Example #1
0
    def session_date(self, dt):
        """
        Given a datetime, returns the UTC-canonicalized date of the exchange
        session in which the time belongs. If the time is not in an exchange
        session (while the market is closed), returns the date of the next
        exchange session after the time.

        Parameters
        ----------
        dt : Timestamp
            A timezone-aware Timestamp.

        Returns
        -------
        Timestamp
            The date of the exchange session in which dt belongs.
        """
        # Check if the dt is after the market close
        # If so, advance to the next day
        if self.is_open_on_day(dt):
            _, close = self._get_open_and_close(normalize_date(dt))
            if dt > close:
                dt += Timedelta(days=1)

        while not self.is_open_on_day(dt):
            dt += Timedelta(days=1)

        return normalize_date(dt)
    def session_date(self, dt):
        """
        Given a datetime, returns the UTC-canonicalized date of the exchange
        session in which the time belongs. If the time is not in an exchange
        session (while the market is closed), returns the date of the next
        exchange session after the time.

        Parameters
        ----------
        dt : Timestamp
            A timezone-aware Timestamp.

        Returns
        -------
        Timestamp
            The date of the exchange session in which dt belongs.
        """
        # Check if the dt is after the market close
        # If so, advance to the next day
        if self.is_open_on_day(dt):
            _, close = self._get_open_and_close(normalize_date(dt))
            if dt > close:
                dt += Timedelta(days=1)

        while not self.is_open_on_day(dt):
            dt += Timedelta(days=1)

        return normalize_date(dt)
Example #3
0
    def is_open_on_day(self, dt):
        """
        Is the exchange open (accepting orders) anytime during the calendar day
        containing @dt.

        Parameters
        ----------
        dt : Timestamp

        Returns
        -------
        bool
            True if  exchange is open at any time during the day containing @dt
        """
        dt_normalized = normalize_date(dt)
        return dt_normalized in self.schedule.index
    def is_open_on_day(self, dt):
        """
        Is the exchange open (accepting orders) anytime during the calendar day
        containing @dt.

        Parameters
        ----------
        dt : Timestamp

        Returns
        -------
        bool
            True if  exchange is open at any time during the day containing @dt
        """
        dt_normalized = normalize_date(dt)
        return dt_normalized in self.schedule.index