def __call__(self, trade_calendar: TradeCalendarManager) -> Tuple[int, int]:
if trade_calendar is None:
raise NotImplementedError("trade_calendar is necessary for getting TradeRangeByTime.")
start_date = trade_calendar.start_time.date()
val_start, val_end = concat_date_time(start_date, self.start_time), concat_date_time(start_date, self.end_time)
return trade_calendar.get_range_idx(val_start, val_end)
def clip_time_range(
self, start_time: pd.Timestamp,
end_time: pd.Timestamp) -> Tuple[pd.Timestamp, pd.Timestamp]:
start_date = start_time.date()
val_start, val_end = concat_date_time(
start_date,
self.start_time), concat_date_time(start_date, self.end_time)
# NOTE: `end_date` should not be used. Because the `end_date` is for slicing. It may be in the next day
# Assumption: start_time and end_time is for intraday trading. So it is OK for only using start_date
return max(val_start, start_time), min(val_end, end_time)