refactoring things a bit.
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parent
859c573d3d
commit
fd2bfe14f0
4 changed files with 62 additions and 55 deletions
36
date/util.go
36
date/util.go
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@ -70,8 +70,8 @@ var (
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NYSEArcaClose = ClockTime(20, 0, 0, 0, Eastern())
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)
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// HolidayChecker is a function that returns if a given time falls on a holiday.
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type HolidayChecker func(time.Time) bool
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// HolidayProvider is a function that returns if a given time falls on a holiday.
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type HolidayProvider func(time.Time) bool
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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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@ -188,6 +188,16 @@ func IsNYSEHoliday(t time.Time) bool {
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return false
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}
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// IsNYSEArcaHoliday returns that returns if a given time falls on a holiday.
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func IsNYSEArcaHoliday(t time.Time) bool {
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return IsNYSEHoliday(t)
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}
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// IsNASDAQHoliday returns if a date was a NASDAQ holiday day.
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func IsNASDAQHoliday(t time.Time) bool {
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return IsNYSEHoliday(t)
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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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@ -226,22 +236,10 @@ func BeforeDate(before, reference time.Time) bool {
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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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// MarketOpen returns 0930 on a given day.
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func MarketOpen(on, openTime time.Time) time.Time {
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onEastern := on.In(Eastern())
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return On(openTime, onEastern)
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}
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// MarketClose returns 1600 on a given day.
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func MarketClose(on, closeTime 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, openTime time.Time, isHoliday HolidayChecker) time.Time {
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func NextMarketOpen(after, openTime time.Time, isHoliday HolidayProvider) time.Time {
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afterEastern := after.In(Eastern())
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todaysOpen := MarketOpen(afterEastern, openTime)
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todaysOpen := On(openTime, afterEastern)
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if afterEastern.Before(todaysOpen) && IsWeekDay(todaysOpen.Weekday()) && !isHoliday(todaysOpen) {
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return todaysOpen
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@ -261,10 +259,10 @@ func NextMarketOpen(after, openTime time.Time, isHoliday HolidayChecker) time.Ti
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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, closeTime time.Time, isHoliday HolidayChecker) time.Time {
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func NextMarketClose(after, closeTime time.Time, isHoliday HolidayProvider) time.Time {
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afterEastern := after.In(Eastern())
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todaysClose := MarketClose(afterEastern, closeTime)
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todaysClose := On(closeTime, afterEastern)
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if afterEastern.Before(todaysClose) && IsWeekDay(todaysClose.Weekday()) && !isHoliday(todaysClose) {
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return todaysClose
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}
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@ -283,7 +281,7 @@ func NextMarketClose(after, closeTime time.Time, isHoliday HolidayChecker) time.
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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, marketOpen, marketClose time.Time, isHoliday HolidayChecker) (seconds int64) {
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func CalculateMarketSecondsBetween(start, end, marketOpen, marketClose time.Time, isHoliday HolidayProvider) (seconds int64) {
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se := start.In(Eastern())
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ee := end.In(Eastern())
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@ -7,65 +7,71 @@ import (
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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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// MarketHoursRange 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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type MarketHoursRange struct {
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Min time.Time
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Max time.Time
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MarketOpen time.Time
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MarketClose time.Time
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HolidayProvider date.HolidayProvider
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Domain int
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}
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// IsZero returns if the range is setup or not.
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func (mhr NYSEMarketHoursRange) IsZero() bool {
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func (mhr MarketHoursRange) IsZero() bool {
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return mhr.Min.IsZero() && mhr.Max.IsZero()
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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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func (mhr MarketHoursRange) 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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func (mhr MarketHoursRange) 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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func (mhr *MarketHoursRange) 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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func (mhr *MarketHoursRange) 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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func (mhr MarketHoursRange) GetDelta() float64 {
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min := TimeToFloat64(mhr.Min)
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max := TimeToFloat64(mhr.Max)
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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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func (mhr MarketHoursRange) 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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func (mhr *MarketHoursRange) 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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func (mhr MarketHoursRange) 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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func (mhr MarketHoursRange) Translate(value float64) int {
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valueTime := Float64ToTime(value)
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deltaSeconds := date.CalculateMarketSecondsBetween(mhr.Min, mhr.Max)
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valueDelta := date.CalculateMarketSecondsBetween(mhr.Min, valueTime)
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deltaSeconds := date.CalculateMarketSecondsBetween(mhr.Min, mhr.Max, mhr.MarketOpen, mhr.MarketClose, mhr.HolidayProvider)
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valueDelta := date.CalculateMarketSecondsBetween(mhr.Min, valueTime, mhr.MarketOpen, mhr.MarketClose, mhr.HolidayProvider)
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translated := int((float64(valueDelta) / float64(deltaSeconds)) * float64(mhr.Domain))
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fmt.Printf("nyse translating: %s to %d ~= %d", valueTime.Format(time.RFC3339), deltaSeconds, valueDelta)
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23
market_hours_range_test.go
Normal file
23
market_hours_range_test.go
Normal file
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@ -0,0 +1,23 @@
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package chart
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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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"github.com/wcharczuk/go-chart/date"
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)
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func TestMarketHoursRangeGetDelta(t *testing.T) {
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assert := assert.New(t)
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r := &MarketHoursRange{
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Min: time.Date(2016, 07, 19, 9, 30, 0, 0, date.Eastern()),
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Max: time.Date(2016, 07, 22, 16, 00, 0, 0, date.Eastern()),
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MarketOpen: date.NYSEOpen,
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MarketClose: date.NYSEClose,
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HolidayProvider: date.IsNYSEHoliday,
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}
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assert.NotZero(r.GetDelta())
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}
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@ -1,20 +0,0 @@
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package chart
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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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"github.com/wcharczuk/go-chart/date"
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)
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func TestNYSEMarketHoursDelta(t *testing.T) {
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assert := assert.New(t)
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r := &NYSEMarketHoursRange{
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Min: time.Date(2016, 07, 19, 9, 30, 0, 0, date.Eastern()),
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Max: time.Date(2016, 07, 22, 16, 00, 0, 0, date.Eastern()),
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}
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assert.NotZero(r.GetDelta())
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}
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