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next close #32

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merged 4 commits into from
Jun 19, 2023
Merged

next close #32

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d7e8a69
add next market close
cctdaniel Jun 19, 2023
57cc647
bump
cctdaniel Jun 19, 2023
0226162
make sure args in ny tz
cctdaniel Jun 19, 2023
0fd302b
assert dt in is_market_open
cctdaniel Jun 19, 2023
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84 changes: 61 additions & 23 deletions pythclient/calendar.py
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Original file line number Diff line number Diff line change
@@ -1,43 +1,45 @@
import datetime
from zoneinfo import ZoneInfo

import pytz
NY_TZ = ZoneInfo("America/New_York")
UTC_TZ = ZoneInfo("UTC")

TZ = pytz.timezone("America/New_York")

EQUITY_OPEN = datetime.time(9, 30, 0, tzinfo=TZ)
EQUITY_CLOSE = datetime.time(16, 0, 0, tzinfo=TZ)
EQUITY_EARLY_CLOSE = datetime.time(13, 0, 0, tzinfo=TZ)
EQUITY_OPEN = datetime.time(9, 30, 0, tzinfo=NY_TZ)
EQUITY_CLOSE = datetime.time(16, 0, 0, tzinfo=NY_TZ)
EQUITY_EARLY_CLOSE = datetime.time(13, 0, 0, tzinfo=NY_TZ)

# EQUITY_HOLIDAYS and EQUITY_EARLY_HOLIDAYS will need to be updated each year
# From https://www.nyse.com/markets/hours-calendars
EQUITY_HOLIDAYS = [
datetime.datetime(2023, 1, 2, tzinfo=TZ).date(),
datetime.datetime(2023, 1, 16, tzinfo=TZ).date(),
datetime.datetime(2023, 2, 20, tzinfo=TZ).date(),
datetime.datetime(2023, 4, 7, tzinfo=TZ).date(),
datetime.datetime(2023, 5, 29, tzinfo=TZ).date(),
datetime.datetime(2023, 6, 19, tzinfo=TZ).date(),
datetime.datetime(2023, 7, 4, tzinfo=TZ).date(),
datetime.datetime(2022, 9, 4, tzinfo=TZ).date(),
datetime.datetime(2023, 11, 23, tzinfo=TZ).date(),
datetime.datetime(2023, 12, 25, tzinfo=TZ).date(),
datetime.datetime(2023, 1, 2, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 1, 16, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 2, 20, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 4, 7, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 5, 29, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 6, 19, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 7, 4, tzinfo=NY_TZ).date(),
datetime.datetime(2022, 9, 4, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 11, 23, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 12, 25, tzinfo=NY_TZ).date(),
]
EQUITY_EARLY_HOLIDAYS = [
datetime.datetime(2023, 7, 3, tzinfo=TZ).date(),
datetime.datetime(2023, 11, 24, tzinfo=TZ).date(),
datetime.datetime(2023, 7, 3, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 11, 24, tzinfo=NY_TZ).date(),
]

FX_METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=TZ)
FX_METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=NY_TZ)

# FX_METAL_HOLIDAYS will need to be updated each year
# From https://www.cboe.com/about/hours/fx/
FX_METAL_HOLIDAYS = [
datetime.datetime(2023, 1, 1, tzinfo=TZ).date(),
datetime.datetime(2023, 12, 25, tzinfo=TZ).date(),
datetime.datetime(2023, 1, 1, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 12, 25, tzinfo=NY_TZ).date(),
]


def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
# make sure time is in NY timezone
dt = dt.astimezone(NY_TZ)
day, date, time = dt.weekday(), dt.date(), dt.time()

if asset_type == "equity":
Expand Down Expand Up @@ -73,10 +75,12 @@ def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:


def get_next_market_open(asset_type: str, dt: datetime.datetime) -> str:
# make sure time is in NY timezone
dt = dt.astimezone(NY_TZ)
time = dt.time()

if is_market_open(asset_type, dt):
return dt.astimezone(pytz.UTC).strftime("%Y-%m-%dT%H:%M:%S") + "Z"
return dt.astimezone(UTC_TZ).strftime("%Y-%m-%dT%H:%M:%S") + "Z"

if asset_type == "equity":
if time < EQUITY_OPEN:
Expand Down Expand Up @@ -117,4 +121,38 @@ def get_next_market_open(asset_type: str, dt: datetime.datetime) -> str:
while not is_market_open(asset_type, next_market_open):
next_market_open += datetime.timedelta(days=1)

return next_market_open.astimezone(pytz.UTC).strftime("%Y-%m-%dT%H:%M:%S") + "Z"
return next_market_open.astimezone(UTC_TZ).strftime("%Y-%m-%dT%H:%M:%S") + "Z"

def get_next_market_close(asset_type: str, dt: datetime.datetime) -> str:
# make sure time is in NY timezone
dt = dt.astimezone(NY_TZ)
if not is_market_open(asset_type, dt):
return dt.astimezone(UTC_TZ).strftime("%Y-%m-%dT%H:%M:%S") + "Z"

if asset_type == "equity":
if dt.date() in EQUITY_EARLY_HOLIDAYS:

next_market_close = dt.replace(
hour=EQUITY_EARLY_CLOSE.hour,
minute=EQUITY_EARLY_CLOSE.minute,
second=0,
microsecond=0,
)
else:
next_market_close = dt.replace(
hour=EQUITY_CLOSE.hour,
minute=EQUITY_CLOSE.minute,
second=0,
microsecond=0,
)
elif asset_type in ["fx", "metal"]:
next_market_close = dt.replace(
hour=FX_METAL_OPEN_CLOSE_TIME.hour,
minute=FX_METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
else: # crypto markets never close
return None

return next_market_close.astimezone(UTC_TZ).strftime("%Y-%m-%dT%H:%M:%S") + "Z"
2 changes: 1 addition & 1 deletion setup.py
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Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,7 @@

setup(
name='pythclient',
version='0.1.5',
version='0.1.6',
packages=['pythclient'],
author='Pyth Developers',
author_email='[email protected]',
Expand Down