can fill values now
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parent
9a9af15fd4
commit
114738a2de
6 changed files with 179 additions and 5 deletions
44
date.go
44
date.go
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@ -345,14 +345,22 @@ func (d date) CalculateMarketSecondsBetween(start, end, marketOpen, marketClose
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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) Diff(t1, t2 time.Time) (days int64) {
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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 := t1n - t2n
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return diff / (_secondsPerDay)
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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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@ -386,3 +394,33 @@ func (d date) NextDayOfWeek(after time.Time, dayOfWeek time.Weekday) time.Time {
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dayDelta := 7 - int(afterWeekday-dayOfWeek)
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return after.AddDate(0, 0, dayDelta)
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}
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// Start returns the earliest (min) time in a list of times.
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func (d date) Start(times []time.Time) time.Time {
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if len(times) == 0 {
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return time.Time{}
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}
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start := times[0]
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for _, t := range times[1:] {
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if t.Before(start) {
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start = t
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}
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}
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return start
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}
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// Start returns the earliest (min) time in a list of times.
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func (d date) End(times []time.Time) time.Time {
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if len(times) == 0 {
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return time.Time{}
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}
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end := times[0]
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for _, t := range times[1:] {
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if t.After(end) {
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end = t
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}
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}
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return end
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}
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50
date_test.go
50
date_test.go
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@ -236,3 +236,53 @@ func TestDateIsNYSEHoliday(t *testing.T) {
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}
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assert.Equal(holidays, 55)
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}
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func TestTimeStart(t *testing.T) {
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assert := assert.New(t)
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times := []time.Time{
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time.Now().AddDate(0, 0, -4),
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time.Now().AddDate(0, 0, -2),
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time.Now().AddDate(0, 0, -1),
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time.Now().AddDate(0, 0, -3),
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time.Now().AddDate(0, 0, -5),
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}
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assert.InTimeDelta(Date.Start(times), times[4], time.Millisecond)
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}
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func TestTimeEnd(t *testing.T) {
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assert := assert.New(t)
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times := []time.Time{
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time.Now().AddDate(0, 0, -4),
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time.Now().AddDate(0, 0, -2),
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time.Now().AddDate(0, 0, -1),
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time.Now().AddDate(0, 0, -3),
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time.Now().AddDate(0, 0, -5),
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}
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assert.InTimeDelta(Date.End(times), times[2], time.Millisecond)
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}
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func TestDateDiffDays(t *testing.T) {
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assert := assert.New(t)
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t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
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t2 := time.Date(2017, 01, 10, 3, 0, 0, 0, time.UTC)
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t3 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
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assert.Equal(48, Date.DiffDays(t2, t1))
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assert.Equal(2, Date.DiffDays(t3, t1)) // technically we should round down.
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}
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func TestDateDiffHours(t *testing.T) {
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assert := assert.New(t)
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t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
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t2 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
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t3 := time.Date(2017, 02, 28, 12, 0, 0, 0, time.UTC)
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assert.Equal(68, Date.DiffHours(t2, t1))
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assert.Equal(24, Date.DiffHours(t1, t3))
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}
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@ -148,6 +148,14 @@ func (m mathUtil) AbsInt(value int) int {
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return value
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}
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// AbsInt64 returns the absolute value of a long.
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func (m mathUtil) AbsInt64(value int64) int64 {
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if value < 0 {
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return -value
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}
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return value
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}
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// Mean returns the mean of a set of values
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func (m mathUtil) Mean(values ...float64) float64 {
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return m.Sum(values...) / float64(len(values))
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31
sequence.go
31
sequence.go
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@ -155,3 +155,34 @@ func (s sequence) MarketDayMondayCloses(from, to time.Time, marketOpen, marketCl
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}
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return times
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}
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func (s sequence) Hours(start time.Time, totalHours int) []time.Time {
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times := make([]time.Time, totalHours)
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last := start
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for i := 0; i < totalHours; i++ {
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times[i] = last
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last = last.Add(time.Hour)
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}
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return times
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}
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// HoursFill adds zero values for the data bounded by the start and end of the xdata array.
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func (s sequence) HoursFill(xdata []time.Time, ydata []float64) ([]time.Time, []float64) {
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start := Date.Start(xdata)
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end := Date.End(xdata)
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totalHours := Math.AbsInt(Date.DiffHours(start, end))
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finalTimes := s.Hours(start, totalHours+1)
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finalValues := make([]float64, totalHours+1)
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var hoursFromStart int
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for i, xd := range xdata {
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hoursFromStart = Date.DiffHours(start, xd)
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finalValues[hoursFromStart] = ydata[i]
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}
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return finalTimes, finalValues
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}
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@ -43,3 +43,50 @@ func TestSequenceMarketQuarters(t *testing.T) {
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assert.Equal(00, mh[2].Minute())
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assert.Equal(Date.Eastern(), mh[2].Location())
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}
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func TestSequenceHours(t *testing.T) {
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assert := assert.New(t)
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today := time.Date(2016, 07, 01, 12, 0, 0, 0, time.UTC)
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seq := Sequence.Hours(today, 24)
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end := Date.End(seq)
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assert.Len(seq, 24)
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assert.Equal(2016, end.Year())
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assert.Equal(07, int(end.Month()))
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assert.Equal(02, end.Day())
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assert.Equal(11, end.Hour())
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}
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func TestSequenceHoursFill(t *testing.T) {
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assert := assert.New(t)
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xdata := []time.Time{
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time.Date(2016, 07, 01, 12, 0, 0, 0, time.UTC),
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time.Date(2016, 07, 01, 13, 0, 0, 0, time.UTC),
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time.Date(2016, 07, 01, 14, 0, 0, 0, time.UTC),
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time.Date(2016, 07, 02, 4, 0, 0, 0, time.UTC),
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time.Date(2016, 07, 02, 5, 0, 0, 0, time.UTC),
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time.Date(2016, 07, 03, 12, 0, 0, 0, time.UTC),
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time.Date(2016, 07, 03, 14, 0, 0, 0, time.UTC),
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}
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ydata := []float64{
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1.1,
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1.2,
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1.4,
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0.8,
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2.1,
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0.4,
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0.6,
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}
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filledTimes, filledValues := Sequence.HoursFill(xdata, ydata)
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assert.Len(filledTimes, Date.DiffHours(Date.Start(xdata), Date.End(xdata))+1)
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assert.Equal(len(filledValues), len(filledTimes))
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assert.NotZero(filledValues[0])
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assert.NotZero(filledValues[len(filledValues)-1])
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assert.NotZero(filledValues[16])
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}
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