refactoring things a bit.

This commit is contained in:
Will Charczuk 2016-07-23 11:50:30 -07:00
parent 859c573d3d
commit fd2bfe14f0
4 changed files with 62 additions and 55 deletions

View file

@ -70,8 +70,8 @@ var (
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
// HolidayProvider is a function that returns if a given time falls on a holiday.
type HolidayProvider func(time.Time) bool
// IsNYSEHoliday returns if a date was/is on a nyse holiday day.
func IsNYSEHoliday(t time.Time) bool {
@ -188,6 +188,16 @@ func IsNYSEHoliday(t time.Time) bool {
return false
}
// IsNYSEArcaHoliday returns that returns if a given time falls on a holiday.
func IsNYSEArcaHoliday(t time.Time) bool {
return IsNYSEHoliday(t)
}
// IsNASDAQHoliday returns if a date was a NASDAQ holiday day.
func IsNASDAQHoliday(t time.Time) bool {
return IsNYSEHoliday(t)
}
// Eastern returns the eastern timezone.
func Eastern() *time.Location {
if _eastern == nil {
@ -226,22 +236,10 @@ func BeforeDate(before, reference time.Time) bool {
return before.Year() == reference.Year() && before.Month() == reference.Month() && before.Day() < reference.Day()
}
// MarketOpen returns 0930 on a given day.
func MarketOpen(on, openTime time.Time) time.Time {
onEastern := on.In(Eastern())
return On(openTime, onEastern)
}
// MarketClose returns 1600 on a given day.
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, openTime time.Time, isHoliday HolidayChecker) time.Time {
func NextMarketOpen(after, openTime time.Time, isHoliday HolidayProvider) time.Time {
afterEastern := after.In(Eastern())
todaysOpen := MarketOpen(afterEastern, openTime)
todaysOpen := On(openTime, afterEastern)
if afterEastern.Before(todaysOpen) && IsWeekDay(todaysOpen.Weekday()) && !isHoliday(todaysOpen) {
return todaysOpen
@ -261,10 +259,10 @@ func NextMarketOpen(after, openTime time.Time, isHoliday HolidayChecker) time.Ti
}
// NextMarketClose returns the next market close after a given time.
func NextMarketClose(after, closeTime time.Time, isHoliday HolidayChecker) time.Time {
func NextMarketClose(after, closeTime time.Time, isHoliday HolidayProvider) time.Time {
afterEastern := after.In(Eastern())
todaysClose := MarketClose(afterEastern, closeTime)
todaysClose := On(closeTime, afterEastern)
if afterEastern.Before(todaysClose) && IsWeekDay(todaysClose.Weekday()) && !isHoliday(todaysClose) {
return todaysClose
}
@ -283,7 +281,7 @@ func NextMarketClose(after, closeTime time.Time, isHoliday HolidayChecker) time.
}
// CalculateMarketSecondsBetween calculates the number of seconds the market was open between two dates.
func CalculateMarketSecondsBetween(start, end, marketOpen, marketClose time.Time, isHoliday HolidayChecker) (seconds int64) {
func CalculateMarketSecondsBetween(start, end, marketOpen, marketClose time.Time, isHoliday HolidayProvider) (seconds int64) {
se := start.In(Eastern())
ee := end.In(Eastern())

View file

@ -7,65 +7,71 @@ import (
"github.com/wcharczuk/go-chart/date"
)
// NYSEMarketHoursRange is a special type of range that compresses a time range into just the
// MarketHoursRange is a special type of range that compresses a time range into just the
// market (i.e. NYSE operating hours and days) range.
type NYSEMarketHoursRange struct {
Min time.Time
Max time.Time
type MarketHoursRange struct {
Min time.Time
Max time.Time
MarketOpen time.Time
MarketClose time.Time
HolidayProvider date.HolidayProvider
Domain int
}
// IsZero returns if the range is setup or not.
func (mhr NYSEMarketHoursRange) IsZero() bool {
func (mhr MarketHoursRange) IsZero() bool {
return mhr.Min.IsZero() && mhr.Max.IsZero()
}
// GetMin returns the min value.
func (mhr NYSEMarketHoursRange) GetMin() float64 {
func (mhr MarketHoursRange) GetMin() float64 {
return TimeToFloat64(mhr.Min)
}
// GetMax returns the max value.
func (mhr NYSEMarketHoursRange) GetMax() float64 {
func (mhr MarketHoursRange) GetMax() float64 {
return TimeToFloat64(mhr.Max)
}
// SetMin sets the min value.
func (mhr *NYSEMarketHoursRange) SetMin(min float64) {
func (mhr *MarketHoursRange) SetMin(min float64) {
mhr.Min = Float64ToTime(min)
}
// SetMax sets the max value.
func (mhr *NYSEMarketHoursRange) SetMax(max float64) {
func (mhr *MarketHoursRange) SetMax(max float64) {
mhr.Max = Float64ToTime(max)
}
// GetDelta gets the delta.
func (mhr NYSEMarketHoursRange) GetDelta() float64 {
func (mhr MarketHoursRange) GetDelta() float64 {
min := TimeToFloat64(mhr.Min)
max := TimeToFloat64(mhr.Max)
return max - min
}
// GetDomain gets the domain.
func (mhr NYSEMarketHoursRange) GetDomain() int {
func (mhr MarketHoursRange) GetDomain() int {
return mhr.Domain
}
// SetDomain sets the domain.
func (mhr *NYSEMarketHoursRange) SetDomain(domain int) {
func (mhr *MarketHoursRange) SetDomain(domain int) {
mhr.Domain = domain
}
func (mhr NYSEMarketHoursRange) String() string {
func (mhr MarketHoursRange) String() string {
return fmt.Sprintf("MarketHoursRange [%s, %s] => %d", mhr.Min.Format(DefaultDateFormat), mhr.Max.Format(DefaultDateFormat), mhr.Domain)
}
// Translate maps a given value into the ContinuousRange space.
func (mhr NYSEMarketHoursRange) Translate(value float64) int {
func (mhr MarketHoursRange) Translate(value float64) int {
valueTime := Float64ToTime(value)
deltaSeconds := date.CalculateMarketSecondsBetween(mhr.Min, mhr.Max)
valueDelta := date.CalculateMarketSecondsBetween(mhr.Min, valueTime)
deltaSeconds := date.CalculateMarketSecondsBetween(mhr.Min, mhr.Max, mhr.MarketOpen, mhr.MarketClose, mhr.HolidayProvider)
valueDelta := date.CalculateMarketSecondsBetween(mhr.Min, valueTime, mhr.MarketOpen, mhr.MarketClose, mhr.HolidayProvider)
translated := int((float64(valueDelta) / float64(deltaSeconds)) * float64(mhr.Domain))
fmt.Printf("nyse translating: %s to %d ~= %d", valueTime.Format(time.RFC3339), deltaSeconds, valueDelta)

View file

@ -0,0 +1,23 @@
package chart
import (
"testing"
"time"
assert "github.com/blendlabs/go-assert"
"github.com/wcharczuk/go-chart/date"
)
func TestMarketHoursRangeGetDelta(t *testing.T) {
assert := assert.New(t)
r := &MarketHoursRange{
Min: time.Date(2016, 07, 19, 9, 30, 0, 0, date.Eastern()),
Max: time.Date(2016, 07, 22, 16, 00, 0, 0, date.Eastern()),
MarketOpen: date.NYSEOpen,
MarketClose: date.NYSEClose,
HolidayProvider: date.IsNYSEHoliday,
}
assert.NotZero(r.GetDelta())
}

View file

@ -1,20 +0,0 @@
package chart
import (
"testing"
"time"
assert "github.com/blendlabs/go-assert"
"github.com/wcharczuk/go-chart/date"
)
func TestNYSEMarketHoursDelta(t *testing.T) {
assert := assert.New(t)
r := &NYSEMarketHoursRange{
Min: time.Date(2016, 07, 19, 9, 30, 0, 0, date.Eastern()),
Max: time.Date(2016, 07, 22, 16, 00, 0, 0, date.Eastern()),
}
assert.NotZero(r.GetDelta())
}