add calendar for pyth market hours (#31)

* add calendar for pyth market hours

* add get_next_market_open

Author: cctdaniel

pythclient/calendar.py

@@ -0,0 +1,120 @@
+import datetime
+
+import pytz
+
+TZ = pytz.timezone("America/New_York")
+
+EQUITY_OPEN = datetime.time(9, 30, 0, tzinfo=TZ)
+EQUITY_CLOSE = datetime.time(16, 0, 0, tzinfo=TZ)
+EQUITY_EARLY_CLOSE = datetime.time(13, 0, 0, tzinfo=TZ)
+
+# EQUITY_HOLIDAYS and EQUITY_EARLY_HOLIDAYS will need to be updated each year
+# From https://www.nyse.com/markets/hours-calendars
+EQUITY_HOLIDAYS = [
+    datetime.datetime(2023, 1, 2, tzinfo=TZ).date(),
+    datetime.datetime(2023, 1, 16, tzinfo=TZ).date(),
+    datetime.datetime(2023, 2, 20, tzinfo=TZ).date(),
+    datetime.datetime(2023, 4, 7, tzinfo=TZ).date(),
+    datetime.datetime(2023, 5, 29, tzinfo=TZ).date(),
+    datetime.datetime(2023, 6, 19, tzinfo=TZ).date(),
+    datetime.datetime(2023, 7, 4, tzinfo=TZ).date(),
+    datetime.datetime(2022, 9, 4, tzinfo=TZ).date(),
+    datetime.datetime(2023, 11, 23, tzinfo=TZ).date(),
+    datetime.datetime(2023, 12, 25, tzinfo=TZ).date(),
+]
+EQUITY_EARLY_HOLIDAYS = [
+    datetime.datetime(2023, 7, 3, tzinfo=TZ).date(),
+    datetime.datetime(2023, 11, 24, tzinfo=TZ).date(),
+]
+
+FX_METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=TZ)
+
+# FX_METAL_HOLIDAYS will need to be updated each year
+# From https://www.cboe.com/about/hours/fx/
+FX_METAL_HOLIDAYS = [
+    datetime.datetime(2023, 1, 1, tzinfo=TZ).date(),
+    datetime.datetime(2023, 12, 25, tzinfo=TZ).date(),
+]
+
+
+def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
+    day, date, time = dt.weekday(), dt.date(), dt.time()
+
+    if asset_type == "equity":
+        if date in EQUITY_HOLIDAYS or date in EQUITY_EARLY_HOLIDAYS:
+            if (
+                date in EQUITY_EARLY_HOLIDAYS
+                and time >= EQUITY_OPEN
+                and time <= EQUITY_EARLY_CLOSE
+            ):
+                return True
+            return False
+        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:
+            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:
+            return False
+
+        return True
+
+    # all other markets (crypto)
+    return True
+
+
+def get_next_market_open(asset_type: str, dt: datetime.datetime) -> str:
+    time = dt.time()
+
+    if is_market_open(asset_type, dt):
+        return dt.astimezone(pytz.UTC).strftime("%Y-%m-%dT%H:%M:%S") + "Z"
+
+    if asset_type == "equity":
+        if time < EQUITY_OPEN:
+            next_market_open = dt.replace(
+                hour=EQUITY_OPEN.hour,
+                minute=EQUITY_OPEN.minute,
+                second=0,
+                microsecond=0,
+            )
+        else:
+            next_market_open = dt.replace(
+                hour=EQUITY_OPEN.hour,
+                minute=EQUITY_OPEN.minute,
+                second=0,
+                microsecond=0,
+            )
+            next_market_open += datetime.timedelta(days=1)
+    elif asset_type in ["fx", "metal"]:
+        if time < FX_METAL_OPEN_CLOSE_TIME:
+            next_market_open = dt.replace(
+                hour=FX_METAL_OPEN_CLOSE_TIME.hour,
+                minute=FX_METAL_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,
+                second=0,
+                microsecond=0,
+            )
+            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)
+
+    while not is_market_open(asset_type, next_market_open):
+        next_market_open += datetime.timedelta(days=1)
+
+    return next_market_open.astimezone(pytz.UTC).strftime("%Y-%m-%dT%H:%M:%S") + "Z"

setup.py

@@ -1,13 +1,13 @@
 from setuptools import setup
 
-requirements = ['aiodns', 'aiohttp>=3.7.4', 'backoff', 'base58', 'dnspython', 'flake8', 'loguru', 'typing-extensions']
+requirements = ['aiodns', 'aiohttp>=3.7.4', 'backoff', 'base58', 'dnspython', 'flake8', 'loguru', 'typing-extensions', 'pytz']
 
 with open('README.md', 'r', encoding='utf-8') as fh:
     long_description = fh.read()
 
 setup(
     name='pythclient',
-    version='0.1.4',
+    version='0.1.5',
     packages=['pythclient'],
     author='Pyth Developers',
     author_email='[email protected]',