Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

calendar metal early close #52

Merged
merged 3 commits into from
Jan 15, 2024
Merged

calendar metal early close #52

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
3 commits
Select commit Hold shift + click to select a range
39b5f74
support metal early close
cctdaniel Jan 15, 2024
6422c1f
bump
cctdaniel Jan 15, 2024
59899d8
reset formatting
cctdaniel Jan 15, 2024
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
151 changes: 133 additions & 18 deletions pythclient/calendar.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -41,17 +41,41 @@
datetime.datetime(2024, 12, 24, tzinfo=NY_TZ).date(),
]

FX_METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=NY_TZ)
FX_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 = [
FX_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(),
]

METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=NY_TZ)


# References:
# https://www.forex.com/en-ca/help-and-support/market-trading-hours/
METAL_EARLY_CLOSE = datetime.time(14, 30, 0, tzinfo=NY_TZ)

# References:
# https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/market-details/martin-luther-king-jr-trading-hours
# https://www.etoro.com/trading/market-hours-and-events/
METAL_EARLY_CLOSE_OPEN = datetime.time(18, 0, 0, tzinfo=NY_TZ)

# FX_METAL_HOLIDAYS will need to be updated each year
# From https://www.cboe.com/about/hours/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(),
]
METAL_EARLY_HOLIDAYS = [
datetime.datetime(2024, 1, 15, tzinfo=NY_TZ).date(),
]

RATES_OPEN = datetime.time(8, 0, 0, tzinfo=NY_TZ)
RATES_CLOSE = datetime.time(17, 0, 0, tzinfo=NY_TZ)

Expand All @@ -74,24 +98,48 @@ def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
return True
return False

if asset_type in ["fx", "metal"]:
if date in FX_METAL_HOLIDAYS and time < FX_METAL_OPEN_CLOSE_TIME:
if asset_type == "fx":
if date in FX_HOLIDAYS and time < FX_OPEN_CLOSE_TIME:
return False
# If the next day is a holiday, the market is closed at 5pm ET
if (
date + datetime.timedelta(days=1) in FX_METAL_HOLIDAYS
) and time >= FX_METAL_OPEN_CLOSE_TIME:
date + datetime.timedelta(days=1) in FX_HOLIDAYS
) and time >= FX_OPEN_CLOSE_TIME:
return False
# On Friday the market is closed after 5pm
if day == 4 and time >= FX_METAL_OPEN_CLOSE_TIME:
if day == 4 and time >= FX_OPEN_CLOSE_TIME:
return False
# On Saturday the market is closed all the time
if day == 5:
return False
# On Sunday the market is closed before 5pm
if day == 6 and time < FX_METAL_OPEN_CLOSE_TIME:
if day == 6 and time < FX_OPEN_CLOSE_TIME:
return False
return True

if asset_type == "metal":
if date in METAL_HOLIDAYS and time < METAL_OPEN_CLOSE_TIME:
return False
# If the next day is a holiday, the market is closed at 5pm ET
if (
date + datetime.timedelta(days=1) in METAL_HOLIDAYS
) and time >= METAL_OPEN_CLOSE_TIME:
return False
if (
date in METAL_EARLY_HOLIDAYS
and time >= METAL_EARLY_CLOSE
and time < METAL_EARLY_CLOSE_OPEN
):
return False
# On Friday the market is closed after 5pm
if day == 4 and time >= METAL_OPEN_CLOSE_TIME:
return False
# On Saturday the market is closed all the time
if day == 5:
return False
# On Sunday the market is closed before 5pm
if day == 6 and time < METAL_OPEN_CLOSE_TIME:
return False
return True

if asset_type == "rates":
Expand Down Expand Up @@ -132,25 +180,62 @@ def get_next_market_open(asset_type: str, dt: datetime.datetime) -> int:
microsecond=0,
)
next_market_open += datetime.timedelta(days=1)
elif asset_type in ["fx", "metal"]:
if (dt.weekday() == 6 and time < FX_METAL_OPEN_CLOSE_TIME) or (
dt.date() in FX_METAL_HOLIDAYS and time < FX_METAL_OPEN_CLOSE_TIME
elif asset_type == "fx":
if (dt.weekday() == 6 and time < FX_OPEN_CLOSE_TIME) or (
dt.date() in FX_HOLIDAYS and time < FX_OPEN_CLOSE_TIME
):
next_market_open = dt.replace(
hour=FX_METAL_OPEN_CLOSE_TIME.hour,
minute=FX_METAL_OPEN_CLOSE_TIME.minute,
hour=FX_OPEN_CLOSE_TIME.hour,
minute=FX_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
else:
next_market_open = dt.replace(
hour=FX_METAL_OPEN_CLOSE_TIME.hour,
minute=FX_METAL_OPEN_CLOSE_TIME.minute,
hour=FX_OPEN_CLOSE_TIME.hour,
minute=FX_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
while is_market_open(asset_type, next_market_open):
next_market_open += datetime.timedelta(days=1)
elif asset_type == "metal":
if dt.date() in METAL_EARLY_HOLIDAYS and time < METAL_EARLY_CLOSE_OPEN:
next_market_open = dt.replace(
hour=METAL_EARLY_CLOSE_OPEN.hour,
minute=METAL_EARLY_CLOSE_OPEN.minute,
second=0,
microsecond=0,
)
elif dt.date() in METAL_EARLY_HOLIDAYS and time >= METAL_EARLY_CLOSE_OPEN:
next_market_open = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
next_market_open += datetime.timedelta(days=1)
while is_market_open(asset_type, next_market_open):
next_market_open += datetime.timedelta(days=1)
else:
if (dt.weekday() == 6 and time < METAL_OPEN_CLOSE_TIME) or (
dt.date() in METAL_HOLIDAYS and time < METAL_OPEN_CLOSE_TIME
):
next_market_open = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
else:
next_market_open = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
while is_market_open(asset_type, next_market_open):
next_market_open += datetime.timedelta(days=1)
elif asset_type == "rates":
if time < RATES_OPEN:
next_market_open = dt.replace(
Expand Down Expand Up @@ -244,10 +329,10 @@ def get_next_market_close(asset_type: str, dt: datetime.datetime) -> int:
):
next_market_close += datetime.timedelta(days=1)

elif asset_type in ["fx", "metal"]:
elif asset_type == "fx":
next_market_close = dt.replace(
hour=FX_METAL_OPEN_CLOSE_TIME.hour,
minute=FX_METAL_OPEN_CLOSE_TIME.minute,
hour=FX_OPEN_CLOSE_TIME.hour,
minute=FX_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
Expand All @@ -256,6 +341,36 @@ def get_next_market_close(asset_type: str, dt: datetime.datetime) -> int:
next_market_close += datetime.timedelta(days=1)
while is_market_open(asset_type, next_market_close):
next_market_close += datetime.timedelta(days=1)
elif asset_type == "metal":
if dt.date() in METAL_EARLY_HOLIDAYS and time < METAL_EARLY_CLOSE:
next_market_close = dt.replace(
hour=METAL_EARLY_CLOSE.hour,
minute=METAL_EARLY_CLOSE.minute,
second=0,
microsecond=0,
)
elif dt.date() in METAL_EARLY_HOLIDAYS and time >= METAL_EARLY_CLOSE:
next_market_close = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
next_market_close += datetime.timedelta(days=1)
while is_market_open(asset_type, next_market_close):
next_market_close += datetime.timedelta(days=1)
else:
next_market_close = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
if dt.weekday() != 4:
while not is_market_open(asset_type, next_market_close):
next_market_close += datetime.timedelta(days=1)
while is_market_open(asset_type, next_market_close):
next_market_close += datetime.timedelta(days=1)
elif asset_type == "rates":
if dt.date() in NYSE_EARLY_HOLIDAYS:
if time < NYSE_EARLY_CLOSE:
Expand Down
Loading