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market hours tweaks.

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This commit is contained in:
Will Charczuk 2016-08-01 00:50:32 -07:00
parent c3a066aecd
commit b1cd8bd2e3
8 changed files with 253 additions and 39 deletions
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64
date.go
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@ -52,22 +52,22 @@ var (
var (
// NYSEOpen is when the NYSE opens.
NYSEOpen = Date.ClockTime(9, 30, 0, 0, Date.Eastern())
NYSEOpen = Date.Time(9, 30, 0, 0, Date.Eastern())
// NYSEClose is when the NYSE closes.
NYSEClose = Date.ClockTime(16, 0, 0, 0, Date.Eastern())
NYSEClose = Date.Time(16, 0, 0, 0, Date.Eastern())
// NASDAQOpen is when NASDAQ opens.
NASDAQOpen = Date.ClockTime(9, 30, 0, 0, Date.Eastern())
NASDAQOpen = Date.Time(9, 30, 0, 0, Date.Eastern())
// NASDAQClose is when NASDAQ closes.
NASDAQClose = Date.ClockTime(16, 0, 0, 0, Date.Eastern())
NASDAQClose = Date.Time(16, 0, 0, 0, Date.Eastern())
// NYSEArcaOpen is when NYSEARCA opens.
NYSEArcaOpen = Date.ClockTime(4, 0, 0, 0, Date.Eastern())
NYSEArcaOpen = Date.Time(4, 0, 0, 0, Date.Eastern())
// NYSEArcaClose is when NYSEARCA closes.
NYSEArcaClose = Date.ClockTime(20, 0, 0, 0, Date.Eastern())
NYSEArcaClose = Date.Time(20, 0, 0, 0, Date.Eastern())
)
// HolidayProvider is a function that returns if a given time falls on a holiday.
@ -220,17 +220,22 @@ func (d date) Eastern() *time.Location {
return _eastern
}
// ClockTime returns a new time.Time for the given clock components.
func (d date) ClockTime(hour, min, sec, nsec int, loc *time.Location) time.Time {
// Time returns a new time.Time for the given clock components.
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)
}
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)
}
// On 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 {
return time.Date(cd.Year(), cd.Month(), cd.Day(), clock.Hour(), clock.Minute(), clock.Second(), clock.Nanosecond(), clock.Location())
tzAdjusted := cd.In(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(ClockTime(12,0,0), cd) a.k.a. noon on a given date.
// NoonOn 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 {
return time.Date(cd.Year(), cd.Month(), cd.Day(), 12, 0, 0, 0, cd.Location())
}
@ -252,19 +257,20 @@ func (d date) IsWeekendDay(day time.Weekday) bool {
// Before returns if a timestamp is strictly before another date (ignoring hours, minutes etc.)
func (d date) Before(before, reference time.Time) bool {
if before.Year() < reference.Year() {
tzAdjustedBefore := before.In(reference.Location())
if tzAdjustedBefore.Year() < reference.Year() {
return true
}
if before.Month() < reference.Month() {
if tzAdjustedBefore.Month() < reference.Month() {
return true
}
return before.Year() == reference.Year() && before.Month() == reference.Month() && before.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 {
afterEastern := after.In(d.Eastern())
todaysOpen := d.On(openTime, afterEastern)
afterLocalized := after.In(openTime.Location())
todaysOpen := d.On(openTime, afterLocalized)
if isHoliday == nil {
isHoliday = defaultHolidayProvider
@ -272,7 +278,7 @@ func (d date) NextMarketOpen(after, openTime time.Time, isHoliday HolidayProvide
todayIsValidTradingDay := d.IsWeekDay(todaysOpen.Weekday()) && !isHoliday(todaysOpen)
if (afterEastern.Equal(todaysOpen) || afterEastern.Before(todaysOpen)) && todayIsValidTradingDay {
if (afterLocalized.Equal(todaysOpen) || afterLocalized.Before(todaysOpen)) && todayIsValidTradingDay {
return todaysOpen
}
@ -288,18 +294,18 @@ func (d date) NextMarketOpen(after, openTime time.Time, isHoliday HolidayProvide
// NextMarketClose returns the next market close after a given time.
func (d date) NextMarketClose(after, closeTime time.Time, isHoliday HolidayProvider) time.Time {
afterEastern := after.In(d.Eastern())
afterLocalized := after.In(closeTime.Location())
if isHoliday == nil {
isHoliday = defaultHolidayProvider
}
todaysClose := d.On(closeTime, afterEastern)
if afterEastern.Before(todaysClose) && d.IsWeekDay(todaysClose.Weekday()) && !isHoliday(todaysClose) {
todaysClose := d.On(closeTime, afterLocalized)
if afterLocalized.Before(todaysClose) && d.IsWeekDay(todaysClose.Weekday()) && !isHoliday(todaysClose) {
return todaysClose
}
if afterEastern.Equal(todaysClose) { //rare but it might happen.
if afterLocalized.Equal(todaysClose) { //rare but it might happen.
return todaysClose
}
@ -376,3 +382,21 @@ func (d date) NextHour(ts time.Time) time.Time {
final := advanced.Add(-minutes)
return time.Date(final.Year(), final.Month(), final.Day(), final.Hour(), 0, 0, 0, final.Location())
}
// NextDayOfWeek returns the next instance of a given weekday after a given timestamp.
func (d date) NextDayOfWeek(after time.Time, dayOfWeek time.Weekday) time.Time {
afterWeekday := after.Weekday()
if afterWeekday == dayOfWeek {
return after.AddDate(0, 0, 7)
}
// 1 vs 5 ~ add 4 days
if afterWeekday < dayOfWeek {
dayDelta := int(dayOfWeek - afterWeekday)
return after.AddDate(0, 0, dayDelta)
}
// 5 vs 1, add 7-(5-1) ~ 3 days
dayDelta := 7 - int(afterWeekday-dayOfWeek)
return after.AddDate(0, 0, dayDelta)
}