def get_price(s3_client: S3Client,
s3_bucket: str,
ticker: str,
trading_day: arrow.arrow.Arrow,
stack_calls: int = 0) -> Optional[float]:
"""
Returns the adjusted close for a ticker on the date.
If trading_day is not a valid trading day on the NYSE, the most recent
day, up to `trading_day` is used.
"""
stack_calls += 1
max_stack_calls = 50
if stack_calls > max_stack_calls:
raise RuntimeError(
f"stack_calls exceeded max_stack_calls: {max_stack_calls} for {ticker} on {trading_day.format('YYYY-MM-DD')}"
)
while not is_valid_trading_day(trading_day):
trading_day = trading_day.shift(days=-1)
df = get_eod_prices(s3_client, s3_bucket, trading_day)
price = None
try:
price = df.loc[ticker]["adjusted_close"]
except KeyError:
# unable to get price for given ticker. Rewind day until we retrieve valid price
price = get_price(s3_client, s3_bucket, ticker,
trading_day.shift(days=-1), stack_calls)
return price
def calculate_lookback_window(now: arrow.arrow.Arrow, lookback_months: int) -> LookbackPeriod:
"""
Calculate lookback period for momentum.
start period defined as the first day of the month, 13 months ago, enabling us to get initial value to compare
"""
start_period = now.shift(months=-lookback_months).replace(day=1)
# end period excludes the most recent full month, (exclusive)
end_period = now.shift(months=-1).replace(day=1)
return LookbackPeriod(start_period, end_period)
def _is_forex_trading_time(self, now: arrow.arrow.Arrow) -> bool:
weekday = now.isoweekday()
date = now.format('YYYY-MM-DD')
if weekday <= 4:
return True
elif weekday == 5:
if now < arrow.get(f'{date} 22:00'):
return True
elif weekday == 6:
return False
elif weekday == 7:
if now >= arrow.get(f'{date} 21:00'):
return True
return False
def is_valid_trading_day(trading_day: arrow.arrow.Arrow) -> bool:
"""Decides if a given trading day is valid and returns a boolean."""
trading_day_formatted = trading_day.format("YYYY-MM-DD")
is_valid = False
nyse = ec.get_calendar("NYSE")
nasdaq = ec.get_calendar("NASDAQ")
if nyse.is_session(trading_day_formatted) and nasdaq.is_session(
trading_day_formatted):
is_valid = True
return is_valid
def _is_A_shares_trading_time(self, now: arrow.arrow.Arrow) -> bool:
weekday = now.isoweekday()
date = now.format('YYYY-MM-DD')
if self.env.sys_frequency == 'D':
if weekday <= 5:
return True
else:
if weekday <= 5:
left_1 = arrow.get(f'{date} 09:30')
right_1 = arrow.get(f'{date} 11:30')
left_2 = arrow.get(f'{date} 13:00')
right_2 = arrow.get(f'{date} 15:00')
if left_1 < now < right_1 or left_2 < now < right_2:
return True
return False
def get_time_diff(arrow_time_obj: arrow.arrow.Arrow,
granularity=['day', 'hour', 'minute']):
return arrow_time_obj.humanize(only_distance=True,
locale='zh',
granularity=granularity)