def get_market_open_close_time(self, aDatetime):
aDate = convert_datetime_to_date(aDatetime)
if aDate in self._marketOpenCloseTimeRecord:
opn, close = self._marketOpenCloseTimeRecord[aDate]
return opn, close
if self.isTradingDay(aDatetime):
sch = self._marketCalendar.schedule(start_date=aDatetime,
end_date=aDatetime)
opn, close = sch.iloc[0]['market_open'], sch.iloc[0][
'market_close']
self._marketOpenCloseTimeRecord[aDate] = (opn, close)
return opn, close
else:
return None, None
def isEarlyClose(self, aDatetime):
aDate = convert_datetime_to_date(aDatetime)
if not self.isTradingDay(
aDate
): # If it is NOT a trading day, definitely it is not an early close
return False
pdSeries = self.get_early_closes(
aDate, aDate)['market_close'] # Only returns early closes
aTimestamp = pd.Timestamp(aDate)
if aTimestamp not in pdSeries.index:
return False
# Returned market_close_time does not have timezone. So, localize to UTC and convert to Eastern
if not pdSeries[aTimestamp].tzinfo:
return pdSeries[aTimestamp].tz_localize('UTC').tz_convert(
'US/Eastern').hour == 13 # Early close at 1:00PM
else:
return pdSeries[aTimestamp].tz_convert(
'US/Eastern').hour == 13 # Early close at 1:00PM
def isTradingDay(self, aDatetime):
"""
Check if a datetime is a trading day based on marketName
output:
True: It is a trading day.
"""
# print(__name__ + '::isTradingDay: %s' % (aDatetime,))
aDate = convert_datetime_to_date(aDatetime)
if aDate in self._isTradingDaySet:
return True
if aDate in self._notTradingDaySet:
return False
if np.is_busday(aDate):
ans = not (np.datetime64(aDate)
in self._marketCalendar.holidays().holidays)
else:
ans = False
if ans:
self._isTradingDaySet.add(aDate)
else:
self._notTradingDaySet.add(aDate)
return ans
def nth_trading_day_of_week(self, aDatetime):
"""
1st trading day of week is 0
last trading day of week is -1
@param aDatetime: dt.date
@result: list [nth trading day in a week, reverse location in a week]
"""
aDay = convert_datetime_to_date(aDatetime)
if aDay in self._nthTradingDayOfWeekRecord:
return self._nthTradingDayOfWeekRecord[aDay]
tmp = aDay.weekday()
weekStartDate = aDay - dt.timedelta(days=tmp)
weekEndDate = weekStartDate + dt.timedelta(days=4)
ls_validDays = self._get_validDays(weekStartDate, weekEndDate)
t = pd.Timestamp(aDay).tz_localize(pytz.utc)
if t in ls_validDays:
x = ls_validDays.get_loc(t)
ans = [x, x - len(ls_validDays)]
self._nthTradingDayOfWeekRecord[aDay] = ans
return ans
else:
self._nthTradingDayOfWeekRecord[aDay] = None
return None
def nth_trading_day_of_month(self, aDatetime):
"""
1st trading day of month is 0
last trading day of month is -1
@param aDatetime: dt.date
@result: list [nth trading day in a month, reverse location in a month]
"""
aDay = convert_datetime_to_date(aDatetime)
if aDay in self._nthTradingDayOfMonthRecord:
return self._nthTradingDayOfMonthRecord[aDay]
monthStartDate = aDay.replace(day=1)
monthEndDate = (aDay +
MonthEnd(0)).date() # change pd.TimeStamp to dt.date
ls_validDays = self._get_validDays(monthStartDate, monthEndDate)
t = pd.Timestamp(aDay).tz_localize(pytz.utc)
if t in ls_validDays:
x = ls_validDays.get_loc(t)
ans = [x, x - len(ls_validDays)]
self._nthTradingDayOfMonthRecord[aDay] = ans
return ans
else:
self._nthTradingDayOfMonthRecord[aDay] = None
return None