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fix next_market_open for fx and metal #39

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merged 3 commits into from
Aug 23, 2023
Merged

fix next_market_open for fx and metal #39

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b4457bf
fix get_next_market_open logic for fx and metal
cctdaniel Aug 23, 2023
9dd0ba1
bump
cctdaniel Aug 23, 2023
d16643c
add tests
cctdaniel Aug 23, 2023
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9 changes: 6 additions & 3 deletions pythclient/calendar.py
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Original file line number Diff line number Diff line change
Expand Up @@ -96,7 +96,7 @@ def get_next_market_open(asset_type: str, dt: datetime.datetime) -> int:
)
next_market_open += datetime.timedelta(days=1)
elif asset_type in ["fx", "metal"]:
if time < FX_METAL_OPEN_CLOSE_TIME:
if dt.weekday() == 6 and time < FX_METAL_OPEN_CLOSE_TIME:
next_market_open = dt.replace(
hour=FX_METAL_OPEN_CLOSE_TIME.hour,
minute=FX_METAL_OPEN_CLOSE_TIME.minute,
Expand All @@ -112,7 +112,6 @@ def get_next_market_open(asset_type: str, dt: datetime.datetime) -> int:
)
while is_market_open(asset_type, next_market_open):
next_market_open += datetime.timedelta(days=1)

else:
return None

Expand Down Expand Up @@ -148,12 +147,16 @@ def get_next_market_close(asset_type: str, dt: datetime.datetime) -> int:
next_market_open = get_next_market_open(
asset_type, dt + datetime.timedelta(days=1)
)
next_market_close = datetime.datetime.fromtimestamp(next_market_open).astimezone(NY_TZ).replace(
next_market_close = (
datetime.datetime.fromtimestamp(next_market_open)
.astimezone(NY_TZ)
.replace(
hour=EQUITY_CLOSE.hour,
minute=EQUITY_CLOSE.minute,
second=0,
microsecond=0,
)
)
else:
next_market_close = dt.replace(
hour=EQUITY_CLOSE.hour,
Expand Down
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='0.1.11',
version='0.1.12',
packages=['pythclient'],
author='Pyth Developers',
author_email='[email protected]',
Expand Down
38 changes: 29 additions & 9 deletions tests/test_calendar.py
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Original file line number Diff line number Diff line change
Expand Up @@ -16,7 +16,8 @@
EQUITY_EARLY_CLOSE_CLOSE_FRI_2023_11_24_14 = datetime.datetime(2023, 11, 24, 14, 0, 0, tzinfo=NY_TZ)

# Define constants for fx & metal market
FX_METAL_OPEN_WED_2023_6_21_22 = datetime.datetime(2023, 6, 21, 22, 0, 0, tzinfo=NY_TZ)
FX_METAL_OPEN_WED_2023_6_21_21 = datetime.datetime(2023, 6, 21, 21, 0, 0, tzinfo=NY_TZ)
FX_METAL_OPEN_WED_2023_6_21_23 = datetime.datetime(2023, 6, 21, 23, 0, 0, tzinfo=NY_TZ)
FX_METAL_CLOSE_SUN_2023_6_18_16 = datetime.datetime(2023, 6, 18, 16, 0, 0, tzinfo=NY_TZ)
FX_METAL_HOLIDAY_SUN_2023_1_1 = datetime.datetime(2023, 1, 1, tzinfo=NY_TZ)

Expand Down Expand Up @@ -51,8 +52,8 @@ def test_is_market_open():

# fx & metal
# weekday, within fx & metal market hours
assert is_market_open("fx", FX_METAL_OPEN_WED_2023_6_21_22) == True
assert is_market_open("metal", FX_METAL_OPEN_WED_2023_6_21_22) == True
assert is_market_open("fx", FX_METAL_OPEN_WED_2023_6_21_21) == True
assert is_market_open("metal", FX_METAL_OPEN_WED_2023_6_21_21) == True

# weekday, out of fx & metal market hours
assert is_market_open("fx", FX_METAL_CLOSE_SUN_2023_6_18_16) == False
Expand Down Expand Up @@ -102,13 +103,22 @@ def test_get_next_market_open():
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 11, 27, 9, 30, 0, tzinfo=NY_TZ))
)

# fx & metal within market hours
# fx & metal within market hours (before 10pm UTC)
assert (
get_next_market_open("fx", FX_METAL_OPEN_WED_2023_6_21_22)
get_next_market_open("fx", FX_METAL_OPEN_WED_2023_6_21_21)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 25, 17, 0, 0, tzinfo=NY_TZ))
)
assert (
get_next_market_open("metal", FX_METAL_OPEN_WED_2023_6_21_22)
get_next_market_open("metal", FX_METAL_OPEN_WED_2023_6_21_21)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 25, 17, 0, 0, tzinfo=NY_TZ))
)
# fx & metal within market hours (after 10pm UTC)
assert (
get_next_market_open("fx", FX_METAL_OPEN_WED_2023_6_21_23)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 25, 17, 0, 0, tzinfo=NY_TZ))
)
assert (
get_next_market_open("metal", FX_METAL_OPEN_WED_2023_6_21_23)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 25, 17, 0, 0, tzinfo=NY_TZ))
)

Expand Down Expand Up @@ -172,13 +182,23 @@ def test_get_next_market_close():
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 11, 27, 16, 0, 0, tzinfo=NY_TZ))
)

# fx & metal within market hours
# fx & metal within market hours (before 10pm UTC)
assert (
get_next_market_close("fx", FX_METAL_OPEN_WED_2023_6_21_21)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 23, 17, 0, 0, tzinfo=NY_TZ))
)
assert (
get_next_market_close("metal", FX_METAL_OPEN_WED_2023_6_21_21)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 23, 17, 0, 0, tzinfo=NY_TZ))
)

# fx & metal within market hours (after 10pm UTC)
assert (
get_next_market_close("fx", FX_METAL_OPEN_WED_2023_6_21_22)
get_next_market_close("fx", FX_METAL_OPEN_WED_2023_6_21_23)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 23, 17, 0, 0, tzinfo=NY_TZ))
)
assert (
get_next_market_close("metal", FX_METAL_OPEN_WED_2023_6_21_22)
get_next_market_close("metal", FX_METAL_OPEN_WED_2023_6_21_23)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 23, 17, 0, 0, tzinfo=NY_TZ))
)

Expand Down