fix fx bug and add 2024 calendar (#45)

* fix fx bug and add 2024 calendar

* use 17 as close time for test case instead

Author: cctdaniel

pythclient/calendar.py

@@ -22,10 +22,22 @@
     datetime.datetime(2022, 9, 4, tzinfo=NY_TZ).date(),
     datetime.datetime(2023, 11, 23, tzinfo=NY_TZ).date(),
     datetime.datetime(2023, 12, 25, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 1, 1, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 1, 15, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 2, 19, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 3, 29, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 5, 27, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 6, 19, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 7, 4, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 9, 2, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 11, 28, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 12, 25, tzinfo=NY_TZ).date(),
 ]
 NYSE_EARLY_HOLIDAYS = [
     datetime.datetime(2023, 7, 3, tzinfo=NY_TZ).date(),
     datetime.datetime(2023, 11, 24, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 7, 3, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 11, 29, tzinfo=NY_TZ).date(),
 ]
 
 FX_METAL_OPEN_CLOSE_TIME = datetime.time(17, 0, 0, tzinfo=NY_TZ)
@@ -35,6 +47,8 @@
 FX_METAL_HOLIDAYS = [
     datetime.datetime(2023, 1, 1, tzinfo=NY_TZ).date(),
     datetime.datetime(2023, 12, 25, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 1, 1, tzinfo=NY_TZ).date(),
+    datetime.datetime(2024, 12, 25, tzinfo=NY_TZ).date(),
 ]
 
 RATES_OPEN = datetime.time(8, 0, 0, tzinfo=NY_TZ)
@@ -60,7 +74,7 @@ def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
         return False
 
     if asset_type in ["fx", "metal"]:
-        if date in FX_METAL_HOLIDAYS:
+        if date in FX_METAL_HOLIDAYS and time < FX_METAL_OPEN_CLOSE_TIME:
             return False
         # On Friday the market is closed after 5pm
         if day == 4 and time >= FX_METAL_OPEN_CLOSE_TIME:
@@ -71,6 +85,13 @@ def is_market_open(asset_type: str, dt: datetime.datetime) -> bool:
         # On Sunday the market is closed before 5pm
         if day == 6 and time < FX_METAL_OPEN_CLOSE_TIME:
             return False
+        # On Sunday the market is closed after 5pm if the next day is a holiday
+        if (
+            day == 6
+            and time >= FX_METAL_OPEN_CLOSE_TIME
+            and (date + datetime.timedelta(days=1) in FX_METAL_HOLIDAYS)
+        ):
+            return False
 
         return True
 

tests/test_calendar.py

@@ -22,6 +22,8 @@
 FX_METAL_OPEN_WED_2023_6_21_23 = datetime.datetime(2023, 6, 21, 23, 0, 0, tzinfo=NY_TZ)
 FX_METAL_CLOSE_SUN_2023_6_18_16 = datetime.datetime(2023, 6, 18, 16, 0, 0, tzinfo=NY_TZ)
 FX_METAL_HOLIDAY_SUN_2023_1_1 = datetime.datetime(2023, 1, 1, tzinfo=NY_TZ)
+FX_METAL_HOLIDAY_SUN_2023_12_24_17 = datetime.datetime(2023, 12, 24, 17, 0, 0, tzinfo=NY_TZ)
+FX_METAL_HOLIDAY_SUN_2023_12_31_17 = datetime.datetime(2023, 12, 31, 17, 0, 0, tzinfo=NY_TZ)
 
 # Define constants for rates market
 RATES_OPEN_WED_2023_6_21_12 = datetime.datetime(2023, 6, 21, 8, 0, 0, tzinfo=NY_TZ)
@@ -75,6 +77,12 @@ def test_is_market_open():
     assert is_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_1_1) == False
     assert is_market_open("metal", FX_METAL_HOLIDAY_SUN_2023_1_1) == False
 
+    # fx & metal out of market hours on Sunday Dec 24 2023 after 10pm UTC
+    assert is_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_12_24_17) == False
+
+    # fx & metal out of market hours on Sunday Dec 31 2023 after 10pm UTC
+    assert is_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_12_31_17) == False
+
     # rates
     # weekday, within rates market hours
     assert is_market_open("rates", RATES_OPEN_WED_2023_6_21_12) == True
@@ -167,14 +175,24 @@ def test_get_next_market_open():
         == format_datetime_to_unix_timestamp(datetime.datetime(2023, 6, 18, 17, 0, 0, tzinfo=NY_TZ))
     )
 
+    # fx & metal out of market hours on Sunday Dec 24 2024 after 10pm UTC
+    assert (
+        get_next_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_12_24_17)
+        == format_datetime_to_unix_timestamp(datetime.datetime(2023, 12, 25, 17, 0, 0, tzinfo=NY_TZ))
+    )
+    assert (
+        get_next_market_open("metal", FX_METAL_HOLIDAY_SUN_2023_12_24_17)
+        == format_datetime_to_unix_timestamp(datetime.datetime(2023, 12, 25, 17, 0, 0, tzinfo=NY_TZ))
+    )
+
     # fx & metal holiday
     assert (
         get_next_market_open("fx", FX_METAL_HOLIDAY_SUN_2023_1_1)
-        == format_datetime_to_unix_timestamp(datetime.datetime(2023, 1, 2, 17, 0, 0, tzinfo=NY_TZ))
+        == format_datetime_to_unix_timestamp(datetime.datetime(2023, 1, 1, 17, 0, 0, tzinfo=NY_TZ))
     )
     assert (
         get_next_market_open("metal", FX_METAL_HOLIDAY_SUN_2023_1_1)
-        == format_datetime_to_unix_timestamp(datetime.datetime(2023, 1, 2, 17, 0, 0, tzinfo=NY_TZ))
+        == format_datetime_to_unix_timestamp(datetime.datetime(2023, 1, 1, 17, 0, 0, tzinfo=NY_TZ))
     )
 
     # rates within market hours