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fix fx bug and add 2024 calendar #45

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Dec 25, 2023
Merged

fix fx bug and add 2024 calendar #45

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cdbbe0c
fix fx bug and add 2024 calendar
cctdaniel Dec 25, 2023
fcb8e79
use 17 as close time for test case instead
cctdaniel Dec 25, 2023
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23 changes: 22 additions & 1 deletion pythclient/calendar.py
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Original file line number Diff line number Diff line change
Expand Up @@ -22,10 +22,22 @@
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(),
datetime.datetime(2024, 1, 1, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 1, 15, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 2, 19, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 3, 29, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 5, 27, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 6, 19, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 7, 4, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 9, 2, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 11, 28, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 12, 25, tzinfo=NY_TZ).date(),
]
NYSE_EARLY_HOLIDAYS = [
datetime.datetime(2023, 7, 3, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 11, 24, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 7, 3, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 11, 29, tzinfo=NY_TZ).date(),
]

FX_METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=NY_TZ)
Expand All @@ -35,6 +47,8 @@
FX_METAL_HOLIDAYS = [
datetime.datetime(2023, 1, 1, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 12, 25, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 1, 1, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 12, 25, tzinfo=NY_TZ).date(),
]

RATES_OPEN = datetime.time(8, 0, 0, tzinfo=NY_TZ)
Expand All @@ -60,7 +74,7 @@ def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
return False

if asset_type in ["fx", "metal"]:
if date in FX_METAL_HOLIDAYS:
if date in FX_METAL_HOLIDAYS and time < FX_METAL_OPEN_CLOSE_TIME:
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did you double check this?

return False
# On Friday the market is closed after 5pm
if day == 4 and time >= FX_METAL_OPEN_CLOSE_TIME:
Expand All @@ -71,6 +85,13 @@ def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
# On Sunday the market is closed before 5pm
if day == 6 and time < FX_METAL_OPEN_CLOSE_TIME:
return False
# On Sunday the market is closed after 5pm if the next day is a holiday
if (
day == 6
and time >= FX_METAL_OPEN_CLOSE_TIME
and (date + datetime.timedelta(days=1) in FX_METAL_HOLIDAYS)
):
return False

return True

Expand Down
22 changes: 20 additions & 2 deletions tests/test_calendar.py
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Original file line number Diff line number Diff line change
Expand Up @@ -22,6 +22,8 @@
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)
FX_METAL_HOLIDAY_SUN_2023_12_24_17 = datetime.datetime(2023, 12, 24, 17, 0, 0, tzinfo=NY_TZ)
FX_METAL_HOLIDAY_SUN_2023_12_31_17 = datetime.datetime(2023, 12, 31, 17, 0, 0, tzinfo=NY_TZ)

# Define constants for rates market
RATES_OPEN_WED_2023_6_21_12 = datetime.datetime(2023, 6, 21, 8, 0, 0, tzinfo=NY_TZ)
Expand Down Expand Up @@ -75,6 +77,12 @@ def test_is_market_open():
assert is_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_1_1) == False
assert is_market_open("metal", FX_METAL_HOLIDAY_SUN_2023_1_1) == False

# fx & metal out of market hours on Sunday Dec 24 2023 after 10pm UTC
assert is_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_12_24_17) == False

# fx & metal out of market hours on Sunday Dec 31 2023 after 10pm UTC
assert is_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_12_31_17) == False

# rates
# weekday, within rates market hours
assert is_market_open("rates", RATES_OPEN_WED_2023_6_21_12) == True
Expand Down Expand Up @@ -167,14 +175,24 @@ def test_get_next_market_open():
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 18, 17, 0, 0, tzinfo=NY_TZ))
)

# fx & metal out of market hours on Sunday Dec 24 2024 after 10pm UTC
assert (
get_next_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_12_24_17)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 12, 25, 17, 0, 0, tzinfo=NY_TZ))
)
assert (
get_next_market_open("metal", FX_METAL_HOLIDAY_SUN_2023_12_24_17)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 12, 25, 17, 0, 0, tzinfo=NY_TZ))
)

# fx & metal holiday
assert (
get_next_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_1_1)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 1, 2, 17, 0, 0, tzinfo=NY_TZ))
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 1, 1, 17, 0, 0, tzinfo=NY_TZ))
)
assert (
get_next_market_open("metal", FX_METAL_HOLIDAY_SUN_2023_1_1)
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 1, 2, 17, 0, 0, tzinfo=NY_TZ))
== format_datetime_to_unix_timestamp(datetime.datetime(2023, 1, 1, 17, 0, 0, tzinfo=NY_TZ))
)

# rates within market hours
Expand Down