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calendar metal early close (#52)
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* support metal early close

* bump

* reset formatting
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@cctdaniel
cctdaniel authored Jan 15, 2024
1 parent 9e6842c commit b99a905
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Showing 4 changed files with 590 additions and 36 deletions.
151 changes: 133 additions & 18 deletions pythclient/calendar.py
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Original file line number Diff line number Diff line change
Expand Up @@ -41,17 +41,41 @@
datetime.datetime(2024, 12, 24, tzinfo=NY_TZ).date(),
]

FX_METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=NY_TZ)
FX_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=NY_TZ)

# FX_METAL_HOLIDAYS will need to be updated each year
# From https://www.cboe.com/about/hours/fx/
FX_METAL_HOLIDAYS = [
FX_HOLIDAYS = [
datetime.datetime(2023, 1, 1, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 12, 25, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 1, 1, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 12, 25, tzinfo=NY_TZ).date(),
]

METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=NY_TZ)


# References:
# https://www.forex.com/en-ca/help-and-support/market-trading-hours/
METAL_EARLY_CLOSE = datetime.time(14, 30, 0, tzinfo=NY_TZ)

# References:
# https://www.ig.com/uk/help-and-support/spread-betting-and-cfds/market-details/martin-luther-king-jr-trading-hours
# https://www.etoro.com/trading/market-hours-and-events/
METAL_EARLY_CLOSE_OPEN = datetime.time(18, 0, 0, tzinfo=NY_TZ)

# FX_METAL_HOLIDAYS will need to be updated each year
# From https://www.cboe.com/about/hours/fx/
METAL_HOLIDAYS = [
datetime.datetime(2023, 1, 1, tzinfo=NY_TZ).date(),
datetime.datetime(2023, 12, 25, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 1, 1, tzinfo=NY_TZ).date(),
datetime.datetime(2024, 12, 25, tzinfo=NY_TZ).date(),
]
METAL_EARLY_HOLIDAYS = [
datetime.datetime(2024, 1, 15, tzinfo=NY_TZ).date(),
]

RATES_OPEN = datetime.time(8, 0, 0, tzinfo=NY_TZ)
RATES_CLOSE = datetime.time(17, 0, 0, tzinfo=NY_TZ)

Expand All @@ -74,24 +98,48 @@ def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
return True
return False

if asset_type in ["fx", "metal"]:
if date in FX_METAL_HOLIDAYS and time < FX_METAL_OPEN_CLOSE_TIME:
if asset_type == "fx":
if date in FX_HOLIDAYS and time < FX_OPEN_CLOSE_TIME:
return False
# If the next day is a holiday, the market is closed at 5pm ET
if (
date + datetime.timedelta(days=1) in FX_METAL_HOLIDAYS
) and time >= FX_METAL_OPEN_CLOSE_TIME:
date + datetime.timedelta(days=1) in FX_HOLIDAYS
) and time >= FX_OPEN_CLOSE_TIME:
return False
# On Friday the market is closed after 5pm
if day == 4 and time >= FX_METAL_OPEN_CLOSE_TIME:
if day == 4 and time >= FX_OPEN_CLOSE_TIME:
return False
# On Saturday the market is closed all the time
if day == 5:
return False
# On Sunday the market is closed before 5pm
if day == 6 and time < FX_METAL_OPEN_CLOSE_TIME:
if day == 6 and time < FX_OPEN_CLOSE_TIME:
return False
return True

if asset_type == "metal":
if date in METAL_HOLIDAYS and time < METAL_OPEN_CLOSE_TIME:
return False
# If the next day is a holiday, the market is closed at 5pm ET
if (
date + datetime.timedelta(days=1) in METAL_HOLIDAYS
) and time >= METAL_OPEN_CLOSE_TIME:
return False
if (
date in METAL_EARLY_HOLIDAYS
and time >= METAL_EARLY_CLOSE
and time < METAL_EARLY_CLOSE_OPEN
):
return False
# On Friday the market is closed after 5pm
if day == 4 and time >= METAL_OPEN_CLOSE_TIME:
return False
# On Saturday the market is closed all the time
if day == 5:
return False
# On Sunday the market is closed before 5pm
if day == 6 and time < METAL_OPEN_CLOSE_TIME:
return False
return True

if asset_type == "rates":
Expand Down Expand Up @@ -132,25 +180,62 @@ def get_next_market_open(asset_type: str, dt: datetime.datetime) -> int:
microsecond=0,
)
next_market_open += datetime.timedelta(days=1)
elif asset_type in ["fx", "metal"]:
if (dt.weekday() == 6 and time < FX_METAL_OPEN_CLOSE_TIME) or (
dt.date() in FX_METAL_HOLIDAYS and time < FX_METAL_OPEN_CLOSE_TIME
elif asset_type == "fx":
if (dt.weekday() == 6 and time < FX_OPEN_CLOSE_TIME) or (
dt.date() in FX_HOLIDAYS and time < FX_OPEN_CLOSE_TIME
):
next_market_open = dt.replace(
hour=FX_METAL_OPEN_CLOSE_TIME.hour,
minute=FX_METAL_OPEN_CLOSE_TIME.minute,
hour=FX_OPEN_CLOSE_TIME.hour,
minute=FX_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
else:
next_market_open = dt.replace(
hour=FX_METAL_OPEN_CLOSE_TIME.hour,
minute=FX_METAL_OPEN_CLOSE_TIME.minute,
hour=FX_OPEN_CLOSE_TIME.hour,
minute=FX_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
while is_market_open(asset_type, next_market_open):
next_market_open += datetime.timedelta(days=1)
elif asset_type == "metal":
if dt.date() in METAL_EARLY_HOLIDAYS and time < METAL_EARLY_CLOSE_OPEN:
next_market_open = dt.replace(
hour=METAL_EARLY_CLOSE_OPEN.hour,
minute=METAL_EARLY_CLOSE_OPEN.minute,
second=0,
microsecond=0,
)
elif dt.date() in METAL_EARLY_HOLIDAYS and time >= METAL_EARLY_CLOSE_OPEN:
next_market_open = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
next_market_open += datetime.timedelta(days=1)
while is_market_open(asset_type, next_market_open):
next_market_open += datetime.timedelta(days=1)
else:
if (dt.weekday() == 6 and time < METAL_OPEN_CLOSE_TIME) or (
dt.date() in METAL_HOLIDAYS and time < METAL_OPEN_CLOSE_TIME
):
next_market_open = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
else:
next_market_open = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
while is_market_open(asset_type, next_market_open):
next_market_open += datetime.timedelta(days=1)
elif asset_type == "rates":
if time < RATES_OPEN:
next_market_open = dt.replace(
Expand Down Expand Up @@ -244,10 +329,10 @@ def get_next_market_close(asset_type: str, dt: datetime.datetime) -> int:
):
next_market_close += datetime.timedelta(days=1)

elif asset_type in ["fx", "metal"]:
elif asset_type == "fx":
next_market_close = dt.replace(
hour=FX_METAL_OPEN_CLOSE_TIME.hour,
minute=FX_METAL_OPEN_CLOSE_TIME.minute,
hour=FX_OPEN_CLOSE_TIME.hour,
minute=FX_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
Expand All @@ -256,6 +341,36 @@ def get_next_market_close(asset_type: str, dt: datetime.datetime) -> int:
next_market_close += datetime.timedelta(days=1)
while is_market_open(asset_type, next_market_close):
next_market_close += datetime.timedelta(days=1)
elif asset_type == "metal":
if dt.date() in METAL_EARLY_HOLIDAYS and time < METAL_EARLY_CLOSE:
next_market_close = dt.replace(
hour=METAL_EARLY_CLOSE.hour,
minute=METAL_EARLY_CLOSE.minute,
second=0,
microsecond=0,
)
elif dt.date() in METAL_EARLY_HOLIDAYS and time >= METAL_EARLY_CLOSE:
next_market_close = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
next_market_close += datetime.timedelta(days=1)
while is_market_open(asset_type, next_market_close):
next_market_close += datetime.timedelta(days=1)
else:
next_market_close = dt.replace(
hour=METAL_OPEN_CLOSE_TIME.hour,
minute=METAL_OPEN_CLOSE_TIME.minute,
second=0,
microsecond=0,
)
if dt.weekday() != 4:
while not is_market_open(asset_type, next_market_close):
next_market_close += datetime.timedelta(days=1)
while is_market_open(asset_type, next_market_close):
next_market_close += datetime.timedelta(days=1)
elif asset_type == "rates":
if dt.date() in NYSE_EARLY_HOLIDAYS:
if time < NYSE_EARLY_CLOSE:
Expand Down
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