tradecron

Documentation

Index

• Constants
• Variables
• func LoadMarketHolidays()
• type MarketHours
• type MarketStatus
  • func NewMarketStatus(hours *MarketHours) *MarketStatus
  • func (ms *MarketStatus) EarlyClose(t time.Time) int
  • func (ms *MarketStatus) IsMarketDay(t time.Time) bool
  • func (ms *MarketStatus) IsMarketHoliday(t time.Time) bool
  • func (ms *MarketStatus) IsMarketOpen(t time.Time) bool
  • func (ms *MarketStatus) NextFirstTradingDayOfMonth(t time.Time) time.Time
  • func (ms *MarketStatus) NextFirstTradingDayOfWeek(t time.Time) time.Time
  • func (ms *MarketStatus) NextLastTradingDayOfMonth(t time.Time) time.Time
  • func (ms *MarketStatus) NextLastTradingDayOfWeek(t time.Time) time.Time
• type TradeCron
  • func New(cronSpec string, hours MarketHours) (*TradeCron, error)
  • func (tc *TradeCron) IsTradeDay(forDate time.Time) bool
  • func (tc *TradeCron) Next(forDate time.Time) time.Time

Constants

const (
	AtOpen       = "@open"
	AtClose      = "@close"
	AtWeekBegin  = "@weekbegin"
	AtWeekEnd    = "@weekend"
	AtMonthBegin = "@monthbegin"
	AtMonthEnd   = "@monthend"
)

Variables

var (
	ErrConflictingModifiers = errors.New("malformed schedule; conflicting modifiers combined")
	ErrFieldOutOfBounds     = errors.New("time field out of range")
	ErrMalformedTimeSpec    = errors.New("time spec malformed")
	ErrUnknownModifier      = errors.New("unknown modifier specified")
)

var (
	RegularHours = MarketHours{
		Open:  930,
		Close: 1600,
	}
	ExtendedHours = MarketHours{
		Open:  700,
		Close: 2000,
	}
)

Functions

func LoadMarketHolidays

func LoadMarketHolidays()

Types

type MarketHours

type MarketHours struct {
	Open  int
	Close int
}

type MarketStatus

type MarketStatus struct {
	// contains filtered or unexported fields
}

func NewMarketStatus

func NewMarketStatus(hours *MarketHours) *MarketStatus

LoadMarketHolidays retrieves market holidays from the database

func (*MarketStatus) EarlyClose

func (ms *MarketStatus) EarlyClose(t time.Time) int

EarlyClose returns close time of an early close market day, e.g. 1300

func (*MarketStatus) IsMarketDay

func (ms *MarketStatus) IsMarketDay(t time.Time) bool

IsMarketOpen returns true if the specified date is a valid trading day (i.e. not a market holiday or weekend)

func (*MarketStatus) IsMarketHoliday

func (ms *MarketStatus) IsMarketHoliday(t time.Time) bool

IsMarketHoliday returns true if the specified date is a market holiday

func (*MarketStatus) IsMarketOpen

func (ms *MarketStatus) IsMarketOpen(t time.Time) bool

IsMarketOpen returns true if the specified time is during market hours (i.e. not a market holiday or weekend)

func (*MarketStatus) NextFirstTradingDayOfMonth

func (ms *MarketStatus) NextFirstTradingDayOfMonth(t time.Time) time.Time

NextFirstTradingDayOfMonth returns the first trading day of the next month

func (*MarketStatus) NextFirstTradingDayOfWeek

func (ms *MarketStatus) NextFirstTradingDayOfWeek(t time.Time) time.Time

NextFirstTradingDayOfWeek returns the first trading day of the week.

func (*MarketStatus) NextLastTradingDayOfMonth

func (ms *MarketStatus) NextLastTradingDayOfMonth(t time.Time) time.Time

NextLastTradingDayOfMonth returns the last trading day of the specified month; where a trading day is defined as a day the market is open

func (*MarketStatus) NextLastTradingDayOfWeek

func (ms *MarketStatus) NextLastTradingDayOfWeek(t time.Time) time.Time

NextLastTradingDayOfWeek returns the next last trading day of week

type TradeCron

type TradeCron struct {
	Schedule       cron.Schedule
	ScheduleString string
	TimeSpec       string
	TimeFlag       string
	DateFlag       string
	// contains filtered or unexported fields
}

func New

func New(cronSpec string, hours MarketHours) (*TradeCron, error)

TradeCron enables market aware scheduling. It supports schedules via the standard CRON format of: Minutes(Min) Hours(H) DayOfMonth(DoM) Month(M) DayOfWeek(DoW) See: https://en.wikipedia.org/wiki/Cron

'*' wildcards only execute during market open hours

Additional market-aware modifiers are supported:

@open       - Run at market open; replaces Minute and Hour field
              e.g., @open * * *
@close      - Run at market close; replaces Minute and Hour field
@weekbegin  - Run on first trading day of week; replaces DayOfMonth field
@weekend    - Run on last trading day of week; replaces DayOfMonth field
@monthbegin - Run at market open or timespec on first trading day of month
@monthend   - Run at market close or timespec on last trading day of month

Examples:

• every 5 minutes: */5 * * * *
• market open on tuesdays: @open * * 2
• 15 minutes after market open: 15 @open * * *
• market open on first trading day of week: @weekbegin
• market open on last trading day of month: @open @monthend

func (*TradeCron) IsTradeDay

func (tc *TradeCron) IsTradeDay(forDate time.Time) bool

IsTradeDay evaluates the given date against the schedule and returns true if the date falls on a trading day according to the schedule. The time portion of the schedule is ignored when evaluating this function

func (*TradeCron) Next

func (tc *TradeCron) Next(forDate time.Time) time.Time

Next returns the next tradeable date