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sequence tweaks, removing market hours anything

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This commit is contained in:
Will Charczuk 2018-09-10 13:08:20 -07:00
parent 1a09989055
commit 0e849b11bb
17 changed files with 413 additions and 877 deletions
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127
seq/time.go
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@ -20,95 +20,6 @@ func (ts timeSequence) Days(days int) []time.Time {
return values
}
func (ts timeSequence) MarketHours(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
var times []time.Time
cursor := util.Date.On(marketOpen, from)
toClose := util.Date.On(marketClose, to)
for cursor.Before(toClose) || cursor.Equal(toClose) {
todayOpen := util.Date.On(marketOpen, cursor)
todayClose := util.Date.On(marketClose, cursor)
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
if (cursor.Equal(todayOpen) || cursor.After(todayOpen)) && (cursor.Equal(todayClose) || cursor.Before(todayClose)) && isValidTradingDay {
times = append(times, cursor)
}
if cursor.After(todayClose) {
cursor = util.Date.NextMarketOpen(cursor, marketOpen, isHoliday)
} else {
cursor = util.Date.NextHour(cursor)
}
}
return times
}
func (ts timeSequence) MarketHourQuarters(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
var times []time.Time
cursor := util.Date.On(marketOpen, from)
toClose := util.Date.On(marketClose, to)
for cursor.Before(toClose) || cursor.Equal(toClose) {
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
if isValidTradingDay {
todayOpen := util.Date.On(marketOpen, cursor)
todayNoon := util.Date.NoonOn(cursor)
today2pm := util.Date.On(util.Date.Time(14, 0, 0, 0, cursor.Location()), cursor)
todayClose := util.Date.On(marketClose, cursor)
times = append(times, todayOpen, todayNoon, today2pm, todayClose)
}
cursor = util.Date.NextDay(cursor)
}
return times
}
func (ts timeSequence) MarketDayCloses(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
var times []time.Time
cursor := util.Date.On(marketOpen, from)
toClose := util.Date.On(marketClose, to)
for cursor.Before(toClose) || cursor.Equal(toClose) {
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
if isValidTradingDay {
todayClose := util.Date.On(marketClose, cursor)
times = append(times, todayClose)
}
cursor = util.Date.NextDay(cursor)
}
return times
}
func (ts timeSequence) MarketDayAlternateCloses(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
var times []time.Time
cursor := util.Date.On(marketOpen, from)
toClose := util.Date.On(marketClose, to)
for cursor.Before(toClose) || cursor.Equal(toClose) {
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
if isValidTradingDay {
todayClose := util.Date.On(marketClose, cursor)
times = append(times, todayClose)
}
cursor = cursor.AddDate(0, 0, 2)
}
return times
}
func (ts timeSequence) MarketDayMondayCloses(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
var times []time.Time
cursor := util.Date.On(marketClose, from)
toClose := util.Date.On(marketClose, to)
for cursor.Equal(toClose) || cursor.Before(toClose) {
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
if isValidTradingDay {
times = append(times, cursor)
}
cursor = util.Date.NextDayOfWeek(cursor, time.Monday)
}
return times
}
func (ts timeSequence) Hours(start time.Time, totalHours int) []time.Time {
times := make([]time.Time, totalHours)
@ -123,49 +34,17 @@ func (ts timeSequence) Hours(start time.Time, totalHours int) []time.Time {
// HoursFilled adds zero values for the data bounded by the start and end of the xdata array.
func (ts timeSequence) HoursFilled(xdata []time.Time, ydata []float64) ([]time.Time, []float64) {
start := Time.Start(xdata)
end := Time.End(xdata)
totalHours := util.Math.AbsInt(util.Date.DiffHours(start, end))
start, end := util.Time.StartAndEnd(xdata...)
totalHours := util.Time.DiffHours(start, end)
finalTimes := ts.Hours(start, totalHours+1)
finalValues := make([]float64, totalHours+1)
var hoursFromStart int
for i, xd := range xdata {
hoursFromStart = util.Date.DiffHours(start, xd)
hoursFromStart = util.Time.DiffHours(start, xd)
finalValues[hoursFromStart] = ydata[i]
}
return finalTimes, finalValues
}
// Start returns the earliest (min) time in a list of times.
func (ts timeSequence) Start(times []time.Time) time.Time {
if len(times) == 0 {
return time.Time{}
}
start := times[0]
for _, t := range times[1:] {
if t.Before(start) {
start = t
}
}
return start
}
// Start returns the earliest (min) time in a list of times.
func (ts timeSequence) End(times []time.Time) time.Time {
if len(times) == 0 {
return time.Time{}
}
end := times[0]
for _, t := range times[1:] {
if t.After(end) {
end = t
}
}
return end
}