sequence tweaks, removing market hours anything
Will Charczuk
parent
1a09989055
commit
0e849b11bb
11
Makefile
11
Makefile
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@ -1,5 +1,9 @@
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all: test
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tools:
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@go get -u github.com/blend/go-sdk/_bin/coverage
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@go get -u github.com/blend/go-sdk/_bin/profanity
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test:
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@go test ./...
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@ -8,9 +12,4 @@ profanity:
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@profanity -include="*.go,Makefile,README.md"
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cover:
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@go test -short -covermode=set -coverprofile=profile.cov
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@go tool cover -html=profile.cov
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@rm profile.cov
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deps:
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@go get -u github.com/blend/go-sdk/_bin/profanity
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@coverage
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@ -0,0 +1,42 @@
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package chart
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// LinearCoefficientProvider is a type that returns linear cofficients.
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type LinearCoefficientProvider interface {
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Coefficients() (m, b, stdev, avg float64)
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}
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// LinearCoefficients returns a fixed linear coefficient pair.
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func LinearCoefficients(m, b float64) LinearCoefficientSet {
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return LinearCoefficientSet{
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M: m,
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B: b,
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}
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}
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// NormalizedLinearCoefficients returns a fixed linear coefficient pair.
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func NormalizedLinearCoefficients(m, b, stdev, avg float64) LinearCoefficientSet {
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return LinearCoefficientSet{
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M: m,
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B: b,
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StdDev: stdev,
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Avg: avg,
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}
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}
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// LinearCoefficientSet is the m and b values for the linear equation in the form:
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// y = (m*x) + b
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type LinearCoefficientSet struct {
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M float64
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B float64
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StdDev float64
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Avg float64
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}
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// Coefficients returns the coefficients.
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func (lcs LinearCoefficientSet) Coefficients() (m, b, stdev, avg float64) {
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m = lcs.M
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b = lcs.B
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stdev = lcs.StdDev
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avg = lcs.Avg
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return
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}
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@ -9,9 +9,10 @@ import (
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// Interface Assertions.
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var (
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_ Series = (*LinearRegressionSeries)(nil)
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_ FirstValuesProvider = (*LinearRegressionSeries)(nil)
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_ LastValuesProvider = (*LinearRegressionSeries)(nil)
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_ Series = (*LinearRegressionSeries)(nil)
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_ FirstValuesProvider = (*LinearRegressionSeries)(nil)
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_ LastValuesProvider = (*LinearRegressionSeries)(nil)
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_ LinearCoefficientProvider = (*LinearRegressionSeries)(nil)
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)
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// LinearRegressionSeries is a series that plots the n-nearest neighbors
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@ -31,6 +32,19 @@ type LinearRegressionSeries struct {
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stddevx float64
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}
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// Coefficients returns the linear coefficients for the series.
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func (lrs LinearRegressionSeries) Coefficients() (m, b, stdev, avg float64) {
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if lrs.IsZero() {
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lrs.computeCoefficients()
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}
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m = lrs.m
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b = lrs.b
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stdev = lrs.stddevx
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avg = lrs.avgx
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return
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}
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// GetName returns the name of the time series.
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func (lrs LinearRegressionSeries) GetName() string {
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return lrs.Name
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@ -79,7 +93,7 @@ func (lrs *LinearRegressionSeries) GetValues(index int) (x, y float64) {
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if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 {
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return
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}
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if lrs.m == 0 && lrs.b == 0 {
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if lrs.IsZero() {
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lrs.computeCoefficients()
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}
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offset := lrs.GetOffset()
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@ -94,7 +108,7 @@ func (lrs *LinearRegressionSeries) GetFirstValues() (x, y float64) {
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if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 {
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return
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}
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if lrs.m == 0 && lrs.b == 0 {
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if lrs.IsZero() {
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lrs.computeCoefficients()
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}
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x, y = lrs.InnerSeries.GetValues(0)
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@ -107,7 +121,7 @@ func (lrs *LinearRegressionSeries) GetLastValues() (x, y float64) {
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if lrs.InnerSeries == nil || lrs.InnerSeries.Len() == 0 {
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return
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}
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if lrs.m == 0 && lrs.b == 0 {
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if lrs.IsZero() {
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lrs.computeCoefficients()
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}
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endIndex := lrs.GetEndIndex()
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@ -116,6 +130,29 @@ func (lrs *LinearRegressionSeries) GetLastValues() (x, y float64) {
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return
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}
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// Render renders the series.
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func (lrs *LinearRegressionSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
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style := lrs.Style.InheritFrom(defaults)
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Draw.LineSeries(r, canvasBox, xrange, yrange, style, lrs)
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}
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// Validate validates the series.
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func (lrs *LinearRegressionSeries) Validate() error {
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if lrs.InnerSeries == nil {
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return fmt.Errorf("linear regression series requires InnerSeries to be set")
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}
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return nil
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}
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// IsZero returns if we've computed the coefficients or not.
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func (lrs *LinearRegressionSeries) IsZero() bool {
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return lrs.m == 0 && lrs.b == 0
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}
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//
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// internal helpers
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//
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func (lrs *LinearRegressionSeries) normalize(xvalue float64) float64 {
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return (xvalue - lrs.avgx) / lrs.stddevx
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}
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@ -151,17 +188,3 @@ func (lrs *LinearRegressionSeries) computeCoefficients() {
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lrs.m = (p*sumxy - sumx*sumy) / (p*sumxx - sumx*sumx)
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lrs.b = (sumy / p) - (lrs.m * sumx / p)
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}
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// Render renders the series.
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func (lrs *LinearRegressionSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
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style := lrs.Style.InheritFrom(defaults)
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Draw.LineSeries(r, canvasBox, xrange, yrange, style, lrs)
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}
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// Validate validates the series.
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func (lrs *LinearRegressionSeries) Validate() error {
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if lrs.InnerSeries == nil {
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return fmt.Errorf("linear regression series requires InnerSeries to be set")
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}
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return nil
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}
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@ -0,0 +1,119 @@
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package chart
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import (
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"fmt"
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)
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// Interface Assertions.
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var (
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_ Series = (*LinearSeries)(nil)
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_ FirstValuesProvider = (*LinearSeries)(nil)
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_ LastValuesProvider = (*LinearSeries)(nil)
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)
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// LinearSeries is a series that plots a line in a given domain.
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type LinearSeries struct {
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Name string
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Style Style
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YAxis YAxisType
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XValues []float64
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InnerSeries LinearCoefficientProvider
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m float64
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b float64
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stdev float64
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avg float64
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}
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// GetName returns the name of the time series.
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func (ls LinearSeries) GetName() string {
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return ls.Name
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}
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// GetStyle returns the line style.
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func (ls LinearSeries) GetStyle() Style {
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return ls.Style
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}
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// GetYAxis returns which YAxis the series draws on.
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func (ls LinearSeries) GetYAxis() YAxisType {
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return ls.YAxis
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}
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// Len returns the number of elements in the series.
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func (ls LinearSeries) Len() int {
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return len(ls.XValues)
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}
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// GetEndIndex returns the effective limit end.
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func (ls LinearSeries) GetEndIndex() int {
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return len(ls.XValues) - 1
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}
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// GetValues gets a value at a given index.
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func (ls *LinearSeries) GetValues(index int) (x, y float64) {
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if ls.InnerSeries == nil || len(ls.XValues) == 0 {
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return
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}
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if ls.IsZero() {
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ls.computeCoefficients()
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}
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x = ls.XValues[index]
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y = (ls.m * ls.normalize(x)) + ls.b
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return
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}
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// GetFirstValues computes the first linear regression value.
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func (ls *LinearSeries) GetFirstValues() (x, y float64) {
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if ls.InnerSeries == nil || len(ls.XValues) == 0 {
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return
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}
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if ls.IsZero() {
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ls.computeCoefficients()
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}
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x, y = ls.GetValues(0)
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return
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}
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// GetLastValues computes the last linear regression value.
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func (ls *LinearSeries) GetLastValues() (x, y float64) {
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if ls.InnerSeries == nil || len(ls.XValues) == 0 {
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return
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}
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if ls.IsZero() {
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ls.computeCoefficients()
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}
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x, y = ls.GetValues(ls.GetEndIndex())
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return
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}
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// Render renders the series.
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func (ls *LinearSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
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Draw.LineSeries(r, canvasBox, xrange, yrange, ls.Style.InheritFrom(defaults), ls)
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}
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// Validate validates the series.
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func (ls LinearSeries) Validate() error {
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if ls.InnerSeries == nil {
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return fmt.Errorf("linear regression series requires InnerSeries to be set")
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}
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return nil
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}
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// IsZero returns if the linear series has computed coefficients or not.
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func (ls LinearSeries) IsZero() bool {
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return ls.m == 0 && ls.b == 0
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}
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// computeCoefficients computes the `m` and `b` terms in the linear formula given by `y = mx+b`.
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func (ls *LinearSeries) computeCoefficients() {
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ls.m, ls.b, ls.stdev, ls.avg = ls.InnerSeries.Coefficients()
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}
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func (ls *LinearSeries) normalize(xvalue float64) float64 {
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if ls.avg > 0 && ls.stdev > 0 {
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return (xvalue - ls.avg) / ls.stdev
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}
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return xvalue
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}
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@ -1,195 +0,0 @@
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package chart
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import (
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"fmt"
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"time"
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"github.com/wcharczuk/go-chart/seq"
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"github.com/wcharczuk/go-chart/util"
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)
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// MarketHoursRange is a special type of range that compresses a time range into just the
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// market (i.e. NYSE operating hours and days) range.
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type MarketHoursRange struct {
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Min time.Time
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Max time.Time
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MarketOpen time.Time
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MarketClose time.Time
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HolidayProvider util.HolidayProvider
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ValueFormatter ValueFormatter
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Descending bool
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Domain int
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}
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// IsDescending returns if the range is descending.
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func (mhr MarketHoursRange) IsDescending() bool {
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return mhr.Descending
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}
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// GetTimezone returns the timezone for the market hours range.
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func (mhr MarketHoursRange) GetTimezone() *time.Location {
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return mhr.GetMarketOpen().Location()
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}
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// IsZero returns if the range is setup or not.
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func (mhr MarketHoursRange) IsZero() bool {
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return mhr.Min.IsZero() && mhr.Max.IsZero()
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}
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// GetMin returns the min value.
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func (mhr MarketHoursRange) GetMin() float64 {
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return util.Time.ToFloat64(mhr.Min)
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}
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// GetMax returns the max value.
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func (mhr MarketHoursRange) GetMax() float64 {
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return util.Time.ToFloat64(mhr.GetEffectiveMax())
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}
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// GetEffectiveMax gets either the close on the max, or the max itself.
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func (mhr MarketHoursRange) GetEffectiveMax() time.Time {
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maxClose := util.Date.On(mhr.MarketClose, mhr.Max)
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if maxClose.After(mhr.Max) {
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return maxClose
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}
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return mhr.Max
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}
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// SetMin sets the min value.
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func (mhr *MarketHoursRange) SetMin(min float64) {
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mhr.Min = util.Time.FromFloat64(min)
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mhr.Min = mhr.Min.In(mhr.GetTimezone())
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}
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// SetMax sets the max value.
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func (mhr *MarketHoursRange) SetMax(max float64) {
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mhr.Max = util.Time.FromFloat64(max)
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mhr.Max = mhr.Max.In(mhr.GetTimezone())
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}
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// GetDelta gets the delta.
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func (mhr MarketHoursRange) GetDelta() float64 {
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min := mhr.GetMin()
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max := mhr.GetMax()
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return max - min
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}
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// GetDomain gets the domain.
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func (mhr MarketHoursRange) GetDomain() int {
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return mhr.Domain
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}
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// SetDomain sets the domain.
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func (mhr *MarketHoursRange) SetDomain(domain int) {
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mhr.Domain = domain
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}
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// GetHolidayProvider coalesces a userprovided holiday provider and the date.DefaultHolidayProvider.
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func (mhr MarketHoursRange) GetHolidayProvider() util.HolidayProvider {
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if mhr.HolidayProvider == nil {
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return func(_ time.Time) bool { return false }
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}
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return mhr.HolidayProvider
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}
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// GetMarketOpen returns the market open time.
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func (mhr MarketHoursRange) GetMarketOpen() time.Time {
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if mhr.MarketOpen.IsZero() {
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return util.NYSEOpen()
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}
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return mhr.MarketOpen
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}
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// GetMarketClose returns the market close time.
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func (mhr MarketHoursRange) GetMarketClose() time.Time {
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if mhr.MarketClose.IsZero() {
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return util.NYSEClose()
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}
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return mhr.MarketClose
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}
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// GetTicks returns the ticks for the range.
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// This is to override the default continous ticks that would be generated for the range.
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func (mhr *MarketHoursRange) GetTicks(r Renderer, defaults Style, vf ValueFormatter) []Tick {
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times := seq.Time.MarketHours(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
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timesWidth := mhr.measureTimes(r, defaults, vf, times)
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if timesWidth <= mhr.Domain {
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return mhr.makeTicks(vf, times)
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}
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times = seq.Time.MarketHourQuarters(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
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timesWidth = mhr.measureTimes(r, defaults, vf, times)
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if timesWidth <= mhr.Domain {
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return mhr.makeTicks(vf, times)
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}
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times = seq.Time.MarketDayCloses(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
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timesWidth = mhr.measureTimes(r, defaults, vf, times)
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if timesWidth <= mhr.Domain {
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return mhr.makeTicks(vf, times)
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}
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times = seq.Time.MarketDayAlternateCloses(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
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timesWidth = mhr.measureTimes(r, defaults, vf, times)
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if timesWidth <= mhr.Domain {
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return mhr.makeTicks(vf, times)
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}
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times = seq.Time.MarketDayMondayCloses(mhr.Min, mhr.Max, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
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timesWidth = mhr.measureTimes(r, defaults, vf, times)
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if timesWidth <= mhr.Domain {
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return mhr.makeTicks(vf, times)
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}
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return GenerateContinuousTicks(r, mhr, false, defaults, vf)
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}
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func (mhr *MarketHoursRange) measureTimes(r Renderer, defaults Style, vf ValueFormatter, times []time.Time) int {
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defaults.GetTextOptions().WriteToRenderer(r)
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var total int
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for index, t := range times {
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timeLabel := vf(t)
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labelBox := r.MeasureText(timeLabel)
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total += labelBox.Width()
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if index > 0 {
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total += DefaultMinimumTickHorizontalSpacing
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}
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}
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return total
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}
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func (mhr *MarketHoursRange) makeTicks(vf ValueFormatter, times []time.Time) []Tick {
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ticks := make([]Tick, len(times))
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for index, t := range times {
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ticks[index] = Tick{
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Value: util.Time.ToFloat64(t),
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Label: vf(t),
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}
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}
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return ticks
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}
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func (mhr MarketHoursRange) String() string {
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return fmt.Sprintf("MarketHoursRange [%s, %s] => %d", mhr.Min.Format(time.RFC3339), mhr.Max.Format(time.RFC3339), mhr.Domain)
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}
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// Translate maps a given value into the ContinuousRange space.
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func (mhr MarketHoursRange) Translate(value float64) int {
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valueTime := util.Time.FromFloat64(value)
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valueTimeEastern := valueTime.In(util.Date.Eastern())
|
||||
totalSeconds := util.Date.CalculateMarketSecondsBetween(mhr.Min, mhr.GetEffectiveMax(), mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.HolidayProvider)
|
||||
valueDelta := util.Date.CalculateMarketSecondsBetween(mhr.Min, valueTimeEastern, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.HolidayProvider)
|
||||
translated := int((float64(valueDelta) / float64(totalSeconds)) * float64(mhr.Domain))
|
||||
|
||||
if mhr.IsDescending() {
|
||||
return mhr.Domain - translated
|
||||
}
|
||||
|
||||
return translated
|
||||
}
|
||||
|
|
@ -1,73 +0,0 @@
|
|||
package chart
|
||||
|
||||
import (
|
||||
"testing"
|
||||
"time"
|
||||
|
||||
assert "github.com/blend/go-sdk/assert"
|
||||
"github.com/wcharczuk/go-chart/util"
|
||||
)
|
||||
|
||||
func TestMarketHoursRangeGetDelta(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
r := &MarketHoursRange{
|
||||
Min: time.Date(2016, 07, 19, 9, 30, 0, 0, util.Date.Eastern()),
|
||||
Max: time.Date(2016, 07, 22, 16, 00, 0, 0, util.Date.Eastern()),
|
||||
MarketOpen: util.NYSEOpen(),
|
||||
MarketClose: util.NYSEClose(),
|
||||
HolidayProvider: util.Date.IsNYSEHoliday,
|
||||
}
|
||||
|
||||
assert.NotZero(r.GetDelta())
|
||||
}
|
||||
|
||||
func TestMarketHoursRangeTranslate(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
r := &MarketHoursRange{
|
||||
Min: time.Date(2016, 07, 18, 9, 30, 0, 0, util.Date.Eastern()),
|
||||
Max: time.Date(2016, 07, 22, 16, 00, 0, 0, util.Date.Eastern()),
|
||||
MarketOpen: util.NYSEOpen(),
|
||||
MarketClose: util.NYSEClose(),
|
||||
HolidayProvider: util.Date.IsNYSEHoliday,
|
||||
Domain: 1000,
|
||||
}
|
||||
|
||||
weds := time.Date(2016, 07, 20, 9, 30, 0, 0, util.Date.Eastern())
|
||||
|
||||
assert.Equal(0, r.Translate(util.Time.ToFloat64(r.Min)))
|
||||
assert.Equal(400, r.Translate(util.Time.ToFloat64(weds)))
|
||||
assert.Equal(1000, r.Translate(util.Time.ToFloat64(r.Max)))
|
||||
}
|
||||
|
||||
func TestMarketHoursRangeGetTicks(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
r, err := PNG(1024, 1024)
|
||||
assert.Nil(err)
|
||||
|
||||
f, err := GetDefaultFont()
|
||||
assert.Nil(err)
|
||||
|
||||
defaults := Style{
|
||||
Font: f,
|
||||
FontSize: 10,
|
||||
FontColor: ColorBlack,
|
||||
}
|
||||
|
||||
ra := &MarketHoursRange{
|
||||
Min: util.Date.On(util.NYSEOpen(), util.Date.Date(2016, 07, 18, util.Date.Eastern())),
|
||||
Max: util.Date.On(util.NYSEClose(), util.Date.Date(2016, 07, 22, util.Date.Eastern())),
|
||||
MarketOpen: util.NYSEOpen(),
|
||||
MarketClose: util.NYSEClose(),
|
||||
HolidayProvider: util.Date.IsNYSEHoliday,
|
||||
Domain: 1024,
|
||||
}
|
||||
|
||||
ticks := ra.GetTicks(r, defaults, TimeValueFormatter)
|
||||
assert.NotEmpty(ticks)
|
||||
assert.Len(ticks, 5)
|
||||
assert.NotEqual(util.Time.ToFloat64(ra.Min), ticks[0].Value)
|
||||
assert.NotEmpty(ticks[0].Label)
|
||||
}
|
||||
127
seq/time.go
127
seq/time.go
|
|
@ -20,95 +20,6 @@ func (ts timeSequence) Days(days int) []time.Time {
|
|||
return values
|
||||
}
|
||||
|
||||
func (ts timeSequence) MarketHours(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
|
||||
var times []time.Time
|
||||
cursor := util.Date.On(marketOpen, from)
|
||||
toClose := util.Date.On(marketClose, to)
|
||||
for cursor.Before(toClose) || cursor.Equal(toClose) {
|
||||
todayOpen := util.Date.On(marketOpen, cursor)
|
||||
todayClose := util.Date.On(marketClose, cursor)
|
||||
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
|
||||
|
||||
if (cursor.Equal(todayOpen) || cursor.After(todayOpen)) && (cursor.Equal(todayClose) || cursor.Before(todayClose)) && isValidTradingDay {
|
||||
times = append(times, cursor)
|
||||
}
|
||||
if cursor.After(todayClose) {
|
||||
cursor = util.Date.NextMarketOpen(cursor, marketOpen, isHoliday)
|
||||
} else {
|
||||
cursor = util.Date.NextHour(cursor)
|
||||
}
|
||||
}
|
||||
return times
|
||||
}
|
||||
|
||||
func (ts timeSequence) MarketHourQuarters(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
|
||||
var times []time.Time
|
||||
cursor := util.Date.On(marketOpen, from)
|
||||
toClose := util.Date.On(marketClose, to)
|
||||
for cursor.Before(toClose) || cursor.Equal(toClose) {
|
||||
|
||||
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
|
||||
|
||||
if isValidTradingDay {
|
||||
todayOpen := util.Date.On(marketOpen, cursor)
|
||||
todayNoon := util.Date.NoonOn(cursor)
|
||||
today2pm := util.Date.On(util.Date.Time(14, 0, 0, 0, cursor.Location()), cursor)
|
||||
todayClose := util.Date.On(marketClose, cursor)
|
||||
times = append(times, todayOpen, todayNoon, today2pm, todayClose)
|
||||
}
|
||||
|
||||
cursor = util.Date.NextDay(cursor)
|
||||
}
|
||||
return times
|
||||
}
|
||||
|
||||
func (ts timeSequence) MarketDayCloses(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
|
||||
var times []time.Time
|
||||
cursor := util.Date.On(marketOpen, from)
|
||||
toClose := util.Date.On(marketClose, to)
|
||||
for cursor.Before(toClose) || cursor.Equal(toClose) {
|
||||
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
|
||||
if isValidTradingDay {
|
||||
todayClose := util.Date.On(marketClose, cursor)
|
||||
times = append(times, todayClose)
|
||||
}
|
||||
|
||||
cursor = util.Date.NextDay(cursor)
|
||||
}
|
||||
return times
|
||||
}
|
||||
|
||||
func (ts timeSequence) MarketDayAlternateCloses(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
|
||||
var times []time.Time
|
||||
cursor := util.Date.On(marketOpen, from)
|
||||
toClose := util.Date.On(marketClose, to)
|
||||
for cursor.Before(toClose) || cursor.Equal(toClose) {
|
||||
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
|
||||
if isValidTradingDay {
|
||||
todayClose := util.Date.On(marketClose, cursor)
|
||||
times = append(times, todayClose)
|
||||
}
|
||||
|
||||
cursor = cursor.AddDate(0, 0, 2)
|
||||
}
|
||||
return times
|
||||
}
|
||||
|
||||
func (ts timeSequence) MarketDayMondayCloses(from, to time.Time, marketOpen, marketClose time.Time, isHoliday util.HolidayProvider) []time.Time {
|
||||
var times []time.Time
|
||||
cursor := util.Date.On(marketClose, from)
|
||||
toClose := util.Date.On(marketClose, to)
|
||||
|
||||
for cursor.Equal(toClose) || cursor.Before(toClose) {
|
||||
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
|
||||
if isValidTradingDay {
|
||||
times = append(times, cursor)
|
||||
}
|
||||
cursor = util.Date.NextDayOfWeek(cursor, time.Monday)
|
||||
}
|
||||
return times
|
||||
}
|
||||
|
||||
func (ts timeSequence) Hours(start time.Time, totalHours int) []time.Time {
|
||||
times := make([]time.Time, totalHours)
|
||||
|
||||
|
|
@ -123,49 +34,17 @@ func (ts timeSequence) Hours(start time.Time, totalHours int) []time.Time {
|
|||
|
||||
// HoursFilled adds zero values for the data bounded by the start and end of the xdata array.
|
||||
func (ts timeSequence) HoursFilled(xdata []time.Time, ydata []float64) ([]time.Time, []float64) {
|
||||
start := Time.Start(xdata)
|
||||
end := Time.End(xdata)
|
||||
|
||||
totalHours := util.Math.AbsInt(util.Date.DiffHours(start, end))
|
||||
start, end := util.Time.StartAndEnd(xdata...)
|
||||
totalHours := util.Time.DiffHours(start, end)
|
||||
|
||||
finalTimes := ts.Hours(start, totalHours+1)
|
||||
finalValues := make([]float64, totalHours+1)
|
||||
|
||||
var hoursFromStart int
|
||||
for i, xd := range xdata {
|
||||
hoursFromStart = util.Date.DiffHours(start, xd)
|
||||
hoursFromStart = util.Time.DiffHours(start, xd)
|
||||
finalValues[hoursFromStart] = ydata[i]
|
||||
}
|
||||
|
||||
return finalTimes, finalValues
|
||||
}
|
||||
|
||||
// Start returns the earliest (min) time in a list of times.
|
||||
func (ts timeSequence) Start(times []time.Time) time.Time {
|
||||
if len(times) == 0 {
|
||||
return time.Time{}
|
||||
}
|
||||
|
||||
start := times[0]
|
||||
for _, t := range times[1:] {
|
||||
if t.Before(start) {
|
||||
start = t
|
||||
}
|
||||
}
|
||||
return start
|
||||
}
|
||||
|
||||
// Start returns the earliest (min) time in a list of times.
|
||||
func (ts timeSequence) End(times []time.Time) time.Time {
|
||||
if len(times) == 0 {
|
||||
return time.Time{}
|
||||
}
|
||||
|
||||
end := times[0]
|
||||
for _, t := range times[1:] {
|
||||
if t.After(end) {
|
||||
end = t
|
||||
}
|
||||
}
|
||||
return end
|
||||
}
|
||||
|
|
|
|||
|
|
@ -8,40 +8,13 @@ import (
|
|||
"github.com/wcharczuk/go-chart/util"
|
||||
)
|
||||
|
||||
func TestTimeMarketHours(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
today := time.Date(2016, 07, 01, 12, 0, 0, 0, util.Date.Eastern())
|
||||
mh := Time.MarketHours(today, today, util.NYSEOpen(), util.NYSEClose(), util.Date.IsNYSEHoliday)
|
||||
assert.Len(mh, 8)
|
||||
assert.Equal(util.Date.Eastern(), mh[0].Location())
|
||||
}
|
||||
|
||||
func TestTimeMarketHourQuarters(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
today := time.Date(2016, 07, 01, 12, 0, 0, 0, util.Date.Eastern())
|
||||
mh := Time.MarketHourQuarters(today, today, util.NYSEOpen(), util.NYSEClose(), util.Date.IsNYSEHoliday)
|
||||
assert.Len(mh, 4)
|
||||
assert.Equal(9, mh[0].Hour())
|
||||
assert.Equal(30, mh[0].Minute())
|
||||
assert.Equal(util.Date.Eastern(), mh[0].Location())
|
||||
|
||||
assert.Equal(12, mh[1].Hour())
|
||||
assert.Equal(00, mh[1].Minute())
|
||||
assert.Equal(util.Date.Eastern(), mh[1].Location())
|
||||
|
||||
assert.Equal(14, mh[2].Hour())
|
||||
assert.Equal(00, mh[2].Minute())
|
||||
assert.Equal(util.Date.Eastern(), mh[2].Location())
|
||||
}
|
||||
|
||||
func TestTimeHours(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
today := time.Date(2016, 07, 01, 12, 0, 0, 0, time.UTC)
|
||||
seq := Time.Hours(today, 24)
|
||||
|
||||
end := Time.End(seq)
|
||||
end := util.Time.End(seq...)
|
||||
assert.Len(seq, 24)
|
||||
assert.Equal(2016, end.Year())
|
||||
assert.Equal(07, int(end.Month()))
|
||||
|
|
@ -73,7 +46,7 @@ func TestSequenceHoursFill(t *testing.T) {
|
|||
}
|
||||
|
||||
filledTimes, filledValues := Time.HoursFilled(xdata, ydata)
|
||||
expected := util.Date.DiffHours(Time.Start(xdata), Time.End(xdata)) + 1
|
||||
expected := util.Time.DiffHours(util.Time.Start(xdata...), util.Time.End(xdata...)) + 1
|
||||
assert.Len(filledTimes, expected)
|
||||
assert.Equal(len(filledValues), len(filledTimes))
|
||||
|
||||
|
|
@ -94,7 +67,7 @@ func TestTimeStart(t *testing.T) {
|
|||
time.Now().AddDate(0, 0, -5),
|
||||
}
|
||||
|
||||
assert.InTimeDelta(Time.Start(times), times[4], time.Millisecond)
|
||||
assert.InTimeDelta(util.Time.Start(times...), times[4], time.Millisecond)
|
||||
}
|
||||
|
||||
func TestTimeEnd(t *testing.T) {
|
||||
|
|
@ -108,5 +81,5 @@ func TestTimeEnd(t *testing.T) {
|
|||
time.Now().AddDate(0, 0, -5),
|
||||
}
|
||||
|
||||
assert.InTimeDelta(Time.End(times), times[2], time.Millisecond)
|
||||
assert.InTimeDelta(util.Time.End(times...), times[2], time.Millisecond)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -0,0 +1,31 @@
|
|||
package seq
|
||||
|
||||
import (
|
||||
"time"
|
||||
|
||||
"github.com/wcharczuk/go-chart/util"
|
||||
)
|
||||
|
||||
// Assert types implement interfaces.
|
||||
var (
|
||||
_ Provider = (*Times)(nil)
|
||||
)
|
||||
|
||||
// Times are an array of times.
|
||||
// It wraps the array with methods that implement `seq.Provider`.
|
||||
type Times []time.Time
|
||||
|
||||
// Array returns the times to an array.
|
||||
func (t Times) Array() []time.Time {
|
||||
return []time.Time(t)
|
||||
}
|
||||
|
||||
// Len returns the length of the array.
|
||||
func (t Times) Len() int {
|
||||
return len(t)
|
||||
}
|
||||
|
||||
// GetValue returns a value at an index as a time.
|
||||
func (t Times) GetValue(index int) float64 {
|
||||
return util.Time.ToFloat64(t[index])
|
||||
}
|
||||
322
util/date.go
322
util/date.go
|
|
@ -1,7 +1,6 @@
|
|||
package util
|
||||
|
||||
import (
|
||||
"sync"
|
||||
"time"
|
||||
)
|
||||
|
||||
|
|
@ -45,192 +44,88 @@ var (
|
|||
Epoch = time.Unix(0, 0)
|
||||
)
|
||||
|
||||
var (
|
||||
_easternLock sync.Mutex
|
||||
_eastern *time.Location
|
||||
)
|
||||
|
||||
// NYSEOpen is when the NYSE opens.
|
||||
func NYSEOpen() time.Time { return Date.Time(9, 30, 0, 0, Date.Eastern()) }
|
||||
|
||||
// NYSEClose is when the NYSE closes.
|
||||
func NYSEClose() time.Time { return Date.Time(16, 0, 0, 0, Date.Eastern()) }
|
||||
|
||||
// NASDAQOpen is when NASDAQ opens.
|
||||
func NASDAQOpen() time.Time { return Date.Time(9, 30, 0, 0, Date.Eastern()) }
|
||||
|
||||
// NASDAQClose is when NASDAQ closes.
|
||||
func NASDAQClose() time.Time { return Date.Time(16, 0, 0, 0, Date.Eastern()) }
|
||||
|
||||
// NYSEArcaOpen is when NYSEARCA opens.
|
||||
func NYSEArcaOpen() time.Time { return Date.Time(4, 0, 0, 0, Date.Eastern()) }
|
||||
|
||||
// NYSEArcaClose is when NYSEARCA closes.
|
||||
func NYSEArcaClose() time.Time { return Date.Time(20, 0, 0, 0, Date.Eastern()) }
|
||||
|
||||
// HolidayProvider is a function that returns if a given time falls on a holiday.
|
||||
type HolidayProvider func(time.Time) bool
|
||||
|
||||
// defaultHolidayProvider implements `HolidayProvider` and just returns false.
|
||||
func defaultHolidayProvider(_ time.Time) bool { return false }
|
||||
|
||||
var (
|
||||
// Date contains utility functions that operate on dates.
|
||||
Date = &date{}
|
||||
)
|
||||
// Date contains utility functions that operate on dates.
|
||||
var Date date
|
||||
|
||||
type date struct{}
|
||||
|
||||
// IsNYSEHoliday returns if a date was/is on a nyse holiday day.
|
||||
func (d date) IsNYSEHoliday(t time.Time) bool {
|
||||
te := t.In(d.Eastern())
|
||||
if te.Year() == 2013 {
|
||||
if te.Month() == 1 {
|
||||
return te.Day() == 1 || te.Day() == 21
|
||||
} else if te.Month() == 2 {
|
||||
return te.Day() == 18
|
||||
} else if te.Month() == 3 {
|
||||
return te.Day() == 29
|
||||
} else if te.Month() == 5 {
|
||||
return te.Day() == 27
|
||||
} else if te.Month() == 7 {
|
||||
return te.Day() == 4
|
||||
} else if te.Month() == 9 {
|
||||
return te.Day() == 2
|
||||
} else if te.Month() == 11 {
|
||||
return te.Day() == 28
|
||||
} else if te.Month() == 12 {
|
||||
return te.Day() == 25
|
||||
}
|
||||
} else if te.Year() == 2014 {
|
||||
if te.Month() == 1 {
|
||||
return te.Day() == 1 || te.Day() == 20
|
||||
} else if te.Month() == 2 {
|
||||
return te.Day() == 17
|
||||
} else if te.Month() == 4 {
|
||||
return te.Day() == 18
|
||||
} else if te.Month() == 5 {
|
||||
return te.Day() == 26
|
||||
} else if te.Month() == 7 {
|
||||
return te.Day() == 4
|
||||
} else if te.Month() == 9 {
|
||||
return te.Day() == 1
|
||||
} else if te.Month() == 11 {
|
||||
return te.Day() == 27
|
||||
} else if te.Month() == 12 {
|
||||
return te.Day() == 25
|
||||
}
|
||||
} else if te.Year() == 2015 {
|
||||
if te.Month() == 1 {
|
||||
return te.Day() == 1 || te.Day() == 19
|
||||
} else if te.Month() == 2 {
|
||||
return te.Day() == 16
|
||||
} else if te.Month() == 4 {
|
||||
return te.Day() == 3
|
||||
} else if te.Month() == 5 {
|
||||
return te.Day() == 25
|
||||
} else if te.Month() == 7 {
|
||||
return te.Day() == 3
|
||||
} else if te.Month() == 9 {
|
||||
return te.Day() == 7
|
||||
} else if te.Month() == 11 {
|
||||
return te.Day() == 26
|
||||
} else if te.Month() == 12 {
|
||||
return te.Day() == 25
|
||||
}
|
||||
} else if te.Year() == 2016 {
|
||||
if te.Month() == 1 {
|
||||
return te.Day() == 1 || te.Day() == 18
|
||||
} else if te.Month() == 2 {
|
||||
return te.Day() == 15
|
||||
} else if te.Month() == 3 {
|
||||
return te.Day() == 25
|
||||
} else if te.Month() == 5 {
|
||||
return te.Day() == 30
|
||||
} else if te.Month() == 7 {
|
||||
return te.Day() == 4
|
||||
} else if te.Month() == 9 {
|
||||
return te.Day() == 5
|
||||
} else if te.Month() == 11 {
|
||||
return te.Day() == 24 || te.Day() == 25
|
||||
} else if te.Month() == 12 {
|
||||
return te.Day() == 26
|
||||
}
|
||||
} else if te.Year() == 2017 {
|
||||
if te.Month() == 1 {
|
||||
return te.Day() == 1 || te.Day() == 16
|
||||
} else if te.Month() == 2 {
|
||||
return te.Day() == 20
|
||||
} else if te.Month() == 4 {
|
||||
return te.Day() == 15
|
||||
} else if te.Month() == 5 {
|
||||
return te.Day() == 29
|
||||
} else if te.Month() == 7 {
|
||||
return te.Day() == 4
|
||||
} else if te.Month() == 9 {
|
||||
return te.Day() == 4
|
||||
} else if te.Month() == 11 {
|
||||
return te.Day() == 23
|
||||
} else if te.Month() == 12 {
|
||||
return te.Day() == 25
|
||||
}
|
||||
} else if te.Year() == 2018 {
|
||||
if te.Month() == 1 {
|
||||
return te.Day() == 1 || te.Day() == 15
|
||||
} else if te.Month() == 2 {
|
||||
return te.Day() == 19
|
||||
} else if te.Month() == 3 {
|
||||
return te.Day() == 30
|
||||
} else if te.Month() == 5 {
|
||||
return te.Day() == 28
|
||||
} else if te.Month() == 7 {
|
||||
return te.Day() == 4
|
||||
} else if te.Month() == 9 {
|
||||
return te.Day() == 3
|
||||
} else if te.Month() == 11 {
|
||||
return te.Day() == 22
|
||||
} else if te.Month() == 12 {
|
||||
return te.Day() == 25
|
||||
func (d date) MustEastern() *time.Location {
|
||||
if eastern, err := d.Eastern(); err != nil {
|
||||
panic(err)
|
||||
} else {
|
||||
return eastern
|
||||
}
|
||||
}
|
||||
|
||||
// Eastern returns the eastern timezone.
|
||||
func (d date) Eastern() (*time.Location, error) {
|
||||
// Try POSIX
|
||||
est, err := time.LoadLocation("America/New_York")
|
||||
if err == nil {
|
||||
// Try Windows
|
||||
est, err = time.LoadLocation("EST")
|
||||
if err == nil {
|
||||
return nil, err
|
||||
}
|
||||
}
|
||||
return false
|
||||
return est, nil
|
||||
}
|
||||
|
||||
// IsNYSEArcaHoliday returns that returns if a given time falls on a holiday.
|
||||
func (d date) IsNYSEArcaHoliday(t time.Time) bool {
|
||||
return d.IsNYSEHoliday(t)
|
||||
func (d date) MustPacific() *time.Location {
|
||||
if pst, err := d.Pacific(); err != nil {
|
||||
panic(err)
|
||||
} else {
|
||||
return pst
|
||||
}
|
||||
}
|
||||
|
||||
// IsNASDAQHoliday returns if a date was a NASDAQ holiday day.
|
||||
func (d date) IsNASDAQHoliday(t time.Time) bool {
|
||||
return d.IsNYSEHoliday(t)
|
||||
// Pacific returns the pacific timezone.
|
||||
func (d date) Pacific() (*time.Location, error) {
|
||||
// Try POSIX
|
||||
pst, err := time.LoadLocation("America/Los_Angeles")
|
||||
if err == nil {
|
||||
// Try Windows
|
||||
pst, err = time.LoadLocation("PST")
|
||||
if err == nil {
|
||||
return nil, err
|
||||
}
|
||||
}
|
||||
return pst, nil
|
||||
}
|
||||
|
||||
// TimeUTC returns a new time.Time for the given clock components in UTC.
|
||||
// It is meant to be used with the `OnDate` function.
|
||||
func (d date) TimeUTC(hour, min, sec, nsec int) time.Time {
|
||||
return time.Date(0, 0, 0, hour, min, sec, nsec, time.UTC)
|
||||
}
|
||||
|
||||
// Time returns a new time.Time for the given clock components.
|
||||
// It is meant to be used with the `OnDate` function.
|
||||
func (d date) Time(hour, min, sec, nsec int, loc *time.Location) time.Time {
|
||||
return time.Date(0, 0, 0, hour, min, sec, nsec, loc)
|
||||
}
|
||||
|
||||
// DateUTC returns a new time.Time for the given date comonents at (noon) in UTC.
|
||||
func (d date) DateUTC(year, month, day int) time.Time {
|
||||
return time.Date(year, time.Month(month), day, 12, 0, 0, 0, time.UTC)
|
||||
}
|
||||
|
||||
// DateUTC returns a new time.Time for the given date comonents at (noon) in a given location.
|
||||
func (d date) Date(year, month, day int, loc *time.Location) time.Time {
|
||||
return time.Date(year, time.Month(month), day, 12, 0, 0, 0, loc)
|
||||
}
|
||||
|
||||
// On returns the clock components of clock (hour,minute,second) on the date components of d.
|
||||
func (d date) On(clock, cd time.Time) time.Time {
|
||||
tzAdjusted := cd.In(clock.Location())
|
||||
// OnDate returns the clock components of clock (hour,minute,second) on the date components of d.
|
||||
func (d date) OnDate(clock, date time.Time) time.Time {
|
||||
tzAdjusted := date.In(clock.Location())
|
||||
return time.Date(tzAdjusted.Year(), tzAdjusted.Month(), tzAdjusted.Day(), clock.Hour(), clock.Minute(), clock.Second(), clock.Nanosecond(), clock.Location())
|
||||
}
|
||||
|
||||
// NoonOn is a shortcut for On(Time(12,0,0), cd) a.k.a. noon on a given date.
|
||||
func (d date) NoonOn(cd time.Time) time.Time {
|
||||
// NoonOnDate is a shortcut for On(Time(12,0,0), cd) a.k.a. noon on a given date.
|
||||
func (d date) NoonOnDate(cd time.Time) time.Time {
|
||||
return time.Date(cd.Year(), cd.Month(), cd.Day(), 12, 0, 0, 0, cd.Location())
|
||||
}
|
||||
|
||||
// Optional returns a pointer reference to a given time.
|
||||
func (d date) Optional(t time.Time) *time.Time {
|
||||
return &t
|
||||
}
|
||||
|
||||
// IsWeekDay returns if the day is a monday->friday.
|
||||
func (d date) IsWeekDay(day time.Weekday) bool {
|
||||
return !d.IsWeekendDay(day)
|
||||
|
|
@ -253,116 +148,11 @@ func (d date) Before(before, reference time.Time) bool {
|
|||
return tzAdjustedBefore.Year() == reference.Year() && tzAdjustedBefore.Month() == reference.Month() && tzAdjustedBefore.Day() < reference.Day()
|
||||
}
|
||||
|
||||
// NextMarketOpen returns the next market open after a given time.
|
||||
func (d date) NextMarketOpen(after, openTime time.Time, isHoliday HolidayProvider) time.Time {
|
||||
afterLocalized := after.In(openTime.Location())
|
||||
todaysOpen := d.On(openTime, afterLocalized)
|
||||
|
||||
if isHoliday == nil {
|
||||
isHoliday = defaultHolidayProvider
|
||||
}
|
||||
|
||||
todayIsValidTradingDay := d.IsWeekDay(todaysOpen.Weekday()) && !isHoliday(todaysOpen)
|
||||
|
||||
if (afterLocalized.Equal(todaysOpen) || afterLocalized.Before(todaysOpen)) && todayIsValidTradingDay {
|
||||
return todaysOpen
|
||||
}
|
||||
|
||||
for cursorDay := 1; cursorDay < 7; cursorDay++ {
|
||||
newDay := todaysOpen.AddDate(0, 0, cursorDay)
|
||||
isValidTradingDay := d.IsWeekDay(newDay.Weekday()) && !isHoliday(newDay)
|
||||
if isValidTradingDay {
|
||||
return d.On(openTime, newDay)
|
||||
}
|
||||
}
|
||||
panic("Have exhausted day window looking for next market open.")
|
||||
}
|
||||
|
||||
// NextMarketClose returns the next market close after a given time.
|
||||
func (d date) NextMarketClose(after, closeTime time.Time, isHoliday HolidayProvider) time.Time {
|
||||
afterLocalized := after.In(closeTime.Location())
|
||||
|
||||
if isHoliday == nil {
|
||||
isHoliday = defaultHolidayProvider
|
||||
}
|
||||
|
||||
todaysClose := d.On(closeTime, afterLocalized)
|
||||
if afterLocalized.Before(todaysClose) && d.IsWeekDay(todaysClose.Weekday()) && !isHoliday(todaysClose) {
|
||||
return todaysClose
|
||||
}
|
||||
|
||||
if afterLocalized.Equal(todaysClose) { //rare but it might happen.
|
||||
return todaysClose
|
||||
}
|
||||
|
||||
for cursorDay := 1; cursorDay < 6; cursorDay++ {
|
||||
newDay := todaysClose.AddDate(0, 0, cursorDay)
|
||||
if d.IsWeekDay(newDay.Weekday()) && !isHoliday(newDay) {
|
||||
return d.On(closeTime, newDay)
|
||||
}
|
||||
}
|
||||
panic("Have exhausted day window looking for next market close.")
|
||||
}
|
||||
|
||||
// CalculateMarketSecondsBetween calculates the number of seconds the market was open between two dates.
|
||||
func (d date) CalculateMarketSecondsBetween(start, end, marketOpen, marketClose time.Time, isHoliday HolidayProvider) (seconds int64) {
|
||||
startEastern := start.In(d.Eastern())
|
||||
endEastern := end.In(d.Eastern())
|
||||
|
||||
startMarketOpen := d.On(marketOpen, startEastern)
|
||||
startMarketClose := d.On(marketClose, startEastern)
|
||||
|
||||
if !d.IsWeekendDay(startMarketOpen.Weekday()) && !isHoliday(startMarketOpen) {
|
||||
if (startEastern.Equal(startMarketOpen) || startEastern.After(startMarketOpen)) && startEastern.Before(startMarketClose) {
|
||||
if endEastern.Before(startMarketClose) {
|
||||
seconds += int64(endEastern.Sub(startEastern) / time.Second)
|
||||
} else {
|
||||
seconds += int64(startMarketClose.Sub(startEastern) / time.Second)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
cursor := d.NextMarketOpen(startMarketClose, marketOpen, isHoliday)
|
||||
for d.Before(cursor, endEastern) {
|
||||
if d.IsWeekDay(cursor.Weekday()) && !isHoliday(cursor) {
|
||||
close := d.NextMarketClose(cursor, marketClose, isHoliday)
|
||||
seconds += int64(close.Sub(cursor) / time.Second)
|
||||
}
|
||||
cursor = cursor.AddDate(0, 0, 1)
|
||||
}
|
||||
|
||||
finalMarketOpen := d.NextMarketOpen(cursor, marketOpen, isHoliday)
|
||||
finalMarketClose := d.NextMarketClose(cursor, marketClose, isHoliday)
|
||||
if endEastern.After(finalMarketOpen) {
|
||||
if endEastern.Before(finalMarketClose) {
|
||||
seconds += int64(endEastern.Sub(finalMarketOpen) / time.Second)
|
||||
} else {
|
||||
seconds += int64(finalMarketClose.Sub(finalMarketOpen) / time.Second)
|
||||
}
|
||||
}
|
||||
|
||||
return
|
||||
}
|
||||
|
||||
const (
|
||||
_secondsPerHour = 60 * 60
|
||||
_secondsPerDay = 60 * 60 * 24
|
||||
)
|
||||
|
||||
func (d date) DiffDays(t1, t2 time.Time) (days int) {
|
||||
t1n := t1.Unix()
|
||||
t2n := t2.Unix()
|
||||
diff := t2n - t1n //yields seconds
|
||||
return int(diff / (_secondsPerDay))
|
||||
}
|
||||
|
||||
func (d date) DiffHours(t1, t2 time.Time) (hours int) {
|
||||
t1n := t1.Unix()
|
||||
t2n := t2.Unix()
|
||||
diff := t2n - t1n //yields seconds
|
||||
return int(diff / (_secondsPerHour))
|
||||
}
|
||||
|
||||
// NextDay returns the timestamp advanced a day.
|
||||
func (d date) NextDay(ts time.Time) time.Time {
|
||||
return ts.AddDate(0, 0, 1)
|
||||
|
|
|
|||
|
|
@ -1,17 +0,0 @@
|
|||
// +build !windows
|
||||
|
||||
package util
|
||||
|
||||
import "time"
|
||||
|
||||
// Eastern returns the eastern timezone.
|
||||
func (d date) Eastern() *time.Location {
|
||||
if _eastern == nil {
|
||||
_easternLock.Lock()
|
||||
defer _easternLock.Unlock()
|
||||
if _eastern == nil {
|
||||
_eastern, _ = time.LoadLocation("America/New_York")
|
||||
}
|
||||
}
|
||||
return _eastern
|
||||
}
|
||||
|
|
@ -33,10 +33,10 @@ func TestDateDate(t *testing.T) {
|
|||
assert.Equal(time.UTC, ts.Location())
|
||||
}
|
||||
|
||||
func TestDateOn(t *testing.T) {
|
||||
func TestDateOnDate(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
ts := Date.On(Date.Time(5, 4, 3, 2, time.UTC), Date.Date(2016, 6, 7, Date.Eastern()))
|
||||
ts := Date.OnDate(Date.Time(5, 4, 3, 2, time.UTC), Date.Date(2016, 6, 7, Date.MustEastern()))
|
||||
assert.Equal(2016, ts.Year())
|
||||
assert.Equal(6, ts.Month())
|
||||
assert.Equal(7, ts.Day())
|
||||
|
|
@ -47,9 +47,9 @@ func TestDateOn(t *testing.T) {
|
|||
assert.Equal(time.UTC, ts.Location())
|
||||
}
|
||||
|
||||
func TestDateNoonOn(t *testing.T) {
|
||||
func TestDateNoonOnDate(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
noon := Date.NoonOn(time.Date(2016, 04, 03, 02, 01, 0, 0, time.UTC))
|
||||
noon := Date.NoonOnDate(time.Date(2016, 04, 03, 02, 01, 0, 0, time.UTC))
|
||||
|
||||
assert.Equal(2016, noon.Year())
|
||||
assert.Equal(4, noon.Month())
|
||||
|
|
@ -77,101 +77,16 @@ func TestDateBeforeHandlesTimezones(t *testing.T) {
|
|||
|
||||
tuesdayUTC := time.Date(2016, 8, 02, 22, 00, 0, 0, time.UTC)
|
||||
mondayUTC := time.Date(2016, 8, 01, 1, 00, 0, 0, time.UTC)
|
||||
sundayEST := time.Date(2016, 7, 31, 22, 00, 0, 0, Date.Eastern())
|
||||
sundayEST := time.Date(2016, 7, 31, 22, 00, 0, 0, Date.MustEastern())
|
||||
|
||||
assert.True(Date.Before(sundayEST, tuesdayUTC))
|
||||
assert.False(Date.Before(sundayEST, mondayUTC))
|
||||
}
|
||||
|
||||
func TestNextMarketOpen(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
beforeOpen := time.Date(2016, 07, 18, 9, 0, 0, 0, Date.Eastern())
|
||||
todayOpen := time.Date(2016, 07, 18, 9, 30, 0, 0, Date.Eastern())
|
||||
|
||||
afterOpen := time.Date(2016, 07, 18, 9, 31, 0, 0, Date.Eastern())
|
||||
tomorrowOpen := time.Date(2016, 07, 19, 9, 30, 0, 0, Date.Eastern())
|
||||
|
||||
afterFriday := time.Date(2016, 07, 22, 9, 31, 0, 0, Date.Eastern())
|
||||
mondayOpen := time.Date(2016, 07, 25, 9, 30, 0, 0, Date.Eastern())
|
||||
|
||||
weekend := time.Date(2016, 07, 23, 9, 31, 0, 0, Date.Eastern())
|
||||
|
||||
assert.True(todayOpen.Equal(Date.NextMarketOpen(beforeOpen, NYSEOpen(), Date.IsNYSEHoliday)))
|
||||
assert.True(tomorrowOpen.Equal(Date.NextMarketOpen(afterOpen, NYSEOpen(), Date.IsNYSEHoliday)))
|
||||
assert.True(mondayOpen.Equal(Date.NextMarketOpen(afterFriday, NYSEOpen(), Date.IsNYSEHoliday)))
|
||||
assert.True(mondayOpen.Equal(Date.NextMarketOpen(weekend, NYSEOpen(), Date.IsNYSEHoliday)))
|
||||
|
||||
assert.Equal(Date.Eastern(), todayOpen.Location())
|
||||
assert.Equal(Date.Eastern(), tomorrowOpen.Location())
|
||||
assert.Equal(Date.Eastern(), mondayOpen.Location())
|
||||
|
||||
testRegression := time.Date(2016, 07, 18, 16, 0, 0, 0, Date.Eastern())
|
||||
shouldbe := time.Date(2016, 07, 19, 9, 30, 0, 0, Date.Eastern())
|
||||
|
||||
assert.True(shouldbe.Equal(Date.NextMarketOpen(testRegression, NYSEOpen(), Date.IsNYSEHoliday)))
|
||||
}
|
||||
|
||||
func TestNextMarketClose(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
beforeClose := time.Date(2016, 07, 18, 15, 0, 0, 0, Date.Eastern())
|
||||
todayClose := time.Date(2016, 07, 18, 16, 00, 0, 0, Date.Eastern())
|
||||
|
||||
afterClose := time.Date(2016, 07, 18, 16, 1, 0, 0, Date.Eastern())
|
||||
tomorrowClose := time.Date(2016, 07, 19, 16, 00, 0, 0, Date.Eastern())
|
||||
|
||||
afterFriday := time.Date(2016, 07, 22, 16, 1, 0, 0, Date.Eastern())
|
||||
mondayClose := time.Date(2016, 07, 25, 16, 0, 0, 0, Date.Eastern())
|
||||
|
||||
weekend := time.Date(2016, 07, 23, 9, 31, 0, 0, Date.Eastern())
|
||||
|
||||
assert.True(todayClose.Equal(Date.NextMarketClose(beforeClose, NYSEClose(), Date.IsNYSEHoliday)))
|
||||
assert.True(tomorrowClose.Equal(Date.NextMarketClose(afterClose, NYSEClose(), Date.IsNYSEHoliday)))
|
||||
assert.True(mondayClose.Equal(Date.NextMarketClose(afterFriday, NYSEClose(), Date.IsNYSEHoliday)))
|
||||
assert.True(mondayClose.Equal(Date.NextMarketClose(weekend, NYSEClose(), Date.IsNYSEHoliday)))
|
||||
|
||||
assert.Equal(Date.Eastern(), todayClose.Location())
|
||||
assert.Equal(Date.Eastern(), tomorrowClose.Location())
|
||||
assert.Equal(Date.Eastern(), mondayClose.Location())
|
||||
}
|
||||
|
||||
func TestCalculateMarketSecondsBetween(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
start := time.Date(2016, 07, 18, 9, 30, 0, 0, Date.Eastern())
|
||||
end := time.Date(2016, 07, 22, 16, 00, 0, 0, Date.Eastern())
|
||||
|
||||
shouldbe := 5 * 6.5 * 60 * 60
|
||||
|
||||
assert.Equal(shouldbe, Date.CalculateMarketSecondsBetween(start, end, NYSEOpen(), NYSEClose(), Date.IsNYSEHoliday))
|
||||
}
|
||||
|
||||
func TestCalculateMarketSecondsBetween1D(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
start := time.Date(2016, 07, 22, 9, 45, 0, 0, Date.Eastern())
|
||||
end := time.Date(2016, 07, 22, 15, 45, 0, 0, Date.Eastern())
|
||||
|
||||
shouldbe := 6 * 60 * 60
|
||||
|
||||
assert.Equal(shouldbe, Date.CalculateMarketSecondsBetween(start, end, NYSEOpen(), NYSEClose(), Date.IsNYSEHoliday))
|
||||
}
|
||||
|
||||
func TestCalculateMarketSecondsBetweenLTM(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
start := time.Date(2015, 07, 01, 9, 30, 0, 0, Date.Eastern())
|
||||
end := time.Date(2016, 07, 01, 9, 30, 0, 0, Date.Eastern())
|
||||
|
||||
shouldbe := 253 * 6.5 * 60 * 60 //253 full market days since this date last year.
|
||||
assert.Equal(shouldbe, Date.CalculateMarketSecondsBetween(start, end, NYSEOpen(), NYSEClose(), Date.IsNYSEHoliday))
|
||||
}
|
||||
|
||||
func TestDateNextHour(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
start := time.Date(2015, 07, 01, 9, 30, 0, 0, Date.Eastern())
|
||||
start := time.Date(2015, 07, 01, 9, 30, 0, 0, Date.MustEastern())
|
||||
next := Date.NextHour(start)
|
||||
assert.Equal(2015, next.Year())
|
||||
assert.Equal(07, next.Month())
|
||||
|
|
@ -221,40 +136,3 @@ func TestDateNextDayOfWeek(t *testing.T) {
|
|||
assert.Equal(time.UTC, nextSunday.Location())
|
||||
assert.Equal(time.UTC, nextMonday.Location())
|
||||
}
|
||||
|
||||
func TestDateIsNYSEHoliday(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
cursor := time.Date(2013, 01, 01, 0, 0, 0, 0, time.UTC)
|
||||
end := time.Date(2020, 1, 1, 0, 0, 0, 0, time.UTC)
|
||||
var holidays int
|
||||
for Date.Before(cursor, end) {
|
||||
if Date.IsNYSEHoliday(cursor) {
|
||||
holidays++
|
||||
}
|
||||
cursor = cursor.AddDate(0, 0, 1)
|
||||
}
|
||||
assert.Equal(holidays, 55)
|
||||
}
|
||||
|
||||
func TestDateDiffDays(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
|
||||
t2 := time.Date(2017, 01, 10, 3, 0, 0, 0, time.UTC)
|
||||
t3 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
|
||||
|
||||
assert.Equal(48, Date.DiffDays(t2, t1))
|
||||
assert.Equal(2, Date.DiffDays(t3, t1)) // technically we should round down.
|
||||
}
|
||||
|
||||
func TestDateDiffHours(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
|
||||
t2 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
|
||||
t3 := time.Date(2017, 02, 28, 12, 0, 0, 0, time.UTC)
|
||||
|
||||
assert.Equal(68, Date.DiffHours(t2, t1))
|
||||
assert.Equal(24, Date.DiffHours(t1, t3))
|
||||
}
|
||||
|
|
|
|||
|
|
@ -1,17 +0,0 @@
|
|||
// +build windows
|
||||
|
||||
package util
|
||||
|
||||
import "time"
|
||||
|
||||
// Eastern returns the eastern timezone.
|
||||
func (d date) Eastern() *time.Location {
|
||||
if _eastern == nil {
|
||||
_easternLock.Lock()
|
||||
defer _easternLock.Unlock()
|
||||
if _eastern == nil {
|
||||
_eastern, _ = time.LoadLocation("EST")
|
||||
}
|
||||
}
|
||||
return _eastern
|
||||
}
|
||||
74
util/time.go
74
util/time.go
|
|
@ -18,3 +18,77 @@ func (tu timeUtil) ToFloat64(t time.Time) float64 {
|
|||
func (tu timeUtil) FromFloat64(tf float64) time.Time {
|
||||
return time.Unix(0, int64(tf))
|
||||
}
|
||||
|
||||
func (tu timeUtil) DiffDays(t1, t2 time.Time) (days int) {
|
||||
t1n := t1.Unix()
|
||||
t2n := t2.Unix()
|
||||
var diff int64
|
||||
if t1n > t2n {
|
||||
diff = t2n - t1n //yields seconds
|
||||
} else {
|
||||
diff = t1n - t2n //yields seconds
|
||||
}
|
||||
return int(diff / (_secondsPerDay))
|
||||
}
|
||||
|
||||
func (tu timeUtil) DiffHours(t1, t2 time.Time) (hours int) {
|
||||
t1n := t1.Unix()
|
||||
t2n := t2.Unix()
|
||||
var diff int64
|
||||
if t1n > t2n {
|
||||
diff = t1n - t2n
|
||||
} else {
|
||||
diff = t2n - t1n
|
||||
}
|
||||
return int(diff / (_secondsPerHour))
|
||||
}
|
||||
|
||||
// Start returns the earliest (min) time in a list of times.
|
||||
func (tu timeUtil) Start(times ...time.Time) time.Time {
|
||||
if len(times) == 0 {
|
||||
return time.Time{}
|
||||
}
|
||||
|
||||
start := times[0]
|
||||
for _, t := range times[1:] {
|
||||
if t.Before(start) {
|
||||
start = t
|
||||
}
|
||||
}
|
||||
return start
|
||||
}
|
||||
|
||||
// Start returns the earliest (min) time in a list of times.
|
||||
func (tu timeUtil) End(times ...time.Time) time.Time {
|
||||
if len(times) == 0 {
|
||||
return time.Time{}
|
||||
}
|
||||
|
||||
end := times[0]
|
||||
for _, t := range times[1:] {
|
||||
if t.After(end) {
|
||||
end = t
|
||||
}
|
||||
}
|
||||
return end
|
||||
}
|
||||
|
||||
// StartAndEnd returns the start and end of a given set of time in one pass.
|
||||
func (tu timeUtil) StartAndEnd(values ...time.Time) (start time.Time, end time.Time) {
|
||||
if len(values) == 0 {
|
||||
return
|
||||
}
|
||||
|
||||
start = values[0]
|
||||
end = values[0]
|
||||
|
||||
for _, v := range values[1:] {
|
||||
if end.Before(v) {
|
||||
end = v
|
||||
}
|
||||
if start.After(v) {
|
||||
start = v
|
||||
}
|
||||
}
|
||||
return
|
||||
}
|
||||
|
|
|
|||
|
|
@ -0,0 +1,30 @@
|
|||
package util
|
||||
|
||||
import (
|
||||
"testing"
|
||||
"time"
|
||||
|
||||
"github.com/blend/go-sdk/assert"
|
||||
)
|
||||
|
||||
func TestTimeDiffDays(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
|
||||
t2 := time.Date(2017, 01, 10, 3, 0, 0, 0, time.UTC)
|
||||
t3 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
|
||||
|
||||
assert.Equal(48, Time.DiffDays(t2, t1))
|
||||
assert.Equal(2, Time.DiffDays(t3, t1)) // technically we should round down.
|
||||
}
|
||||
|
||||
func TestTimeDiffHours(t *testing.T) {
|
||||
assert := assert.New(t)
|
||||
|
||||
t1 := time.Date(2017, 02, 27, 12, 0, 0, 0, time.UTC)
|
||||
t2 := time.Date(2017, 02, 24, 16, 0, 0, 0, time.UTC)
|
||||
t3 := time.Date(2017, 02, 28, 12, 0, 0, 0, time.UTC)
|
||||
|
||||
assert.Equal(68, Time.DiffHours(t2, t1))
|
||||
assert.Equal(24, Time.DiffHours(t1, t3))
|
||||
}
|
||||
Loading…
Reference in New Issue