Add `.ib.venues` for mkt-venue-closure checkers
Introduce set of helper-fns for detecting venue open/close status, session start/end times, and related time-gap detection using `pendulum`. Deats, - add `iter_sessions()` to yield `pendulum.Interval`s from a `ContractDetails` instance. - add `is_venue_open()` to check if active at a given time. - add `is_venue_closure()` to detect valid closure gaps. - add `sesh_times()` to extract weekday-agnostic open/close times. - add `has_weekend()` to check for Sat/Sun in interval. - move in lowlevel `is_current_time_in_range()` for checking a datetime within a `sesh: pendulum.Interval`. (this commit msg was generated in some part by [`claude-code`][claude-code-gh]) [claude-code-gh]: https://github.com/anthropics/claude-codecont_hist_fixes
parent
ef3309adf9
commit
77518f0758
|
|
@ -0,0 +1,151 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
|
||||
# This program is free software: you can redistribute it and/or modify
|
||||
# it under the terms of the GNU Affero General Public License as published by
|
||||
# the Free Software Foundation, either version 3 of the License, or
|
||||
# (at your option) any later version.
|
||||
|
||||
# This program is distributed in the hope that it will be useful,
|
||||
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
# GNU Affero General Public License for more details.
|
||||
|
||||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
'''
|
||||
(Multi-)venue mgmt helpers.
|
||||
|
||||
IB generally supports all "legacy" trading venues, those mostly owned
|
||||
by ICE and friends.
|
||||
|
||||
'''
|
||||
from __future__ import annotations
|
||||
from datetime import ( # noqa
|
||||
datetime,
|
||||
date,
|
||||
tzinfo as TzInfo,
|
||||
)
|
||||
from typing import (
|
||||
Iterator,
|
||||
TYPE_CHECKING,
|
||||
)
|
||||
|
||||
from pendulum import (
|
||||
now,
|
||||
Duration,
|
||||
Interval,
|
||||
Time,
|
||||
)
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ib_insync import (
|
||||
TradingSession,
|
||||
ContractDetails,
|
||||
)
|
||||
|
||||
|
||||
def has_weekend(
|
||||
period: Interval,
|
||||
) -> bool:
|
||||
has_weekend: bool = False
|
||||
for dt in period:
|
||||
if dt.day_of_week in [0, 6]: # 0=Sunday, 6=Saturday
|
||||
has_weekend = True
|
||||
break
|
||||
|
||||
return has_weekend
|
||||
|
||||
|
||||
def is_current_time_in_range(
|
||||
sesh: Interval,
|
||||
when: datetime|None = None,
|
||||
) -> bool:
|
||||
'''
|
||||
Check if current time is within the datetime range.
|
||||
|
||||
Use any/the-same timezone as provided by `start_dt.tzinfo` value
|
||||
in the range.
|
||||
|
||||
'''
|
||||
when: datetime = when or now()
|
||||
return when in sesh
|
||||
|
||||
|
||||
def iter_sessions(
|
||||
con_deats: ContractDetails,
|
||||
) -> Iterator[Interval]:
|
||||
'''
|
||||
Yield `pendulum.Interval`s for all
|
||||
`ibas.ContractDetails.tradingSessions() -> TradingSession`s.
|
||||
|
||||
'''
|
||||
sesh: TradingSession
|
||||
for sesh in con_deats.tradingSessions():
|
||||
yield Interval(*sesh)
|
||||
|
||||
|
||||
def sesh_times(
|
||||
con_deats: ContractDetails,
|
||||
) -> tuple[Time, Time]:
|
||||
'''
|
||||
Based on the earliest trading session provided by the IB API,
|
||||
get the (day-agnostic) times for the start/end.
|
||||
|
||||
'''
|
||||
earliest_sesh: Interval = next(iter_sessions(con_deats))
|
||||
return (
|
||||
earliest_sesh.start.time(),
|
||||
earliest_sesh.end.time(),
|
||||
)
|
||||
# ^?TODO, use `.diff()` to get point-in-time-agnostic period?
|
||||
# https://pendulum.eustace.io/docs/#difference
|
||||
|
||||
|
||||
def is_venue_open(
|
||||
con_deats: ContractDetails,
|
||||
when: datetime|Duration|None = None,
|
||||
) -> bool:
|
||||
'''
|
||||
Check if market-venue is open during `when`, which defaults to
|
||||
"now".
|
||||
|
||||
'''
|
||||
sesh: Interval
|
||||
for sesh in iter_sessions(con_deats):
|
||||
if is_current_time_in_range(
|
||||
sesh=sesh,
|
||||
when=when,
|
||||
):
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
|
||||
def is_venue_closure(
|
||||
gap: Interval,
|
||||
con_deats: ContractDetails,
|
||||
) -> bool:
|
||||
'''
|
||||
Check if a provided time-`gap` is just an (expected) trading
|
||||
venue closure period.
|
||||
|
||||
'''
|
||||
open: Time
|
||||
close: Time
|
||||
open, close = sesh_times(con_deats)
|
||||
# TODO! ensure this works!
|
||||
# breakpoint()
|
||||
if (
|
||||
(
|
||||
gap.start.time() == close
|
||||
and
|
||||
gap.end.time() == open
|
||||
)
|
||||
or
|
||||
has_weekend(gap)
|
||||
):
|
||||
return True
|
||||
|
||||
return False
|
||||
Loading…
Reference in New Issue