sequence tweaks, removing market hours anything

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

View file

@ -1,5 +1,9 @@
all: test all: test
tools:
@go get -u github.com/blend/go-sdk/_bin/coverage
@go get -u github.com/blend/go-sdk/_bin/profanity
test: test:
@go test ./... @go test ./...
@ -8,9 +12,4 @@ profanity:
@profanity -include="*.go,Makefile,README.md" @profanity -include="*.go,Makefile,README.md"
cover: cover:
@go test -short -covermode=set -coverprofile=profile.cov @coverage
@go tool cover -html=profile.cov
@rm profile.cov
deps:
@go get -u github.com/blend/go-sdk/_bin/profanity

View file

@ -0,0 +1,42 @@
package chart
// LinearCoefficientProvider is a type that returns linear cofficients.
type LinearCoefficientProvider interface {
Coefficients() (m, b, stdev, avg float64)
}
// LinearCoefficients returns a fixed linear coefficient pair.
func LinearCoefficients(m, b float64) LinearCoefficientSet {
return LinearCoefficientSet{
M: m,
B: b,
}
}
// NormalizedLinearCoefficients returns a fixed linear coefficient pair.
func NormalizedLinearCoefficients(m, b, stdev, avg float64) LinearCoefficientSet {
return LinearCoefficientSet{
M: m,
B: b,
StdDev: stdev,
Avg: avg,
}
}
// LinearCoefficientSet is the m and b values for the linear equation in the form:
// y = (m*x) + b
type LinearCoefficientSet struct {
M float64
B float64
StdDev float64
Avg float64
}
// Coefficients returns the coefficients.
func (lcs LinearCoefficientSet) Coefficients() (m, b, stdev, avg float64) {
m = lcs.M
b = lcs.B
stdev = lcs.StdDev
avg = lcs.Avg
return
}

View file

@ -12,6 +12,7 @@ var (
_ Series = (*LinearRegressionSeries)(nil) _ Series = (*LinearRegressionSeries)(nil)
_ FirstValuesProvider = (*LinearRegressionSeries)(nil) _ FirstValuesProvider = (*LinearRegressionSeries)(nil)
_ LastValuesProvider = (*LinearRegressionSeries)(nil) _ LastValuesProvider = (*LinearRegressionSeries)(nil)
_ LinearCoefficientProvider = (*LinearRegressionSeries)(nil)
) )
// LinearRegressionSeries is a series that plots the n-nearest neighbors // LinearRegressionSeries is a series that plots the n-nearest neighbors
@ -31,6 +32,19 @@ type LinearRegressionSeries struct {
stddevx float64 stddevx float64
} }
// Coefficients returns the linear coefficients for the series.
func (lrs LinearRegressionSeries) Coefficients() (m, b, stdev, avg float64) {
if lrs.IsZero() {
lrs.computeCoefficients()
}
m = lrs.m
b = lrs.b
stdev = lrs.stddevx
avg = lrs.avgx
return
}
// GetName returns the name of the time series. // GetName returns the name of the time series.
func (lrs LinearRegressionSeries) GetName() string { func (lrs LinearRegressionSeries) GetName() string {
return lrs.Name return lrs.Name
@ -79,7 +93,7 @@ func (lrs *LinearRegressionSeries) GetValues(index int) (x, y float64) {
if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 { if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 {
return return
} }
if lrs.m == 0 && lrs.b == 0 { if lrs.IsZero() {
lrs.computeCoefficients() lrs.computeCoefficients()
} }
offset := lrs.GetOffset() offset := lrs.GetOffset()
@ -94,7 +108,7 @@ func (lrs *LinearRegressionSeries) GetFirstValues() (x, y float64) {
if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 { if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 {
return return
} }
if lrs.m == 0 && lrs.b == 0 { if lrs.IsZero() {
lrs.computeCoefficients() lrs.computeCoefficients()
} }
x, y = lrs.InnerSeries.GetValues(0) x, y = lrs.InnerSeries.GetValues(0)
@ -107,7 +121,7 @@ func (lrs *LinearRegressionSeries) GetLastValues() (x, y float64) {
if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 { if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 {
return return
} }
if lrs.m == 0 && lrs.b == 0 { if lrs.IsZero() {
lrs.computeCoefficients() lrs.computeCoefficients()
} }
endIndex := lrs.GetEndIndex() endIndex := lrs.GetEndIndex()
@ -116,6 +130,29 @@ func (lrs *LinearRegressionSeries) GetLastValues() (x, y float64) {
return return
} }
// Render renders the series.
func (lrs *LinearRegressionSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
style := lrs.Style.InheritFrom(defaults)
Draw.LineSeries(r, canvasBox, xrange, yrange, style, lrs)
}
// Validate validates the series.
func (lrs *LinearRegressionSeries) Validate() error {
if lrs.InnerSeries == nil {
return fmt.Errorf("linear regression series requires InnerSeries to be set")
}
return nil
}
// IsZero returns if we've computed the coefficients or not.
func (lrs *LinearRegressionSeries) IsZero() bool {
return lrs.m == 0 && lrs.b == 0
}
//
// internal helpers
//
func (lrs *LinearRegressionSeries) normalize(xvalue float64) float64 { func (lrs *LinearRegressionSeries) normalize(xvalue float64) float64 {
return (xvalue - lrs.avgx) / lrs.stddevx return (xvalue - lrs.avgx) / lrs.stddevx
} }
@ -151,17 +188,3 @@ func (lrs *LinearRegressionSeries) computeCoefficients() {
lrs.m = (p*sumxy - sumx*sumy) / (p*sumxx - sumx*sumx) lrs.m = (p*sumxy - sumx*sumy) / (p*sumxx - sumx*sumx)
lrs.b = (sumy / p) - (lrs.m * sumx / p) lrs.b = (sumy / p) - (lrs.m * sumx / p)
} }
// Render renders the series.
func (lrs *LinearRegressionSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
style := lrs.Style.InheritFrom(defaults)
Draw.LineSeries(r, canvasBox, xrange, yrange, style, lrs)
}
// Validate validates the series.
func (lrs *LinearRegressionSeries) Validate() error {
if lrs.InnerSeries == nil {
return fmt.Errorf("linear regression series requires InnerSeries to be set")
}
return nil
}

119
linear_series.go Normal file
View file

@ -0,0 +1,119 @@
package chart
import (
"fmt"
)
// Interface Assertions.
var (
_ Series = (*LinearSeries)(nil)
_ FirstValuesProvider = (*LinearSeries)(nil)
_ LastValuesProvider = (*LinearSeries)(nil)
)
// LinearSeries is a series that plots a line in a given domain.
type LinearSeries struct {
Name string
Style Style
YAxis YAxisType
XValues []float64
InnerSeries LinearCoefficientProvider
m float64
b float64
stdev float64
avg float64
}
// GetName returns the name of the time series.
func (ls LinearSeries) GetName() string {
return ls.Name
}
// GetStyle returns the line style.
func (ls LinearSeries) GetStyle() Style {
return ls.Style
}
// GetYAxis returns which YAxis the series draws on.
func (ls LinearSeries) GetYAxis() YAxisType {
return ls.YAxis
}
// Len returns the number of elements in the series.
func (ls LinearSeries) Len() int {
return len(ls.XValues)
}
// GetEndIndex returns the effective limit end.
func (ls LinearSeries) GetEndIndex() int {
return len(ls.XValues) - 1
}
// GetValues gets a value at a given index.
func (ls *LinearSeries) GetValues(index int) (x, y float64) {
if ls.InnerSeries == nil || len(ls.XValues) == 0 {
return
}
if ls.IsZero() {
ls.computeCoefficients()
}
x = ls.XValues[index]
y = (ls.m * ls.normalize(x)) + ls.b
return
}
// GetFirstValues computes the first linear regression value.
func (ls *LinearSeries) GetFirstValues() (x, y float64) {
if ls.InnerSeries == nil || len(ls.XValues) == 0 {
return
}
if ls.IsZero() {
ls.computeCoefficients()
}
x, y = ls.GetValues(0)
return
}
// GetLastValues computes the last linear regression value.
func (ls *LinearSeries) GetLastValues() (x, y float64) {
if ls.InnerSeries == nil || len(ls.XValues) == 0 {
return
}
if ls.IsZero() {
ls.computeCoefficients()
}
x, y = ls.GetValues(ls.GetEndIndex())
return
}
// Render renders the series.
func (ls *LinearSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
Draw.LineSeries(r, canvasBox, xrange, yrange, ls.Style.InheritFrom(defaults), ls)
}
// Validate validates the series.
func (ls LinearSeries) Validate() error {
if ls.InnerSeries == nil {
return fmt.Errorf("linear regression series requires InnerSeries to be set")
}
return nil
}
// IsZero returns if the linear series has computed coefficients or not.
func (ls LinearSeries) IsZero() bool {
return ls.m == 0 && ls.b == 0
}
// computeCoefficients computes the `m` and `b` terms in the linear formula given by `y = mx+b`.
func (ls *LinearSeries) computeCoefficients() {
ls.m, ls.b, ls.stdev, ls.avg = ls.InnerSeries.Coefficients()
}
func (ls *LinearSeries) normalize(xvalue float64) float64 {
if ls.avg > 0 && ls.stdev > 0 {
return (xvalue - ls.avg) / ls.stdev
}
return xvalue
}

View file

@ -1,195 +0,0 @@
package chart
import (
"fmt"
"time"
"github.com/wcharczuk/go-chart/seq"
"github.com/wcharczuk/go-chart/util"
)
// MarketHoursRange is a special type of range that compresses a time range into just the
// market (i.e. NYSE operating hours and days) range.
type MarketHoursRange struct {
Min time.Time
Max time.Time
MarketOpen time.Time
MarketClose time.Time
HolidayProvider util.HolidayProvider
ValueFormatter ValueFormatter
Descending bool
Domain int
}
// IsDescending returns if the range is descending.
func (mhr MarketHoursRange) IsDescending() bool {
return mhr.Descending
}
// GetTimezone returns the timezone for the market hours range.
func (mhr MarketHoursRange) GetTimezone() *time.Location {
return mhr.GetMarketOpen().Location()
}
// IsZero returns if the range is setup or not.
func (mhr MarketHoursRange) IsZero() bool {
return mhr.Min.IsZero() && mhr.Max.IsZero()
}
// GetMin returns the min value.
func (mhr MarketHoursRange) GetMin() float64 {
return util.Time.ToFloat64(mhr.Min)
}
// GetMax returns the max value.
func (mhr MarketHoursRange) GetMax() float64 {
return util.Time.ToFloat64(mhr.GetEffectiveMax())
}
// GetEffectiveMax gets either the close on the max, or the max itself.
func (mhr MarketHoursRange) GetEffectiveMax() time.Time {
maxClose := util.Date.On(mhr.MarketClose, mhr.Max)
if maxClose.After(mhr.Max) {
return maxClose
}
return mhr.Max
}
// SetMin sets the min value.
func (mhr *MarketHoursRange) SetMin(min float64) {
mhr.Min = util.Time.FromFloat64(min)
mhr.Min = mhr.Min.In(mhr.GetTimezone())
}
// SetMax sets the max value.
func (mhr *MarketHoursRange) SetMax(max float64) {
mhr.Max = util.Time.FromFloat64(max)
mhr.Max = mhr.Max.In(mhr.GetTimezone())
}
// GetDelta gets the delta.
func (mhr MarketHoursRange) GetDelta() float64 {
min := mhr.GetMin()
max := mhr.GetMax()
return max - min
}
// GetDomain gets the domain.
func (mhr MarketHoursRange) GetDomain() int {
return mhr.Domain
}
// SetDomain sets the domain.
func (mhr *MarketHoursRange) SetDomain(domain int) {
mhr.Domain = domain
}
// GetHolidayProvider coalesces a userprovided holiday provider and the date.DefaultHolidayProvider.
func (mhr MarketHoursRange) GetHolidayProvider() util.HolidayProvider {
if mhr.HolidayProvider == nil {
return func(_ time.Time) bool { return false }
}
return mhr.HolidayProvider
}
// GetMarketOpen returns the market open time.
func (mhr MarketHoursRange) GetMarketOpen() time.Time {
if mhr.MarketOpen.IsZero() {
return util.NYSEOpen()
}
return mhr.MarketOpen
}
// GetMarketClose returns the market close time.
func (mhr MarketHoursRange) GetMarketClose() time.Time {
if mhr.MarketClose.IsZero() {
return util.NYSEClose()
}
return mhr.MarketClose
}
// GetTicks returns the ticks for the range.
// This is to override the default continous ticks that would be generated for the range.
func (mhr *MarketHoursRange) GetTicks(r Renderer, defaults Style, vf ValueFormatter) []Tick {
times := seq.Time.MarketHours(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
timesWidth := mhr.measureTimes(r, defaults, vf, times)
if timesWidth <= mhr.Domain {
return mhr.makeTicks(vf, times)
}
times = seq.Time.MarketHourQuarters(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
timesWidth = mhr.measureTimes(r, defaults, vf, times)
if timesWidth <= mhr.Domain {
return mhr.makeTicks(vf, times)
}
times = seq.Time.MarketDayCloses(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
timesWidth = mhr.measureTimes(r, defaults, vf, times)
if timesWidth <= mhr.Domain {
return mhr.makeTicks(vf, times)
}
times = seq.Time.MarketDayAlternateCloses(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
timesWidth = mhr.measureTimes(r, defaults, vf, times)
if timesWidth <= mhr.Domain {
return mhr.makeTicks(vf, times)
}
times = seq.Time.MarketDayMondayCloses(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
timesWidth = mhr.measureTimes(r, defaults, vf, times)
if timesWidth <= mhr.Domain {
return mhr.makeTicks(vf, times)
}
return GenerateContinuousTicks(r, mhr, false, defaults, vf)
}
func (mhr *MarketHoursRange) measureTimes(r Renderer, defaults Style, vf ValueFormatter, times []time.Time) int {
defaults.GetTextOptions().WriteToRenderer(r)
var total int
for index, t := range times {
timeLabel := vf(t)
labelBox := r.MeasureText(timeLabel)
total += labelBox.Width()
if index > 0 {
total += DefaultMinimumTickHorizontalSpacing
}
}
return total
}
func (mhr *MarketHoursRange) makeTicks(vf ValueFormatter, times []time.Time) []Tick {
ticks := make([]Tick, len(times))
for index, t := range times {
ticks[index] = Tick{
Value: util.Time.ToFloat64(t),
Label: vf(t),
}
}
return ticks
}
func (mhr MarketHoursRange) String() string {
return fmt.Sprintf("MarketHoursRange [%s, %s] => %d", mhr.Min.Format(time.RFC3339), mhr.Max.Format(time.RFC3339), mhr.Domain)
}
// Translate maps a given value into the ContinuousRange space.
func (mhr MarketHoursRange) Translate(value float64) int {
valueTime := util.Time.FromFloat64(value)
valueTimeEastern := valueTime.In(util.Date.Eastern())
totalSeconds := util.Date.CalculateMarketSecondsBetween(mhr.Min, mhr.GetEffectiveMax(), mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.HolidayProvider)
valueDelta := util.Date.CalculateMarketSecondsBetween(mhr.Min, valueTimeEastern, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.HolidayProvider)
translated := int((float64(valueDelta) / float64(totalSeconds)) * float64(mhr.Domain))
if mhr.IsDescending() {
return mhr.Domain - translated
}
return translated
}

View file

@ -1,73 +0,0 @@
package chart
import (
"testing"
"time"
assert "github.com/blend/go-sdk/assert"
"github.com/wcharczuk/go-chart/util"
)
func TestMarketHoursRangeGetDelta(t *testing.T) {
assert := assert.New(t)
r := &MarketHoursRange{
Min: time.Date(2016, 07, 19, 9, 30, 0, 0, util.Date.Eastern()),
Max: time.Date(2016, 07, 22, 16, 00, 0, 0, util.Date.Eastern()),
MarketOpen: util.NYSEOpen(),
MarketClose: util.NYSEClose(),
HolidayProvider: util.Date.IsNYSEHoliday,
}
assert.NotZero(r.GetDelta())
}
func TestMarketHoursRangeTranslate(t *testing.T) {
assert := assert.New(t)
r := &MarketHoursRange{
Min: time.Date(2016, 07, 18, 9, 30, 0, 0, util.Date.Eastern()),
Max: time.Date(2016, 07, 22, 16, 00, 0, 0, util.Date.Eastern()),
MarketOpen: util.NYSEOpen(),
MarketClose: util.NYSEClose(),
HolidayProvider: util.Date.IsNYSEHoliday,
Domain: 1000,
}
weds := time.Date(2016, 07, 20, 9, 30, 0, 0, util.Date.Eastern())
assert.Equal(0, r.Translate(util.Time.ToFloat64(r.Min)))
assert.Equal(400, r.Translate(util.Time.ToFloat64(weds)))
assert.Equal(1000, r.Translate(util.Time.ToFloat64(r.Max)))
}
func TestMarketHoursRangeGetTicks(t *testing.T) {
assert := assert.New(t)
r, err := PNG(1024, 1024)
assert.Nil(err)
f, err := GetDefaultFont()
assert.Nil(err)
defaults := Style{
Font: f,
FontSize: 10,
FontColor: ColorBlack,
}
ra := &MarketHoursRange{
Min: util.Date.On(util.NYSEOpen(), util.Date.Date(2016, 07, 18, util.Date.Eastern())),
Max: util.Date.On(util.NYSEClose(), util.Date.Date(2016, 07, 22, util.Date.Eastern())),
MarketOpen: util.NYSEOpen(),
MarketClose: util.NYSEClose(),
HolidayProvider: util.Date.IsNYSEHoliday,
Domain: 1024,
}
ticks := ra.GetTicks(r, defaults, TimeValueFormatter)
assert.NotEmpty(ticks)
assert.Len(ticks, 5)
assert.NotEqual(util.Time.ToFloat64(ra.Min), ticks[0].Value)
assert.NotEmpty(ticks[0].Label)
}

View file

@ -20,95 +20,6 @@ func (ts timeSequence) Days(days int) []time.Time {
return values 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 { func (ts timeSequence) Hours(start time.Time, totalHours int) []time.Time {
times := make([]time.Time, totalHours) 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. // 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) { func (ts timeSequence) HoursFilled(xdata []time.Time, ydata []float64) ([]time.Time, []float64) {
start := Time.Start(xdata) start, end := util.Time.StartAndEnd(xdata...)
end := Time.End(xdata) totalHours := util.Time.DiffHours(start, end)
totalHours := util.Math.AbsInt(util.Date.DiffHours(start, end))
finalTimes := ts.Hours(start, totalHours+1) finalTimes := ts.Hours(start, totalHours+1)
finalValues := make([]float64, totalHours+1) finalValues := make([]float64, totalHours+1)
var hoursFromStart int var hoursFromStart int
for i, xd := range xdata { for i, xd := range xdata {
hoursFromStart = util.Date.DiffHours(start, xd) hoursFromStart = util.Time.DiffHours(start, xd)
finalValues[hoursFromStart] = ydata[i] finalValues[hoursFromStart] = ydata[i]
} }
return finalTimes, finalValues 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
}

View file

@ -8,40 +8,13 @@ import (
"github.com/wcharczuk/go-chart/util" "github.com/wcharczuk/go-chart/util"
) )
func TestTimeMarketHours(t *testing.T) {
assert := assert.New(t)
today := time.Date(2016, 07, 01, 12, 0, 0, 0, util.Date.Eastern())
mh := Time.MarketHours(today, today, util.NYSEOpen(), util.NYSEClose(), util.Date.IsNYSEHoliday)
assert.Len(mh, 8)
assert.Equal(util.Date.Eastern(), mh[0].Location())
}
func TestTimeMarketHourQuarters(t *testing.T) {
assert := assert.New(t)
today := time.Date(2016, 07, 01, 12, 0, 0, 0, util.Date.Eastern())
mh := Time.MarketHourQuarters(today, today, util.NYSEOpen(), util.NYSEClose(), util.Date.IsNYSEHoliday)
assert.Len(mh, 4)
assert.Equal(9, mh[0].Hour())
assert.Equal(30, mh[0].Minute())
assert.Equal(util.Date.Eastern(), mh[0].Location())
assert.Equal(12, mh[1].Hour())
assert.Equal(00, mh[1].Minute())
assert.Equal(util.Date.Eastern(), mh[1].Location())
assert.Equal(14, mh[2].Hour())
assert.Equal(00, mh[2].Minute())
assert.Equal(util.Date.Eastern(), mh[2].Location())
}
func TestTimeHours(t *testing.T) { func TestTimeHours(t *testing.T) {
assert := assert.New(t) assert := assert.New(t)
today := time.Date(2016, 07, 01, 12, 0, 0, 0, time.UTC) today := time.Date(2016, 07, 01, 12, 0, 0, 0, time.UTC)
seq := Time.Hours(today, 24) seq := Time.Hours(today, 24)
end := Time.End(seq) end := util.Time.End(seq...)
assert.Len(seq, 24) assert.Len(seq, 24)
assert.Equal(2016, end.Year()) assert.Equal(2016, end.Year())
assert.Equal(07, int(end.Month())) assert.Equal(07, int(end.Month()))
@ -73,7 +46,7 @@ func TestSequenceHoursFill(t *testing.T) {
} }
filledTimes, filledValues := Time.HoursFilled(xdata, ydata) filledTimes, filledValues := Time.HoursFilled(xdata, ydata)
expected := util.Date.DiffHours(Time.Start(xdata), Time.End(xdata)) + 1 expected := util.Time.DiffHours(util.Time.Start(xdata...), util.Time.End(xdata...)) + 1
assert.Len(filledTimes, expected) assert.Len(filledTimes, expected)
assert.Equal(len(filledValues), len(filledTimes)) assert.Equal(len(filledValues), len(filledTimes))
@ -94,7 +67,7 @@ func TestTimeStart(t *testing.T) {
time.Now().AddDate(0, 0, -5), time.Now().AddDate(0, 0, -5),
} }
assert.InTimeDelta(Time.Start(times), times[4], time.Millisecond) assert.InTimeDelta(util.Time.Start(times...), times[4], time.Millisecond)
} }
func TestTimeEnd(t *testing.T) { func TestTimeEnd(t *testing.T) {
@ -108,5 +81,5 @@ func TestTimeEnd(t *testing.T) {
time.Now().AddDate(0, 0, -5), time.Now().AddDate(0, 0, -5),
} }
assert.InTimeDelta(Time.End(times), times[2], time.Millisecond) assert.InTimeDelta(util.Time.End(times...), times[2], time.Millisecond)
} }

31
seq/times.go Normal file
View file

@ -0,0 +1,31 @@
package seq
import (
"time"
"github.com/wcharczuk/go-chart/util"
)
// Assert types implement interfaces.
var (
_ Provider = (*Times)(nil)
)
// Times are an array of times.
// It wraps the array with methods that implement `seq.Provider`.
type Times []time.Time
// Array returns the times to an array.
func (t Times) Array() []time.Time {
return []time.Time(t)
}
// Len returns the length of the array.
func (t Times) Len() int {
return len(t)
}
// GetValue returns a value at an index as a time.
func (t Times) GetValue(index int) float64 {
return util.Time.ToFloat64(t[index])
}

View file

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

View file

@ -1,17 +0,0 @@
// +build !windows
package util
import "time"
// Eastern returns the eastern timezone.
func (d date) Eastern() *time.Location {
if _eastern == nil {
_easternLock.Lock()
defer _easternLock.Unlock()
if _eastern == nil {
_eastern, _ = time.LoadLocation("America/New_York")
}
}
return _eastern
}

View file

@ -33,10 +33,10 @@ func TestDateDate(t *testing.T) {
assert.Equal(time.UTC, ts.Location()) assert.Equal(time.UTC, ts.Location())
} }
func TestDateOn(t *testing.T) { func TestDateOnDate(t *testing.T) {
assert := assert.New(t) assert := assert.New(t)
ts := Date.On(Date.Time(5, 4, 3, 2, time.UTC), Date.Date(2016, 6, 7, Date.Eastern())) ts := Date.OnDate(Date.Time(5, 4, 3, 2, time.UTC), Date.Date(2016, 6, 7, Date.MustEastern()))
assert.Equal(2016, ts.Year()) assert.Equal(2016, ts.Year())
assert.Equal(6, ts.Month()) assert.Equal(6, ts.Month())
assert.Equal(7, ts.Day()) assert.Equal(7, ts.Day())
@ -47,9 +47,9 @@ func TestDateOn(t *testing.T) {
assert.Equal(time.UTC, ts.Location()) assert.Equal(time.UTC, ts.Location())
} }
func TestDateNoonOn(t *testing.T) { func TestDateNoonOnDate(t *testing.T) {
assert := assert.New(t) assert := assert.New(t)
noon := Date.NoonOn(time.Date(2016, 04, 03, 02, 01, 0, 0, time.UTC)) noon := Date.NoonOnDate(time.Date(2016, 04, 03, 02, 01, 0, 0, time.UTC))
assert.Equal(2016, noon.Year()) assert.Equal(2016, noon.Year())
assert.Equal(4, noon.Month()) assert.Equal(4, noon.Month())
@ -77,101 +77,16 @@ func TestDateBeforeHandlesTimezones(t *testing.T) {
tuesdayUTC := time.Date(2016, 8, 02, 22, 00, 0, 0, time.UTC) tuesdayUTC := time.Date(2016, 8, 02, 22, 00, 0, 0, time.UTC)
mondayUTC := time.Date(2016, 8, 01, 1, 00, 0, 0, time.UTC) mondayUTC := time.Date(2016, 8, 01, 1, 00, 0, 0, time.UTC)
sundayEST := time.Date(2016, 7, 31, 22, 00, 0, 0, Date.Eastern()) sundayEST := time.Date(2016, 7, 31, 22, 00, 0, 0, Date.MustEastern())
assert.True(Date.Before(sundayEST, tuesdayUTC)) assert.True(Date.Before(sundayEST, tuesdayUTC))
assert.False(Date.Before(sundayEST, mondayUTC)) assert.False(Date.Before(sundayEST, mondayUTC))
} }
func TestNextMarketOpen(t *testing.T) {
assert := assert.New(t)
beforeOpen := time.Date(2016, 07, 18, 9, 0, 0, 0, Date.Eastern())
todayOpen := time.Date(2016, 07, 18, 9, 30, 0, 0, Date.Eastern())
afterOpen := time.Date(2016, 07, 18, 9, 31, 0, 0, Date.Eastern())
tomorrowOpen := time.Date(2016, 07, 19, 9, 30, 0, 0, Date.Eastern())
afterFriday := time.Date(2016, 07, 22, 9, 31, 0, 0, Date.Eastern())
mondayOpen := time.Date(2016, 07, 25, 9, 30, 0, 0, Date.Eastern())
weekend := time.Date(2016, 07, 23, 9, 31, 0, 0, Date.Eastern())
assert.True(todayOpen.Equal(Date.NextMarketOpen(beforeOpen, NYSEOpen(), Date.IsNYSEHoliday)))
assert.True(tomorrowOpen.Equal(Date.NextMarketOpen(afterOpen, NYSEOpen(), Date.IsNYSEHoliday)))
assert.True(mondayOpen.Equal(Date.NextMarketOpen(afterFriday, NYSEOpen(), Date.IsNYSEHoliday)))
assert.True(mondayOpen.Equal(Date.NextMarketOpen(weekend, NYSEOpen(), Date.IsNYSEHoliday)))
assert.Equal(Date.Eastern(), todayOpen.Location())
assert.Equal(Date.Eastern(), tomorrowOpen.Location())
assert.Equal(Date.Eastern(), mondayOpen.Location())
testRegression := time.Date(2016, 07, 18, 16, 0, 0, 0, Date.Eastern())
shouldbe := time.Date(2016, 07, 19, 9, 30, 0, 0, Date.Eastern())
assert.True(shouldbe.Equal(Date.NextMarketOpen(testRegression, NYSEOpen(), Date.IsNYSEHoliday)))
}
func TestNextMarketClose(t *testing.T) {
assert := assert.New(t)
beforeClose := time.Date(2016, 07, 18, 15, 0, 0, 0, Date.Eastern())
todayClose := time.Date(2016, 07, 18, 16, 00, 0, 0, Date.Eastern())
afterClose := time.Date(2016, 07, 18, 16, 1, 0, 0, Date.Eastern())
tomorrowClose := time.Date(2016, 07, 19, 16, 00, 0, 0, Date.Eastern())
afterFriday := time.Date(2016, 07, 22, 16, 1, 0, 0, Date.Eastern())
mondayClose := time.Date(2016, 07, 25, 16, 0, 0, 0, Date.Eastern())
weekend := time.Date(2016, 07, 23, 9, 31, 0, 0, Date.Eastern())
assert.True(todayClose.Equal(Date.NextMarketClose(beforeClose, NYSEClose(), Date.IsNYSEHoliday)))
assert.True(tomorrowClose.Equal(Date.NextMarketClose(afterClose, NYSEClose(), Date.IsNYSEHoliday)))
assert.True(mondayClose.Equal(Date.NextMarketClose(afterFriday, NYSEClose(), Date.IsNYSEHoliday)))
assert.True(mondayClose.Equal(Date.NextMarketClose(weekend, NYSEClose(), Date.IsNYSEHoliday)))
assert.Equal(Date.Eastern(), todayClose.Location())
assert.Equal(Date.Eastern(), tomorrowClose.Location())
assert.Equal(Date.Eastern(), mondayClose.Location())
}
func TestCalculateMarketSecondsBetween(t *testing.T) {
assert := assert.New(t)
start := time.Date(2016, 07, 18, 9, 30, 0, 0, Date.Eastern())
end := time.Date(2016, 07, 22, 16, 00, 0, 0, Date.Eastern())
shouldbe := 5 * 6.5 * 60 * 60
assert.Equal(shouldbe, Date.CalculateMarketSecondsBetween(start, end, NYSEOpen(), NYSEClose(), Date.IsNYSEHoliday))
}
func TestCalculateMarketSecondsBetween1D(t *testing.T) {
assert := assert.New(t)
start := time.Date(2016, 07, 22, 9, 45, 0, 0, Date.Eastern())
end := time.Date(2016, 07, 22, 15, 45, 0, 0, Date.Eastern())
shouldbe := 6 * 60 * 60
assert.Equal(shouldbe, Date.CalculateMarketSecondsBetween(start, end, NYSEOpen(), NYSEClose(), Date.IsNYSEHoliday))
}
func TestCalculateMarketSecondsBetweenLTM(t *testing.T) {
assert := assert.New(t)
start := time.Date(2015, 07, 01, 9, 30, 0, 0, Date.Eastern())
end := time.Date(2016, 07, 01, 9, 30, 0, 0, Date.Eastern())
shouldbe := 253 * 6.5 * 60 * 60 //253 full market days since this date last year.
assert.Equal(shouldbe, Date.CalculateMarketSecondsBetween(start, end, NYSEOpen(), NYSEClose(), Date.IsNYSEHoliday))
}
func TestDateNextHour(t *testing.T) { func TestDateNextHour(t *testing.T) {
assert := assert.New(t) assert := assert.New(t)
start := time.Date(2015, 07, 01, 9, 30, 0, 0, Date.Eastern()) start := time.Date(2015, 07, 01, 9, 30, 0, 0, Date.MustEastern())
next := Date.NextHour(start) next := Date.NextHour(start)
assert.Equal(2015, next.Year()) assert.Equal(2015, next.Year())
assert.Equal(07, next.Month()) assert.Equal(07, next.Month())
@ -221,40 +136,3 @@ func TestDateNextDayOfWeek(t *testing.T) {
assert.Equal(time.UTC, nextSunday.Location()) assert.Equal(time.UTC, nextSunday.Location())
assert.Equal(time.UTC, nextMonday.Location()) assert.Equal(time.UTC, nextMonday.Location())
} }
func TestDateIsNYSEHoliday(t *testing.T) {
assert := assert.New(t)
cursor := time.Date(2013, 01, 01, 0, 0, 0, 0, time.UTC)
end := time.Date(2020, 1, 1, 0, 0, 0, 0, time.UTC)
var holidays int
for Date.Before(cursor, end) {
if Date.IsNYSEHoliday(cursor) {
holidays++
}
cursor = cursor.AddDate(0, 0, 1)
}
assert.Equal(holidays, 55)
}
func TestDateDiffDays(t *testing.T) {
assert := assert.New(t)
t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
t2 := time.Date(2017, 01, 10, 3, 0, 0, 0, time.UTC)
t3 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
assert.Equal(48, Date.DiffDays(t2, t1))
assert.Equal(2, Date.DiffDays(t3, t1)) // technically we should round down.
}
func TestDateDiffHours(t *testing.T) {
assert := assert.New(t)
t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
t2 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
t3 := time.Date(2017, 02, 28, 12, 0, 0, 0, time.UTC)
assert.Equal(68, Date.DiffHours(t2, t1))
assert.Equal(24, Date.DiffHours(t1, t3))
}

View file

@ -1,17 +0,0 @@
// +build windows
package util
import "time"
// Eastern returns the eastern timezone.
func (d date) Eastern() *time.Location {
if _eastern == nil {
_easternLock.Lock()
defer _easternLock.Unlock()
if _eastern == nil {
_eastern, _ = time.LoadLocation("EST")
}
}
return _eastern
}

View file

@ -18,3 +18,77 @@ func (tu timeUtil) ToFloat64(t time.Time) float64 {
func (tu timeUtil) FromFloat64(tf float64) time.Time { func (tu timeUtil) FromFloat64(tf float64) time.Time {
return time.Unix(0, int64(tf)) return time.Unix(0, int64(tf))
} }
func (tu timeUtil) DiffDays(t1, t2 time.Time) (days int) {
t1n := t1.Unix()
t2n := t2.Unix()
var diff int64
if t1n > t2n {
diff = t2n - t1n //yields seconds
} else {
diff = t1n - t2n //yields seconds
}
return int(diff / (_secondsPerDay))
}
func (tu timeUtil) DiffHours(t1, t2 time.Time) (hours int) {
t1n := t1.Unix()
t2n := t2.Unix()
var diff int64
if t1n > t2n {
diff = t1n - t2n
} else {
diff = t2n - t1n
}
return int(diff / (_secondsPerHour))
}
// Start returns the earliest (min) time in a list of times.
func (tu timeUtil) 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 (tu timeUtil) 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
}
// StartAndEnd returns the start and end of a given set of time in one pass.
func (tu timeUtil) StartAndEnd(values ...time.Time) (start time.Time, end time.Time) {
if len(values) == 0 {
return
}
start = values[0]
end = values[0]
for _, v := range values[1:] {
if end.Before(v) {
end = v
}
if start.After(v) {
start = v
}
}
return
}

30
util/time_test.go Normal file
View file

@ -0,0 +1,30 @@
package util
import (
"testing"
"time"
"github.com/blend/go-sdk/assert"
)
func TestTimeDiffDays(t *testing.T) {
assert := assert.New(t)
t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
t2 := time.Date(2017, 01, 10, 3, 0, 0, 0, time.UTC)
t3 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
assert.Equal(48, Time.DiffDays(t2, t1))
assert.Equal(2, Time.DiffDays(t3, t1)) // technically we should round down.
}
func TestTimeDiffHours(t *testing.T) {
assert := assert.New(t)
t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
t2 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
t3 := time.Date(2017, 02, 28, 12, 0, 0, 0, time.UTC)
assert.Equal(68, Time.DiffHours(t2, t1))
assert.Equal(24, Time.DiffHours(t1, t3))
}