def minute_to_session_label(self, dt, direction="next"):
"""
Given a minute, get the label of its containing session.
Parameters
----------
dt : pd.Timestamp or nanosecond offset
The dt for which to get the containing session.
direction: str
"next" (default) means that if the given dt is not part of a
session, return the label of the next session.
"previous" means that if the given dt is not part of a session,
return the label of the previous session.
"none" means that a KeyError will be raised if the given
dt is not part of a session.
Returns
-------
pd.Timestamp (midnight UTC)
The label of the containing session.
"""
if direction == "next":
try:
return self._minute_to_session_label_cache[dt]
except KeyError:
pass
idx = searchsorted(self.market_closes_nanos, dt)
current_or_next_session = self.schedule.index[idx]
self._minute_to_session_label_cache[dt] = current_or_next_session
if direction == "next":
return current_or_next_session
elif direction == "previous":
if not is_open(self.market_opens_nanos, self.market_closes_nanos,
dt):
# if the exchange is closed, use the previous session
return self.schedule.index[idx - 1]
elif direction == "none":
if not is_open(self.market_opens_nanos, self.market_closes_nanos,
dt):
# if the exchange is closed, blow up
raise ValueError("The given dt is not an exchange minute!")
else:
# invalid direction
raise ValueError("Invalid direction parameter: "
"{0}".format(direction))
return current_or_next_session
def minute_to_session_label(self, dt, direction="next"):
"""
Given a minute, get the label of its containing session.
Parameters
----------
dt : pd.Timestamp or nanosecond offset
The dt for which to get the containing session.
direction: str
"next" (default) means that if the given dt is not part of a
session, return the label of the next session.
"previous" means that if the given dt is not part of a session,
return the label of the previous session.
"none" means that a KeyError will be raised if the given
dt is not part of a session.
Returns
-------
pd.Timestamp (midnight UTC)
The label of the containing session.
"""
if direction == "next":
try:
return self._minute_to_session_label_cache[dt]
except KeyError:
pass
idx = searchsorted(self.market_closes_nanos, dt)
current_or_next_session = self.schedule.index[idx]
self._minute_to_session_label_cache[dt] = current_or_next_session
if direction == "next":
return current_or_next_session
elif direction == "previous":
if not is_open(self.market_opens_nanos, self.market_closes_nanos,
dt):
# if the exchange is closed, use the previous session
return self.schedule.index[idx - 1]
elif direction == "none":
if not is_open(self.market_opens_nanos, self.market_closes_nanos,
dt):
# if the exchange is closed, blow up
raise ValueError("The given dt is not an exchange minute!")
else:
# invalid direction
raise ValueError("Invalid direction parameter: "
"{0}".format(direction))
return current_or_next_session
def is_open_on_minute(self, dt):
"""
Given a dt, return whether this exchange is open at the given dt.
Parameters
----------
dt: pd.Timestamp
The dt for which to check if this exchange is open.
Returns
-------
bool
Whether the exchange is open on this dt.
"""
return is_open(self.market_opens_nanos, self.market_closes_nanos,
dt.value)
def is_open_on_minute(self, dt):
"""
Given a dt, return whether this exchange is open at the given dt.
Parameters
----------
dt: pd.Timestamp
The dt for which to check if this exchange is open.
Returns
-------
bool
Whether the exchange is open on this dt.
"""
return is_open(self.market_opens_nanos, self.market_closes_nanos,
dt.value)