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refactors

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This commit is contained in:
Will Charczuk 2016-07-22 22:43:27 -07:00
parent dea8e71d6f
commit 859c573d3d
7 changed files with 129 additions and 73 deletions
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141
date/date.go → date/util.go
View file

@ -50,43 +50,28 @@ var (
_eastern *time.Location
)
// Eastern returns the eastern timezone.
func Eastern() *time.Location {
if _eastern == nil {
_easternLock.Lock()
defer _easternLock.Unlock()
if _eastern == nil {
_eastern, _ = time.LoadLocation("America/New_York")
}
}
return _eastern
}
var (
// NYSEOpen is when the NYSE opens.
NYSEOpen = ClockTime(9, 30, 0, 0, Eastern())
// Optional returns a pointer reference to a given time.
func Optional(t time.Time) *time.Time {
return &t
}
// NYSEClose is when the NYSE closes.
NYSEClose = ClockTime(16, 0, 0, 0, Eastern())
// IsWeekDay returns if the day is a monday->friday.
func IsWeekDay(day time.Weekday) bool {
return !IsWeekendDay(day)
}
// NASDAQOpen is when NASDAQ opens.
NASDAQOpen = ClockTime(9, 30, 0, 0, Eastern())
// IsWeekendDay returns if the day is a monday->friday.
func IsWeekendDay(day time.Weekday) bool {
return day == time.Saturday || day == time.Sunday
}
// NASDAQClose is when NASDAQ closes.
NASDAQClose = ClockTime(16, 0, 0, 0, Eastern())
// BeforeDate returns if a timestamp is strictly before another date (ignoring hours, minutes etc.)
func BeforeDate(before, reference time.Time) bool {
if before.Year() < reference.Year() {
return true
}
if before.Month() < reference.Month() {
return true
}
return before.Year() == reference.Year() && before.Month() == reference.Month() && before.Day() < reference.Day()
}
// NYSEArcaOpen is when NYSEARCA opens.
NYSEArcaOpen = ClockTime(4, 0, 0, 0, Eastern())
// NYSEArcaClose is when NYSEARCA closes.
NYSEArcaClose = ClockTime(20, 0, 0, 0, Eastern())
)
// HolidayChecker is a function that returns if a given time falls on a holiday.
type HolidayChecker func(time.Time) bool
// IsNYSEHoliday returns if a date was/is on a nyse holiday day.
func IsNYSEHoliday(t time.Time) bool {
@ -203,24 +188,62 @@ func IsNYSEHoliday(t time.Time) bool {
return false
}
// Eastern returns the eastern timezone.
func Eastern() *time.Location {
if _eastern == nil {
_easternLock.Lock()
defer _easternLock.Unlock()
if _eastern == nil {
_eastern, _ = time.LoadLocation("America/New_York")
}
}
return _eastern
}
// Optional returns a pointer reference to a given time.
func Optional(t time.Time) *time.Time {
return &t
}
// IsWeekDay returns if the day is a monday->friday.
func IsWeekDay(day time.Weekday) bool {
return !IsWeekendDay(day)
}
// IsWeekendDay returns if the day is a monday->friday.
func IsWeekendDay(day time.Weekday) bool {
return day == time.Saturday || day == time.Sunday
}
// BeforeDate returns if a timestamp is strictly before another date (ignoring hours, minutes etc.)
func BeforeDate(before, reference time.Time) bool {
if before.Year() < reference.Year() {
return true
}
if before.Month() < reference.Month() {
return true
}
return before.Year() == reference.Year() && before.Month() == reference.Month() && before.Day() < reference.Day()
}
// MarketOpen returns 0930 on a given day.
func MarketOpen(on time.Time) time.Time {
func MarketOpen(on, openTime time.Time) time.Time {
onEastern := on.In(Eastern())
return time.Date(onEastern.Year(), onEastern.Month(), onEastern.Day(), 9, 30, 0, 0, Eastern())
return On(openTime, onEastern)
}
// MarketClose returns 1600 on a given day.
func MarketClose(on time.Time) time.Time {
func MarketClose(on, closeTime time.Time) time.Time {
onEastern := on.In(Eastern())
return time.Date(onEastern.Year(), onEastern.Month(), onEastern.Day(), 16, 0, 0, 0, Eastern())
}
// NextMarketOpen returns the next market open after a given time.
func NextMarketOpen(after time.Time) time.Time {
func NextMarketOpen(after, openTime time.Time, isHoliday HolidayChecker) time.Time {
afterEastern := after.In(Eastern())
todaysOpen := MarketOpen(afterEastern)
todaysOpen := MarketOpen(afterEastern, openTime)
if afterEastern.Before(todaysOpen) && IsWeekDay(todaysOpen.Weekday()) && !IsNYSEHoliday(todaysOpen) {
if afterEastern.Before(todaysOpen) && IsWeekDay(todaysOpen.Weekday()) && !isHoliday(todaysOpen) {
return todaysOpen
}
@ -230,19 +253,19 @@ func NextMarketOpen(after time.Time) time.Time {
for cursorDay := 1; cursorDay < 6; cursorDay++ {
newDay := todaysOpen.AddDate(0, 0, cursorDay)
if IsWeekDay(newDay.Weekday()) && !IsNYSEHoliday(afterEastern) {
return time.Date(newDay.Year(), newDay.Month(), newDay.Day(), 9, 30, 0, 0, Eastern())
if IsWeekDay(newDay.Weekday()) && !isHoliday(afterEastern) {
return On(openTime, newDay)
}
}
return Epoch //we should never reach this.
}
// NextMarketClose returns the next market close after a given time.
func NextMarketClose(after time.Time) time.Time {
func NextMarketClose(after, closeTime time.Time, isHoliday HolidayChecker) time.Time {
afterEastern := after.In(Eastern())
todaysClose := MarketClose(afterEastern)
if afterEastern.Before(todaysClose) && IsWeekDay(todaysClose.Weekday()) && !IsNYSEHoliday(todaysClose) {
todaysClose := MarketClose(afterEastern, closeTime)
if afterEastern.Before(todaysClose) && IsWeekDay(todaysClose.Weekday()) && !isHoliday(todaysClose) {
return todaysClose
}
@ -252,36 +275,36 @@ func NextMarketClose(after time.Time) time.Time {
for cursorDay := 1; cursorDay < 6; cursorDay++ {
newDay := todaysClose.AddDate(0, 0, cursorDay)
if IsWeekDay(newDay.Weekday()) && !IsNYSEHoliday(newDay) {
return time.Date(newDay.Year(), newDay.Month(), newDay.Day(), 16, 0, 0, 0, Eastern())
if IsWeekDay(newDay.Weekday()) && !isHoliday(newDay) {
return On(closeTime, newDay)
}
}
return Epoch //we should never reach this.
}
// CalculateMarketSecondsBetween calculates the number of seconds the market was open between two dates.
func CalculateMarketSecondsBetween(start, end time.Time) (seconds int64) {
func CalculateMarketSecondsBetween(start, end, marketOpen, marketClose time.Time, isHoliday HolidayChecker) (seconds int64) {
se := start.In(Eastern())
ee := end.In(Eastern())
startMarketOpen := NextMarketOpen(se)
startMarketClose := NextMarketClose(se)
startMarketOpen := NextMarketOpen(se, marketOpen, isHoliday)
startMarketClose := NextMarketClose(se, marketClose, isHoliday)
if (se.Equal(startMarketOpen) || se.After(startMarketOpen)) && se.Before(startMarketClose) {
seconds += int64(startMarketClose.Sub(se) / time.Second)
}
cursor := NextMarketOpen(startMarketClose)
cursor := NextMarketOpen(startMarketClose, marketClose, isHoliday)
for BeforeDate(cursor, ee) {
if IsWeekDay(cursor.Weekday()) && !IsNYSEHoliday(cursor) {
close := NextMarketClose(cursor)
if IsWeekDay(cursor.Weekday()) && !isHoliday(cursor) {
close := NextMarketClose(cursor, marketClose, isHoliday)
seconds += int64(close.Sub(cursor) / time.Second)
}
cursor = cursor.AddDate(0, 0, 1)
}
finalMarketOpen := NextMarketOpen(cursor)
finalMarketClose := NextMarketClose(cursor)
finalMarketOpen := NextMarketOpen(cursor, marketOpen, isHoliday)
finalMarketClose := NextMarketClose(cursor, marketClose, isHoliday)
if end.After(finalMarketOpen) {
if end.Before(finalMarketClose) {
seconds += int64(end.Sub(finalMarketOpen) / time.Second)
@ -293,6 +316,16 @@ func CalculateMarketSecondsBetween(start, end time.Time) (seconds int64) {
return
}
// ClockTime returns a new time.Time for the given clock components.
func ClockTime(hour, min, sec, nsec int, loc *time.Location) time.Time {
return time.Date(0, 0, 0, hour, min, sec, nsec, loc)
}
// On returns the clock components of clock (hour,minute,second) on the date components of d.
func On(clock, d time.Time) time.Time {
return time.Date(d.Year(), d.Month(), d.Day(), clock.Hour(), clock.Minute(), clock.Second(), clock.Nanosecond(), clock.Location())
}
// Format returns a string representation of a date.
func format(t time.Time) string {
return t.Format("2006-01-02")

0
date/date_test.go → date/util_test.go
View file