sequence tweaks, removing market hours anything
This commit is contained in:
Will Charczuk
parent
1a09989055
commit
0e849b11bb
17 changed files with 413 additions and 877 deletions
322
util/date.go
322
util/date.go
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@ -1,7 +1,6 @@
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package util
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import (
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"sync"
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"time"
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)
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@ -45,192 +44,88 @@ var (
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Epoch = time.Unix(0, 0)
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)
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var (
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_easternLock sync.Mutex
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_eastern *time.Location
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)
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// NYSEOpen is when the NYSE opens.
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func NYSEOpen() time.Time { return Date.Time(9, 30, 0, 0, Date.Eastern()) }
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// NYSEClose is when the NYSE closes.
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func NYSEClose() time.Time { return Date.Time(16, 0, 0, 0, Date.Eastern()) }
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// NASDAQOpen is when NASDAQ opens.
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func NASDAQOpen() time.Time { return Date.Time(9, 30, 0, 0, Date.Eastern()) }
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// NASDAQClose is when NASDAQ closes.
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func NASDAQClose() time.Time { return Date.Time(16, 0, 0, 0, Date.Eastern()) }
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// NYSEArcaOpen is when NYSEARCA opens.
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func NYSEArcaOpen() time.Time { return Date.Time(4, 0, 0, 0, Date.Eastern()) }
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// NYSEArcaClose is when NYSEARCA closes.
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func NYSEArcaClose() time.Time { return Date.Time(20, 0, 0, 0, Date.Eastern()) }
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// HolidayProvider is a function that returns if a given time falls on a holiday.
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type HolidayProvider func(time.Time) bool
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// defaultHolidayProvider implements `HolidayProvider` and just returns false.
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func defaultHolidayProvider(_ time.Time) bool { return false }
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var (
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// Date contains utility functions that operate on dates.
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Date = &date{}
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)
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// Date contains utility functions that operate on dates.
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var Date date
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type date struct{}
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// IsNYSEHoliday returns if a date was/is on a nyse holiday day.
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func (d date) IsNYSEHoliday(t time.Time) bool {
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te := t.In(d.Eastern())
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if te.Year() == 2013 {
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if te.Month() == 1 {
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return te.Day() == 1 || te.Day() == 21
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} else if te.Month() == 2 {
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return te.Day() == 18
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} else if te.Month() == 3 {
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return te.Day() == 29
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} else if te.Month() == 5 {
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return te.Day() == 27
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} else if te.Month() == 7 {
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return te.Day() == 4
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} else if te.Month() == 9 {
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return te.Day() == 2
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} else if te.Month() == 11 {
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return te.Day() == 28
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} else if te.Month() == 12 {
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return te.Day() == 25
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}
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} else if te.Year() == 2014 {
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if te.Month() == 1 {
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return te.Day() == 1 || te.Day() == 20
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} else if te.Month() == 2 {
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return te.Day() == 17
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} else if te.Month() == 4 {
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return te.Day() == 18
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} else if te.Month() == 5 {
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return te.Day() == 26
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} else if te.Month() == 7 {
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return te.Day() == 4
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} else if te.Month() == 9 {
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return te.Day() == 1
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} else if te.Month() == 11 {
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return te.Day() == 27
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} else if te.Month() == 12 {
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return te.Day() == 25
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}
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} else if te.Year() == 2015 {
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if te.Month() == 1 {
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return te.Day() == 1 || te.Day() == 19
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} else if te.Month() == 2 {
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return te.Day() == 16
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} else if te.Month() == 4 {
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return te.Day() == 3
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} else if te.Month() == 5 {
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return te.Day() == 25
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} else if te.Month() == 7 {
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return te.Day() == 3
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} else if te.Month() == 9 {
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return te.Day() == 7
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} else if te.Month() == 11 {
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return te.Day() == 26
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} else if te.Month() == 12 {
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return te.Day() == 25
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}
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} else if te.Year() == 2016 {
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if te.Month() == 1 {
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return te.Day() == 1 || te.Day() == 18
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} else if te.Month() == 2 {
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return te.Day() == 15
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} else if te.Month() == 3 {
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return te.Day() == 25
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} else if te.Month() == 5 {
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return te.Day() == 30
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} else if te.Month() == 7 {
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return te.Day() == 4
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} else if te.Month() == 9 {
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return te.Day() == 5
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} else if te.Month() == 11 {
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return te.Day() == 24 || te.Day() == 25
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} else if te.Month() == 12 {
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return te.Day() == 26
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}
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} else if te.Year() == 2017 {
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if te.Month() == 1 {
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return te.Day() == 1 || te.Day() == 16
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} else if te.Month() == 2 {
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return te.Day() == 20
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} else if te.Month() == 4 {
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return te.Day() == 15
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} else if te.Month() == 5 {
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return te.Day() == 29
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} else if te.Month() == 7 {
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return te.Day() == 4
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} else if te.Month() == 9 {
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return te.Day() == 4
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} else if te.Month() == 11 {
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return te.Day() == 23
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} else if te.Month() == 12 {
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return te.Day() == 25
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}
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} else if te.Year() == 2018 {
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if te.Month() == 1 {
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return te.Day() == 1 || te.Day() == 15
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} else if te.Month() == 2 {
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return te.Day() == 19
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} else if te.Month() == 3 {
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return te.Day() == 30
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} else if te.Month() == 5 {
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return te.Day() == 28
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} else if te.Month() == 7 {
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return te.Day() == 4
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} else if te.Month() == 9 {
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return te.Day() == 3
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} else if te.Month() == 11 {
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return te.Day() == 22
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} else if te.Month() == 12 {
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return te.Day() == 25
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func (d date) MustEastern() *time.Location {
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if eastern, err := d.Eastern(); err != nil {
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panic(err)
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} else {
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return eastern
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}
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}
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// Eastern returns the eastern timezone.
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func (d date) Eastern() (*time.Location, error) {
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// Try POSIX
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est, err := time.LoadLocation("America/New_York")
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if err == nil {
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// Try Windows
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est, err = time.LoadLocation("EST")
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if err == nil {
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return nil, err
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}
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}
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return false
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return est, nil
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}
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// IsNYSEArcaHoliday returns that returns if a given time falls on a holiday.
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func (d date) IsNYSEArcaHoliday(t time.Time) bool {
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return d.IsNYSEHoliday(t)
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func (d date) MustPacific() *time.Location {
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if pst, err := d.Pacific(); err != nil {
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panic(err)
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} else {
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return pst
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}
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}
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// IsNASDAQHoliday returns if a date was a NASDAQ holiday day.
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func (d date) IsNASDAQHoliday(t time.Time) bool {
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return d.IsNYSEHoliday(t)
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// Pacific returns the pacific timezone.
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func (d date) Pacific() (*time.Location, error) {
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// Try POSIX
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pst, err := time.LoadLocation("America/Los_Angeles")
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if err == nil {
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// Try Windows
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pst, err = time.LoadLocation("PST")
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if err == nil {
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return nil, err
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}
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}
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return pst, nil
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}
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// TimeUTC returns a new time.Time for the given clock components in UTC.
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// It is meant to be used with the `OnDate` function.
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func (d date) TimeUTC(hour, min, sec, nsec int) time.Time {
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return time.Date(0, 0, 0, hour, min, sec, nsec, time.UTC)
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}
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// Time returns a new time.Time for the given clock components.
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// It is meant to be used with the `OnDate` function.
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func (d date) Time(hour, min, sec, nsec int, loc *time.Location) time.Time {
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return time.Date(0, 0, 0, hour, min, sec, nsec, loc)
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}
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// DateUTC returns a new time.Time for the given date comonents at (noon) in UTC.
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func (d date) DateUTC(year, month, day int) time.Time {
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return time.Date(year, time.Month(month), day, 12, 0, 0, 0, time.UTC)
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}
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// DateUTC returns a new time.Time for the given date comonents at (noon) in a given location.
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func (d date) Date(year, month, day int, loc *time.Location) time.Time {
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return time.Date(year, time.Month(month), day, 12, 0, 0, 0, loc)
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}
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// On returns the clock components of clock (hour,minute,second) on the date components of d.
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func (d date) On(clock, cd time.Time) time.Time {
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tzAdjusted := cd.In(clock.Location())
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// OnDate returns the clock components of clock (hour,minute,second) on the date components of d.
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func (d date) OnDate(clock, date time.Time) time.Time {
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tzAdjusted := date.In(clock.Location())
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return time.Date(tzAdjusted.Year(), tzAdjusted.Month(), tzAdjusted.Day(), clock.Hour(), clock.Minute(), clock.Second(), clock.Nanosecond(), clock.Location())
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}
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// NoonOn is a shortcut for On(Time(12,0,0), cd) a.k.a. noon on a given date.
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func (d date) NoonOn(cd time.Time) time.Time {
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// NoonOnDate is a shortcut for On(Time(12,0,0), cd) a.k.a. noon on a given date.
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func (d date) NoonOnDate(cd time.Time) time.Time {
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return time.Date(cd.Year(), cd.Month(), cd.Day(), 12, 0, 0, 0, cd.Location())
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}
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// Optional returns a pointer reference to a given time.
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func (d date) Optional(t time.Time) *time.Time {
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return &t
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}
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// IsWeekDay returns if the day is a monday->friday.
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func (d date) IsWeekDay(day time.Weekday) bool {
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return !d.IsWeekendDay(day)
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@ -253,116 +148,11 @@ func (d date) Before(before, reference time.Time) bool {
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return tzAdjustedBefore.Year() == reference.Year() && tzAdjustedBefore.Month() == reference.Month() && tzAdjustedBefore.Day() < reference.Day()
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}
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// NextMarketOpen returns the next market open after a given time.
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func (d date) NextMarketOpen(after, openTime time.Time, isHoliday HolidayProvider) time.Time {
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afterLocalized := after.In(openTime.Location())
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todaysOpen := d.On(openTime, afterLocalized)
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if isHoliday == nil {
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isHoliday = defaultHolidayProvider
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}
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todayIsValidTradingDay := d.IsWeekDay(todaysOpen.Weekday()) && !isHoliday(todaysOpen)
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if (afterLocalized.Equal(todaysOpen) || afterLocalized.Before(todaysOpen)) && todayIsValidTradingDay {
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return todaysOpen
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}
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for cursorDay := 1; cursorDay < 7; cursorDay++ {
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newDay := todaysOpen.AddDate(0, 0, cursorDay)
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isValidTradingDay := d.IsWeekDay(newDay.Weekday()) && !isHoliday(newDay)
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if isValidTradingDay {
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return d.On(openTime, newDay)
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}
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}
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panic("Have exhausted day window looking for next market open.")
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}
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// NextMarketClose returns the next market close after a given time.
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func (d date) NextMarketClose(after, closeTime time.Time, isHoliday HolidayProvider) time.Time {
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afterLocalized := after.In(closeTime.Location())
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if isHoliday == nil {
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isHoliday = defaultHolidayProvider
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}
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todaysClose := d.On(closeTime, afterLocalized)
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if afterLocalized.Before(todaysClose) && d.IsWeekDay(todaysClose.Weekday()) && !isHoliday(todaysClose) {
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return todaysClose
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}
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if afterLocalized.Equal(todaysClose) { //rare but it might happen.
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return todaysClose
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}
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for cursorDay := 1; cursorDay < 6; cursorDay++ {
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newDay := todaysClose.AddDate(0, 0, cursorDay)
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if d.IsWeekDay(newDay.Weekday()) && !isHoliday(newDay) {
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return d.On(closeTime, newDay)
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}
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}
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panic("Have exhausted day window looking for next market close.")
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}
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// CalculateMarketSecondsBetween calculates the number of seconds the market was open between two dates.
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func (d date) CalculateMarketSecondsBetween(start, end, marketOpen, marketClose time.Time, isHoliday HolidayProvider) (seconds int64) {
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startEastern := start.In(d.Eastern())
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endEastern := end.In(d.Eastern())
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startMarketOpen := d.On(marketOpen, startEastern)
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startMarketClose := d.On(marketClose, startEastern)
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if !d.IsWeekendDay(startMarketOpen.Weekday()) && !isHoliday(startMarketOpen) {
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if (startEastern.Equal(startMarketOpen) || startEastern.After(startMarketOpen)) && startEastern.Before(startMarketClose) {
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if endEastern.Before(startMarketClose) {
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seconds += int64(endEastern.Sub(startEastern) / time.Second)
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} else {
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seconds += int64(startMarketClose.Sub(startEastern) / time.Second)
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}
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}
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}
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cursor := d.NextMarketOpen(startMarketClose, marketOpen, isHoliday)
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for d.Before(cursor, endEastern) {
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if d.IsWeekDay(cursor.Weekday()) && !isHoliday(cursor) {
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close := d.NextMarketClose(cursor, marketClose, isHoliday)
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seconds += int64(close.Sub(cursor) / time.Second)
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}
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cursor = cursor.AddDate(0, 0, 1)
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}
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finalMarketOpen := d.NextMarketOpen(cursor, marketOpen, isHoliday)
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finalMarketClose := d.NextMarketClose(cursor, marketClose, isHoliday)
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if endEastern.After(finalMarketOpen) {
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if endEastern.Before(finalMarketClose) {
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seconds += int64(endEastern.Sub(finalMarketOpen) / time.Second)
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} else {
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seconds += int64(finalMarketClose.Sub(finalMarketOpen) / time.Second)
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}
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}
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return
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}
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const (
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_secondsPerHour = 60 * 60
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_secondsPerDay = 60 * 60 * 24
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)
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func (d date) DiffDays(t1, t2 time.Time) (days int) {
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t1n := t1.Unix()
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t2n := t2.Unix()
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diff := t2n - t1n //yields seconds
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return int(diff / (_secondsPerDay))
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}
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func (d date) DiffHours(t1, t2 time.Time) (hours int) {
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t1n := t1.Unix()
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t2n := t2.Unix()
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diff := t2n - t1n //yields seconds
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return int(diff / (_secondsPerHour))
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}
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// NextDay returns the timestamp advanced a day.
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func (d date) NextDay(ts time.Time) time.Time {
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return ts.AddDate(0, 0, 1)
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