Earlier thread. With 1-minute price data I purchased from QuantQuote, looking for days where many ETFs did not have trades after 1pm, I believe that since 2012, U.S. stock markets closed early, at 1pm, on the following days. All such days correspond to the day before Independence Day, the day after Thanksgiving, or Christmas Eve, but in some years, those days of the year did not have shortened hours. Having such a calendar could be useful in backtesting strategies using historical intraday data.
Submitted November 11, 2020 at 03:53PM by Beliavsky