

@@ -36,7 +36,7 @@ class Job:
         window_min=20),
     Job("hft-shadow.yml", NY, ("09:26",), window_min=300),         # its own chain then runs the session
     Job("flip-sleeve.yml", NY, ("15:45",), window_min=400),
-    Job("auction-sheet.yml", NY, ("16:30",), window_min=400),
+    Job("auction-sheet.yml", NY, ("16:55",), window_min=400),     # after Yahoo's ~16:30-16:45 refresh of Asian bars
     Job("hoard-archive.yml", NY, ("16:45",), inputs=(("job", "eod"),), window_min=400),
     Job("foreign-sheet.yml", "UTC", ("17:15", "23:30"), window_min=200),   # 23:30: Asian bars Yahoo posted late
     Job("hoard-archive.yml", "UTC", ("07:15",), weekdays=False, inputs=(("job", "archive"),), window_min=300),

qtrade/intraday/adr_book.py

@@ -125,6 +125,11 @@ def home_moves(today: pd.Timestamp, tickers: list[str] | None = None) -> pd.Data
         f = f[f.index.normalize() < day]                   # FX up to yesterday only
         rows.append({"adr": t, "market": mkt, "home_ret": float(np.log(c.iloc[-1] / c.iloc[-2])),
                      "fx_ret_prev": float(f.iloc[-1]) if len(f) else np.nan})
+    if not rows:                                           # say why, so an empty ADR book is never a mystery
+        sample = [h for h in homes if h in md.close][:4]
+        LOG.warning("ADR book: no home session dated %s; index ends %s; last bars %s", day.date(),
+                    [str(d.date()) for d in md.close.index[-3:]],
+                    {h: [str(d.date()) for d in md.close[h].dropna().index[-2:]] for h in sample})
     return pd.DataFrame(rows)
 
 

qtrade/intraday/auction_sheet.py

@@ -32,7 +32,7 @@
 
 NY = "America/New_York"
 TAB, TRADES_TAB = "Auction book", "Auction trades"
-ADR_TRIES, ADR_RETRY_S = 4, 120
+ADR_TRIES, ADR_RETRY_S = 10, 180         # Yahoo's Asian bars vanished ~16:30-16:40 NY (Nov 3-4), back by 16:50
 LOG_HEADER = ["Date", "Overnight P&L $", "ADR P&L $", "Day P&L $", "Day %", "Equity $", "Overnight longs",
               "Overnight shorts", "Overnight gross $", "ADR names", "Capital $"]
 HOLD_HEADER = ["Symbol", "Shares", "Entry (official close)", "Position $"]
@@ -106,7 +106,7 @@ def day_inputs(cfg, tickers: list[str], signs: dict, day: pd.Timestamp) -> dict:
         try:
             moves = pd.DataFrame()
             for attempt in range(ADR_TRIES):        # Yahoo sometimes serves the Asian daily bars late
-                moves = home_moves(day, adr_names)  # (2026-11-03: none at 21:31 UTC, 24 at 21:50)
+                moves = home_moves(day, adr_names)  # (none at 16:31-16:38 NY on Nov 3-4, all back by 16:50)
                 LOG.info("ADR book: %d ADRs with a home session today (try %d)", len(moves), attempt + 1)
                 if len(moves) or day.weekday() >= 5:
                     break
@@ -252,11 +252,11 @@ def main(argv=None):
     ap.add_argument("--tickers", default="data/auction_tickers.json")
     ap.add_argument("--signs", default="data/auction_signs.json")
     ap.add_argument("--dry-run", action="store_true")
-    ap.add_argument("--force", action="store_true", help="run outside 16:20-24:00 New York")
+    ap.add_argument("--force", action="store_true", help="run outside 16:50-24:00 New York")
     args = ap.parse_args(argv)
     setup_logging()
     now = pd.Timestamp.now(tz=NY)
-    if not args.force and not (now.weekday() < 5 and 16 * 60 + 20 <= now.hour * 60 + now.minute < 24 * 60):
+    if not args.force and not (now.weekday() < 5 and 16 * 60 + 50 <= now.hour * 60 + now.minute < 24 * 60):
         print({"skipped": f"outside the window ({now:%H:%M} NY)"})
         return
     sleeve = book_split().get("auction", 0.0)