fix get_next_market_open/close (#33)

* fix get_next_market_open/close logic

* bump

* crypto return none for next market open

* add unit tests and fix logic

* update python dep to 3.9

* update pytest to 3.9

.github/workflows/pytest.yml

@@ -8,7 +8,7 @@ jobs:
  runs-on: ubuntu-latest
  strategy:
  matrix:
- python-version: ["3.7", "3.8", "3.9"]
+ python-version: ["3.9"]
 
  steps:
  - uses: actions/checkout@v2

pythclient/calendar.py

@@ -47,19 +47,19 @@ def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
  if (
  date in EQUITY_EARLY_HOLIDAYS
  and time >= EQUITY_OPEN
- and time <= EQUITY_EARLY_CLOSE
+ and time < EQUITY_EARLY_CLOSE
  ):
  return True
  return False
- if day < 5 and time >= EQUITY_OPEN and time <= EQUITY_CLOSE:
+ if day < 5 and time >= EQUITY_OPEN and time < EQUITY_CLOSE:
  return True
  return False
 
  if asset_type in ["fx", "metal"]:
  if date in FX_METAL_HOLIDAYS:
  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_METAL_OPEN_CLOSE_TIME:
  return False
  # On Saturday the market is closed all the time
  if day == 5:
@@ -79,9 +79,6 @@ def get_next_market_open(asset_type: str, dt: datetime.datetime) -> str:
  dt = dt.astimezone(NY_TZ)
  time = dt.time()
 
- if is_market_open(asset_type, dt):
- return dt.astimezone(UTC_TZ).strftime("%Y-%m-%dT%H:%M:%S") + "Z"
-
  if asset_type == "equity":
  if time < EQUITY_OPEN:
  next_market_open = dt.replace(
@@ -113,30 +110,53 @@ def get_next_market_open(asset_type: str, dt: datetime.datetime) -> str:
  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:
- next_market_open = dt.replace(hour=0, minute=0, second=0, microsecond=0)
- next_market_open += datetime.timedelta(days=1)
+ return None
 
  while not is_market_open(asset_type, next_market_open):
  next_market_open += datetime.timedelta(days=1)
 
  return next_market_open.astimezone(UTC_TZ).strftime("%Y-%m-%dT%H:%M:%S") + "Z"
 
+
 def get_next_market_close(asset_type: str, dt: datetime.datetime) -> str:
  # make sure time is in NY timezone
  dt = dt.astimezone(NY_TZ)
- if not is_market_open(asset_type, dt):
- return dt.astimezone(UTC_TZ).strftime("%Y-%m-%dT%H:%M:%S") + "Z"
+ time = dt.time()
 
  if asset_type == "equity":
  if dt.date() in EQUITY_EARLY_HOLIDAYS:
-
- next_market_close = dt.replace(
- hour=EQUITY_EARLY_CLOSE.hour,
- minute=EQUITY_EARLY_CLOSE.minute,
- second=0,
- microsecond=0,
+ if time < EQUITY_EARLY_CLOSE:
+ next_market_close = dt.replace(
+ hour=EQUITY_EARLY_CLOSE.hour,
+ minute=EQUITY_EARLY_CLOSE.minute,
+ second=0,
+ microsecond=0,
+ )
+ else:
+ next_market_close = dt.replace(
+ hour=EQUITY_CLOSE.hour,
+ minute=EQUITY_CLOSE.minute,
+ second=0,
+ microsecond=0,
+ )
+ next_market_close += datetime.timedelta(days=1)
+ elif dt.date() in EQUITY_HOLIDAYS:
+ next_market_open = get_next_market_open(
+ asset_type, dt + datetime.timedelta(days=1)
+ )
+ next_market_close = (
+ datetime.datetime.fromisoformat(next_market_open.replace("Z", "+00:00"))
+ .astimezone(NY_TZ)
+ .replace(
+ hour=EQUITY_CLOSE.hour,
+ minute=EQUITY_CLOSE.minute,
+ second=0,
+ microsecond=0,
+ )
  )
  else:
  next_market_close = dt.replace(
@@ -145,14 +165,28 @@ def get_next_market_close(asset_type: str, dt: datetime.datetime) -> str:
  second=0,
  microsecond=0,
  )
+ if time >= EQUITY_CLOSE:
+ next_market_close += datetime.timedelta(days=1)
+
+ # while next_market_close.date() is in EQUITY_HOLIDAYS or weekend, add 1 day
+ while (
+ next_market_close.date() in EQUITY_HOLIDAYS
+ or next_market_close.weekday() >= 5
+ ):
+ next_market_close += datetime.timedelta(days=1)
+
  elif asset_type in ["fx", "metal"]:
  next_market_close = dt.replace(
  hour=FX_METAL_OPEN_CLOSE_TIME.hour,
  minute=FX_METAL_OPEN_CLOSE_TIME.minute,
  second=0,
  microsecond=0,
  )
- else: # crypto markets never close
+ 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)
+ else: # crypto markets never close
  return None
 
  return next_market_close.astimezone(UTC_TZ).strftime("%Y-%m-%dT%H:%M:%S") + "Z"

setup.py

@@ -7,7 +7,7 @@
 
 setup(
  name='pythclient',
- version='0.1.6',
+ version='0.1.7',
  packages=['pythclient'],
  author='Pyth Developers',
  author_email='contact@pyth.network',
@@ -28,5 +28,5 @@
  'testing': requirements + ['mock', 'pytest', 'pytest-cov', 'pytest-socket',
  'pytest-mock', 'pytest-asyncio'],
  },
- python_requires='>=3.7.0',
+ python_requires='>=3.9.0',
 )