date, nyse market hours range.
This commit is contained in:
Will Charczuk
parent
c2f7c99c3f
commit
c4066176cf
4 changed files with 462 additions and 0 deletions
305
date/date.go
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305
date/date.go
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package date
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import (
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"sync"
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"time"
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)
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const (
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// AllDaysMask is a bitmask of all the days of the week.
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AllDaysMask = 1<<uint(time.Sunday) | 1<<uint(time.Monday) | 1<<uint(time.Tuesday) | 1<<uint(time.Wednesday) | 1<<uint(time.Thursday) | 1<<uint(time.Friday) | 1<<uint(time.Saturday)
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// WeekDaysMask is a bitmask of all the weekdays of the week.
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WeekDaysMask = 1<<uint(time.Monday) | 1<<uint(time.Tuesday) | 1<<uint(time.Wednesday) | 1<<uint(time.Thursday) | 1<<uint(time.Friday)
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//WeekendDaysMask is a bitmask of the weekend days of the week.
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WeekendDaysMask = 1<<uint(time.Sunday) | 1<<uint(time.Saturday)
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)
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var (
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// DaysOfWeek are all the time.Weekday in an array for utility purposes.
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DaysOfWeek = []time.Weekday{
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time.Sunday,
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time.Monday,
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time.Tuesday,
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time.Wednesday,
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time.Thursday,
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time.Friday,
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time.Saturday,
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}
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// WeekDays are the business time.Weekday in an array.
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WeekDays = []time.Weekday{
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time.Monday,
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time.Tuesday,
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time.Wednesday,
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time.Thursday,
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time.Friday,
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}
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// WeekendDays are the weekend time.Weekday in an array.
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WeekendDays = []time.Weekday{
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time.Sunday,
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time.Saturday,
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}
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//Epoch is unix epoc saved for utility purposes.
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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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// Eastern returns the eastern timezone.
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func Eastern() *time.Location {
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if _eastern == nil {
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_easternLock.Lock()
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defer _easternLock.Unlock()
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if _eastern == nil {
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_eastern, _ = time.LoadLocation("America/New_York")
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}
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}
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return _eastern
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}
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// Optional returns a pointer reference to a given time.
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func 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 IsWeekDay(day time.Weekday) bool {
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return !IsWeekendDay(day)
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}
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// IsWeekendDay returns if the day is a monday->friday.
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func IsWeekendDay(day time.Weekday) bool {
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return day == time.Saturday || day == time.Sunday
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}
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// BeforeDate returns if a timestamp is strictly before another date (ignoring hours, minutes etc.)
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func BeforeDate(before, reference time.Time) bool {
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if before.Year() < reference.Year() {
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return true
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}
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if before.Month() < reference.Month() {
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return true
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}
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return before.Year() == reference.Year() && before.Month() == reference.Month() && before.Day() < reference.Day()
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}
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// IsNYSEHoliday returns if a date was/is on a nyse holiday day.
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func IsNYSEHoliday(t time.Time) bool {
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te := t.In(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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}
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}
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return false
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}
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// MarketOpen returns 0930 on a given day.
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func MarketOpen(on time.Time) time.Time {
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onEastern := on.In(Eastern())
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return time.Date(onEastern.Year(), onEastern.Month(), onEastern.Day(), 9, 30, 0, 0, Eastern())
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}
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// MarketClose returns 1600 on a given day.
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func MarketClose(on time.Time) time.Time {
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onEastern := on.In(Eastern())
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return time.Date(onEastern.Year(), onEastern.Month(), onEastern.Day(), 16, 0, 0, 0, Eastern())
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}
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// NextMarketOpen returns the next market open after a given time.
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func NextMarketOpen(after time.Time) time.Time {
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afterEastern := after.In(Eastern())
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todaysOpen := MarketOpen(afterEastern)
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if afterEastern.Before(todaysOpen) && IsWeekDay(todaysOpen.Weekday()) && !IsNYSEHoliday(todaysOpen) {
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return todaysOpen
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}
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if afterEastern.Equal(todaysOpen) { //rare but it might happen.
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return todaysOpen
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}
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for cursorDay := 1; cursorDay < 6; cursorDay++ {
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newDay := todaysOpen.AddDate(0, 0, cursorDay)
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if IsWeekDay(newDay.Weekday()) && !IsNYSEHoliday(afterEastern) {
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return time.Date(newDay.Year(), newDay.Month(), newDay.Day(), 9, 30, 0, 0, Eastern())
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}
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}
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return Epoch //we should never reach this.
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}
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// NextMarketClose returns the next market close after a given time.
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func NextMarketClose(after time.Time) time.Time {
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afterEastern := after.In(Eastern())
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todaysClose := MarketClose(afterEastern)
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if afterEastern.Before(todaysClose) && IsWeekDay(todaysClose.Weekday()) && !IsNYSEHoliday(todaysClose) {
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return todaysClose
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}
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if afterEastern.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 IsWeekDay(newDay.Weekday()) && !IsNYSEHoliday(newDay) {
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return time.Date(newDay.Year(), newDay.Month(), newDay.Day(), 16, 0, 0, 0, Eastern())
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}
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}
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return Epoch //we should never reach this.
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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 CalculateMarketSecondsBetween(start, end time.Time) (seconds int64) {
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se := start.In(Eastern())
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ee := end.In(Eastern())
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startMarketOpen := NextMarketOpen(se)
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startMarketClose := NextMarketClose(se)
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if (se.Equal(startMarketOpen) || se.After(startMarketOpen)) && se.Before(startMarketClose) {
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seconds += int64(startMarketClose.Sub(se) / time.Second)
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}
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cursor := NextMarketOpen(startMarketClose)
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for BeforeDate(cursor, ee) {
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if IsWeekDay(cursor.Weekday()) && !IsNYSEHoliday(cursor) {
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close := NextMarketClose(cursor)
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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 := NextMarketOpen(cursor)
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finalMarketClose := NextMarketClose(cursor)
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if end.After(finalMarketOpen) {
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if end.Before(finalMarketClose) {
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seconds += int64(end.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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// Format returns a string representation of a date.
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func format(t time.Time) string {
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return t.Format("2006-01-02")
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}
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// Parse parses a date from a string.
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func parse(str string) time.Time {
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res, _ := time.Parse("2006-01-02", str)
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return res
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}
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87
date/date_test.go
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87
date/date_test.go
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package date
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import (
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"testing"
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"time"
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assert "github.com/blendlabs/go-assert"
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)
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func TestBeforeDate(t *testing.T) {
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assert := assert.New(t)
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assert.True(BeforeDate(parse("2015-07-02"), parse("2016-07-01")))
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assert.True(BeforeDate(parse("2016-06-01"), parse("2016-07-01")))
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assert.True(BeforeDate(parse("2016-07-01"), parse("2016-07-02")))
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assert.False(BeforeDate(parse("2016-07-01"), parse("2016-07-01")))
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assert.False(BeforeDate(parse("2016-07-03"), parse("2016-07-01")))
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assert.False(BeforeDate(parse("2016-08-03"), parse("2016-07-01")))
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assert.False(BeforeDate(parse("2017-08-03"), parse("2016-07-01")))
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}
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func TestNextMarketOpen(t *testing.T) {
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assert := assert.New(t)
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beforeOpen := time.Date(2016, 07, 18, 9, 0, 0, 0, Eastern())
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todayOpen := time.Date(2016, 07, 18, 9, 30, 0, 0, Eastern())
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afterOpen := time.Date(2016, 07, 18, 9, 31, 0, 0, Eastern())
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tomorrowOpen := time.Date(2016, 07, 19, 9, 30, 0, 0, Eastern())
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afterFriday := time.Date(2016, 07, 22, 9, 31, 0, 0, Eastern())
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mondayOpen := time.Date(2016, 07, 25, 9, 30, 0, 0, Eastern())
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weekend := time.Date(2016, 07, 23, 9, 31, 0, 0, Eastern())
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assert.True(todayOpen.Equal(NextMarketOpen(beforeOpen)))
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assert.True(tomorrowOpen.Equal(NextMarketOpen(afterOpen)))
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assert.True(mondayOpen.Equal(NextMarketOpen(afterFriday)))
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assert.True(mondayOpen.Equal(NextMarketOpen(weekend)))
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testRegression := time.Date(2016, 07, 18, 16, 0, 0, 0, Eastern())
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shouldbe := time.Date(2016, 07, 19, 9, 30, 0, 0, Eastern())
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assert.True(shouldbe.Equal(NextMarketOpen(testRegression)))
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}
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func TestNextMarketClose(t *testing.T) {
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assert := assert.New(t)
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beforeClose := time.Date(2016, 07, 18, 15, 0, 0, 0, Eastern())
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todayClose := time.Date(2016, 07, 18, 16, 00, 0, 0, Eastern())
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afterClose := time.Date(2016, 07, 18, 16, 1, 0, 0, Eastern())
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tomorrowClose := time.Date(2016, 07, 19, 16, 00, 0, 0, Eastern())
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afterFriday := time.Date(2016, 07, 22, 16, 1, 0, 0, Eastern())
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mondayClose := time.Date(2016, 07, 25, 16, 0, 0, 0, Eastern())
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weekend := time.Date(2016, 07, 23, 9, 31, 0, 0, Eastern())
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assert.True(todayClose.Equal(NextMarketClose(beforeClose)))
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assert.True(tomorrowClose.Equal(NextMarketClose(afterClose)))
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assert.True(mondayClose.Equal(NextMarketClose(afterFriday)))
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assert.True(mondayClose.Equal(NextMarketClose(weekend)))
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}
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func TestCalculateMarketSecondsBetween(t *testing.T) {
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assert := assert.New(t)
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start := time.Date(2016, 07, 18, 9, 30, 0, 0, Eastern())
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end := time.Date(2016, 07, 22, 16, 00, 0, 0, Eastern())
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shouldbe := 5 * 6.5 * 60 * 60
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assert.Equal(shouldbe, CalculateMarketSecondsBetween(start, end))
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}
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func TestCalculateMarketSecondsBetweenLTM(t *testing.T) {
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assert := assert.New(t)
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start := time.Date(2015, 07, 01, 9, 30, 0, 0, Eastern())
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end := time.Date(2016, 07, 01, 9, 30, 0, 0, Eastern())
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shouldbe := 253 * 6.5 * 60 * 60 //253 full market days since this date last year.
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assert.Equal(shouldbe, CalculateMarketSecondsBetween(start, end))
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}
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65
nyse_market_hours_range.go
Normal file
65
nyse_market_hours_range.go
Normal file
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package chart
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import (
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"fmt"
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"time"
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"github.com/wcharczuk/go-chart/date"
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)
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// NYSEMarketHoursRange is a special type of range that compresses a time range into just the
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// market (i.e. NYSE operating hours and days) range.
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type NYSEMarketHoursRange struct {
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Min time.Time
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Max time.Time
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Domain int
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}
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// GetMin returns the min value.
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func (mhr NYSEMarketHoursRange) GetMin() float64 {
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return TimeToFloat64(mhr.Min)
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}
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// GetMax returns the max value.
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func (mhr NYSEMarketHoursRange) GetMax() float64 {
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return TimeToFloat64(mhr.Max)
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}
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// SetMin sets the min value.
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func (mhr *NYSEMarketHoursRange) SetMin(min float64) {
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mhr.Min = Float64ToTime(min)
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}
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// SetMax sets the max value.
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func (mhr *NYSEMarketHoursRange) SetMax(max float64) {
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mhr.Max = Float64ToTime(max)
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}
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// GetDelta gets the delta.
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func (mhr NYSEMarketHoursRange) GetDelta() float64 {
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min := TimeToFloat64(mhr.Min)
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max := TimeToFloat64(mhr.Min)
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return max - min
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}
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// GetDomain gets the domain.
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func (mhr NYSEMarketHoursRange) GetDomain() int {
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return mhr.Domain
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}
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// SetDomain sets the domain.
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func (mhr *NYSEMarketHoursRange) SetDomain(domain int) {
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mhr.Domain = domain
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}
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func (mhr NYSEMarketHoursRange) String() string {
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return fmt.Sprintf("MarketHoursRange [%s, %s] => %d", mhr.Min.Format(DefaultDateFormat), mhr.Max.Format(DefaultDateFormat), mhr.Domain)
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}
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// Translate maps a given value into the ContinuousRange space.
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func (mhr NYSEMarketHoursRange) Translate(value float64) int {
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valueTime := Float64ToTime(value)
|
||||
deltaSeconds := date.CalculateMarketSecondsBetween(mhr.Min, mhr.Max)
|
||||
valueDelta := date.CalculateMarketSecondsBetween(mhr.Min, valueTime)
|
||||
return int(float64(valueDelta) / float64(deltaSeconds))
|
||||
}
|
||||
5
util.go
5
util.go
|
|
@ -20,6 +20,11 @@ func TimeToFloat64(t time.Time) float64 {
|
|||
return float64(t.UnixNano())
|
||||
}
|
||||
|
||||
// Float64ToTime returns a time from a float64.
|
||||
func Float64ToTime(tf float64) time.Time {
|
||||
return time.Unix(0, int64(tf))
|
||||
}
|
||||
|
||||
// MinAndMax returns both the min and max in one pass.
|
||||
func MinAndMax(values ...float64) (min float64, max float64) {
|
||||
if len(values) == 0 {
|
||||
|
|
|
|||
Loading…
Reference in a new issue