def _get_minute_count_for_transform(self, ending_minute, days_count):
# This function works in three steps.
# Step 1. Count the minutes from ``ending_minute`` to the start of its
# session.
# Step 2. Count the minutes from the prior ``days_count - 1`` sessions.
# Step 3. Return the sum of the results from steps (1) and (2).
# Example (NYSE Calendar)
# ending_minute = 2016-12-28 9:40 AM US/Eastern
# days_count = 3
# Step 1. Calculate that there are 10 minutes in the ending session.
# Step 2. Calculate that there are 390 + 210 = 600 minutes in the prior
# two sessions. (Prior sessions are 2015-12-23 and 2015-12-24.)
# 2015-12-24 is a half day.
# Step 3. Return 600 + 10 = 610.
cal = self.trading_calendar
ending_session = cal.minute_to_session_label(
ending_minute,
direction="none", # It's an error to pass a non-trading minute.
)
# Assume that calendar days are always full of contiguous minutes,
# which means we can just take 1 + (number of minutes between the last
# minute and the start of the session). We add one so that we include
# the ending minute in the total.
ending_session_minute_count = timedelta_to_integral_minutes(
ending_minute - cal.open_and_close_for_session(ending_session)[0]
) + 1
if days_count == 1:
# We just need sessions for the active day.
return ending_session_minute_count
# XXX: We're subtracting 2 here to account for two offsets:
# 1. We only want ``days_count - 1`` sessions, since we've already
# accounted for the ending session above.
# 2. The API of ``sessions_window`` is to return one more session than
# the requested number. I don't think any consumers actually want
# that behavior, but it's the tested and documented behavior right
# now, so we have to request one less session than we actually want.
completed_sessions = cal.sessions_window(
cal.previous_session_label(ending_session),
2 - days_count,
)
completed_sessions_minute_count = (
self.trading_calendar.minutes_count_for_sessions_in_range(
completed_sessions[0],
completed_sessions[-1]
)
)
return ending_session_minute_count + completed_sessions_minute_count
def _get_minute_count_for_transform(self, ending_minute, days_count):
# This function works in three steps.
# Step 1. Count the minutes from ``ending_minute`` to the start of its
# session.
# Step 2. Count the minutes from the prior ``days_count - 1`` sessions.
# Step 3. Return the sum of the results from steps (1) and (2).
# Example (NYSE Calendar)
# ending_minute = 2016-12-28 9:40 AM US/Eastern
# days_count = 3
# Step 1. Calculate that there are 10 minutes in the ending session.
# Step 2. Calculate that there are 390 + 210 = 600 minutes in the prior
# two sessions. (Prior sessions are 2015-12-23 and 2015-12-24.)
# 2015-12-24 is a half day.
# Step 3. Return 600 + 10 = 610.
cal = self.trading_calendar
ending_session = cal.minute_to_session_label(
ending_minute,
direction="none", # It's an error to pass a non-trading minute.
)
# Assume that calendar days are always full of contiguous minutes,
# which means we can just take 1 + (number of minutes between the last
# minute and the start of the session). We add one so that we include
# the ending minute in the total.
ending_session_minute_count = timedelta_to_integral_minutes(
ending_minute - cal.open_and_close_for_session(ending_session)[0]
) + 1
if days_count == 1:
# We just need sessions for the active day.
return ending_session_minute_count
# XXX: We're subtracting 2 here to account for two offsets:
# 1. We only want ``days_count - 1`` sessions, since we've already
# accounted for the ending session above.
# 2. The API of ``sessions_window`` is to return one more session than
# the requested number. I don't think any consumers actually want
# that behavior, but it's the tested and documented behavior right
# now, so we have to request one less session than we actually want.
completed_sessions = cal.sessions_window(
cal.previous_session_label(ending_session),
2 - days_count,
)
completed_sessions_minute_count = (
self.trading_calendar.minutes_count_for_sessions_in_range(
completed_sessions[0],
completed_sessions[-1]
)
)
return ending_session_minute_count + completed_sessions_minute_count