As I am interested in intra-day trading, I need to exit at the last bar of day. I checked kernc's package, it does not seem to support this functionality. So I coded a func to added a column to the OHLC data, so that when it is the second last bar of a day, it gives a signal of 1.

def col_day_end(es):
 es['end_of_day'] = 0 
 es['day'] = es.index.astype(str).str.split(' ').str[0]
 last = pd.DataFrame.last_valid_index
 es.loc[es.groupby('day').apply(last),'end_of_day'] = 1 
 es.end_of_day = es.end_of_day.shift(periods=-1)
 return es.end_of_day 
 ...
 if self.position:
 if self.data.end_of_day == 1 :
 self.position.close()
 

It works, but seems quite clumsy. Maybe this can be added to the package in further version.