353 lines
10 KiB
Go
353 lines
10 KiB
Go
package date
|
|
|
|
import (
|
|
"sync"
|
|
"time"
|
|
)
|
|
|
|
const (
|
|
// AllDaysMask is a bitmask of all the days of the week.
|
|
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)
|
|
// WeekDaysMask is a bitmask of all the weekdays of the week.
|
|
WeekDaysMask = 1<<uint(time.Monday) | 1<<uint(time.Tuesday) | 1<<uint(time.Wednesday) | 1<<uint(time.Thursday) | 1<<uint(time.Friday)
|
|
//WeekendDaysMask is a bitmask of the weekend days of the week.
|
|
WeekendDaysMask = 1<<uint(time.Sunday) | 1<<uint(time.Saturday)
|
|
)
|
|
|
|
var (
|
|
// DaysOfWeek are all the time.Weekday in an array for utility purposes.
|
|
DaysOfWeek = []time.Weekday{
|
|
time.Sunday,
|
|
time.Monday,
|
|
time.Tuesday,
|
|
time.Wednesday,
|
|
time.Thursday,
|
|
time.Friday,
|
|
time.Saturday,
|
|
}
|
|
|
|
// WeekDays are the business time.Weekday in an array.
|
|
WeekDays = []time.Weekday{
|
|
time.Monday,
|
|
time.Tuesday,
|
|
time.Wednesday,
|
|
time.Thursday,
|
|
time.Friday,
|
|
}
|
|
|
|
// WeekendDays are the weekend time.Weekday in an array.
|
|
WeekendDays = []time.Weekday{
|
|
time.Sunday,
|
|
time.Saturday,
|
|
}
|
|
|
|
//Epoch is unix epoc saved for utility purposes.
|
|
Epoch = time.Unix(0, 0)
|
|
)
|
|
|
|
var (
|
|
_easternLock sync.Mutex
|
|
_eastern *time.Location
|
|
)
|
|
|
|
var (
|
|
// NYSEOpen is when the NYSE opens.
|
|
NYSEOpen = ClockTime(9, 30, 0, 0, Eastern())
|
|
|
|
// NYSEClose is when the NYSE closes.
|
|
NYSEClose = ClockTime(16, 0, 0, 0, Eastern())
|
|
|
|
// NASDAQOpen is when NASDAQ opens.
|
|
NASDAQOpen = ClockTime(9, 30, 0, 0, Eastern())
|
|
|
|
// NASDAQClose is when NASDAQ closes.
|
|
NASDAQClose = ClockTime(16, 0, 0, 0, Eastern())
|
|
|
|
// NYSEArcaOpen is when NYSEARCA opens.
|
|
NYSEArcaOpen = ClockTime(4, 0, 0, 0, Eastern())
|
|
|
|
// NYSEArcaClose is when NYSEARCA closes.
|
|
NYSEArcaClose = ClockTime(20, 0, 0, 0, Eastern())
|
|
)
|
|
|
|
// HolidayProvider is a function that returns if a given time falls on a holiday.
|
|
type HolidayProvider func(time.Time) bool
|
|
|
|
// DefaultHolidayProvider implements `HolidayProvider` and just returns false.
|
|
func DefaultHolidayProvider(_ time.Time) bool { return false }
|
|
|
|
// IsNYSEHoliday returns if a date was/is on a nyse holiday day.
|
|
func IsNYSEHoliday(t time.Time) bool {
|
|
te := t.In(Eastern())
|
|
if te.Year() == 2013 {
|
|
if te.Month() == 1 {
|
|
return te.Day() == 1 || te.Day() == 21
|
|
} else if te.Month() == 2 {
|
|
return te.Day() == 18
|
|
} else if te.Month() == 3 {
|
|
return te.Day() == 29
|
|
} else if te.Month() == 5 {
|
|
return te.Day() == 27
|
|
} else if te.Month() == 7 {
|
|
return te.Day() == 4
|
|
} else if te.Month() == 9 {
|
|
return te.Day() == 2
|
|
} else if te.Month() == 11 {
|
|
return te.Day() == 28
|
|
} else if te.Month() == 12 {
|
|
return te.Day() == 25
|
|
}
|
|
} else if te.Year() == 2014 {
|
|
if te.Month() == 1 {
|
|
return te.Day() == 1 || te.Day() == 20
|
|
} else if te.Month() == 2 {
|
|
return te.Day() == 17
|
|
} else if te.Month() == 4 {
|
|
return te.Day() == 18
|
|
} else if te.Month() == 5 {
|
|
return te.Day() == 26
|
|
} else if te.Month() == 7 {
|
|
return te.Day() == 4
|
|
} else if te.Month() == 9 {
|
|
return te.Day() == 1
|
|
} else if te.Month() == 11 {
|
|
return te.Day() == 27
|
|
} else if te.Month() == 12 {
|
|
return te.Day() == 25
|
|
}
|
|
} else if te.Year() == 2015 {
|
|
if te.Month() == 1 {
|
|
return te.Day() == 1 || te.Day() == 19
|
|
} else if te.Month() == 2 {
|
|
return te.Day() == 16
|
|
} else if te.Month() == 4 {
|
|
return te.Day() == 3
|
|
} else if te.Month() == 5 {
|
|
return te.Day() == 25
|
|
} else if te.Month() == 7 {
|
|
return te.Day() == 3
|
|
} else if te.Month() == 9 {
|
|
return te.Day() == 7
|
|
} else if te.Month() == 11 {
|
|
return te.Day() == 26
|
|
} else if te.Month() == 12 {
|
|
return te.Day() == 25
|
|
}
|
|
} else if te.Year() == 2016 {
|
|
if te.Month() == 1 {
|
|
return te.Day() == 1 || te.Day() == 18
|
|
} else if te.Month() == 2 {
|
|
return te.Day() == 15
|
|
} else if te.Month() == 3 {
|
|
return te.Day() == 25
|
|
} else if te.Month() == 5 {
|
|
return te.Day() == 30
|
|
} else if te.Month() == 7 {
|
|
return te.Day() == 4
|
|
} else if te.Month() == 9 {
|
|
return te.Day() == 5
|
|
} else if te.Month() == 11 {
|
|
return te.Day() == 24 || te.Day() == 25
|
|
} else if te.Month() == 12 {
|
|
return te.Day() == 26
|
|
}
|
|
} else if te.Year() == 2017 {
|
|
if te.Month() == 1 {
|
|
return te.Day() == 1 || te.Day() == 16
|
|
} else if te.Month() == 2 {
|
|
return te.Day() == 20
|
|
} else if te.Month() == 4 {
|
|
return te.Day() == 15
|
|
} else if te.Month() == 5 {
|
|
return te.Day() == 29
|
|
} else if te.Month() == 7 {
|
|
return te.Day() == 4
|
|
} else if te.Month() == 9 {
|
|
return te.Day() == 4
|
|
} else if te.Month() == 11 {
|
|
return te.Day() == 23
|
|
} else if te.Month() == 12 {
|
|
return te.Day() == 25
|
|
}
|
|
} else if te.Year() == 2018 {
|
|
if te.Month() == 1 {
|
|
return te.Day() == 1 || te.Day() == 15
|
|
} else if te.Month() == 2 {
|
|
return te.Day() == 19
|
|
} else if te.Month() == 3 {
|
|
return te.Day() == 30
|
|
} else if te.Month() == 5 {
|
|
return te.Day() == 28
|
|
} else if te.Month() == 7 {
|
|
return te.Day() == 4
|
|
} else if te.Month() == 9 {
|
|
return te.Day() == 3
|
|
} else if te.Month() == 11 {
|
|
return te.Day() == 22
|
|
} else if te.Month() == 12 {
|
|
return te.Day() == 25
|
|
}
|
|
}
|
|
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 {
|
|
_easternLock.Lock()
|
|
defer _easternLock.Unlock()
|
|
if _eastern == nil {
|
|
_eastern, _ = time.LoadLocation("America/New_York")
|
|
}
|
|
}
|
|
return _eastern
|
|
}
|
|
|
|
// 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())
|
|
}
|
|
|
|
// 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()
|
|
}
|
|
|
|
// NextMarketOpen returns the next market open after a given time.
|
|
func NextMarketOpen(after, openTime time.Time, isHoliday HolidayProvider) time.Time {
|
|
afterEastern := after.In(Eastern())
|
|
todaysOpen := On(openTime, afterEastern)
|
|
|
|
if isHoliday == nil {
|
|
isHoliday = DefaultHolidayProvider
|
|
}
|
|
|
|
if afterEastern.Before(todaysOpen) && IsWeekDay(todaysOpen.Weekday()) && !isHoliday(todaysOpen) {
|
|
return todaysOpen
|
|
}
|
|
|
|
if afterEastern.Equal(todaysOpen) { //rare but it might happen.
|
|
return todaysOpen
|
|
}
|
|
|
|
for cursorDay := 1; cursorDay < 6; cursorDay++ {
|
|
newDay := todaysOpen.AddDate(0, 0, cursorDay)
|
|
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, closeTime time.Time, isHoliday HolidayProvider) time.Time {
|
|
afterEastern := after.In(Eastern())
|
|
|
|
if isHoliday == nil {
|
|
isHoliday = DefaultHolidayProvider
|
|
}
|
|
|
|
todaysClose := On(closeTime, afterEastern)
|
|
if afterEastern.Before(todaysClose) && IsWeekDay(todaysClose.Weekday()) && !isHoliday(todaysClose) {
|
|
return todaysClose
|
|
}
|
|
|
|
if afterEastern.Equal(todaysClose) { //rare but it might happen.
|
|
return todaysClose
|
|
}
|
|
|
|
for cursorDay := 1; cursorDay < 6; cursorDay++ {
|
|
newDay := todaysClose.AddDate(0, 0, cursorDay)
|
|
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, marketOpen, marketClose time.Time, isHoliday HolidayProvider) (seconds int64) {
|
|
startEastern := start.In(Eastern())
|
|
endEastern := end.In(Eastern())
|
|
|
|
startMarketOpen := On(marketOpen, startEastern)
|
|
startMarketClose := On(marketClose, startEastern)
|
|
|
|
if !IsWeekendDay(startMarketOpen.Weekday()) && !isHoliday(startMarketOpen) {
|
|
if (startEastern.Equal(startMarketOpen) || startEastern.After(startMarketOpen)) && startEastern.Before(startMarketClose) {
|
|
if endEastern.Before(startMarketClose) {
|
|
seconds += int64(endEastern.Sub(startEastern) / time.Second)
|
|
} else {
|
|
seconds += int64(startMarketClose.Sub(startEastern) / time.Second)
|
|
}
|
|
}
|
|
}
|
|
|
|
cursor := NextMarketOpen(startMarketClose, marketOpen, isHoliday)
|
|
for BeforeDate(cursor, endEastern) {
|
|
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, marketOpen, isHoliday)
|
|
finalMarketClose := NextMarketClose(cursor, marketClose, isHoliday)
|
|
if endEastern.After(finalMarketOpen) {
|
|
if endEastern.Before(finalMarketClose) {
|
|
seconds += int64(endEastern.Sub(finalMarketOpen) / time.Second)
|
|
} else {
|
|
seconds += int64(finalMarketClose.Sub(finalMarketOpen) / time.Second)
|
|
}
|
|
}
|
|
|
|
return
|
|
}
|
|
|
|
// Format returns a string representation of a date.
|
|
func format(t time.Time) string {
|
|
return t.Format("2006-01-02")
|
|
}
|
|
|
|
// Parse parses a date from a string.
|
|
func parse(str string) time.Time {
|
|
res, _ := time.Parse("2006-01-02", str)
|
|
return res
|
|
}
|