Celes Renata
1329df0bbf
- Sell path: looks up existing position, sells full quantity, returns proceeds to pool - Correlation matrix: computed from 30-day market_snapshots on startup + every 5min - Holidays: 10 major US market holidays for 2026 checked in trading window functions
121 lines
3.7 KiB
Python
121 lines
3.7 KiB
Python
"""Trading window utilities for the autonomous trading engine.
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Pure computation module that determines whether a given timestamp falls
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within the allowed trading window (9:45 AM – 3:45 PM ET on weekdays),
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whether the US market is open, and when the next trading window opens.
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Uses ``zoneinfo.ZoneInfo("America/New_York")`` for Eastern Time handling.
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Checks major US market holidays for 2026.
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"""
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from __future__ import annotations
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from datetime import date, datetime, time, timedelta
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from zoneinfo import ZoneInfo
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# US Eastern timezone
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ET = ZoneInfo("America/New_York")
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# Trading window boundaries (excludes first/last 15 min of market hours)
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WINDOW_OPEN = time(9, 45)
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WINDOW_CLOSE = time(15, 45)
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# Full US market hours
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MARKET_OPEN = time(9, 30)
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MARKET_CLOSE = time(16, 0)
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# Weekday range: Monday=0 … Friday=4
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_WEEKDAYS = range(0, 5)
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def _us_market_holidays_2026() -> set[date]:
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"""Return a set of US market holiday dates for 2026.
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Major holidays observed by NYSE/NASDAQ:
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- New Year's Day (Jan 1)
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- MLK Day (3rd Monday of January)
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- Presidents' Day (3rd Monday of February)
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- Good Friday (April 3)
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- Memorial Day (last Monday of May)
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- Juneteenth (June 19)
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- Independence Day (July 3 observed — July 4 is Saturday)
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- Labor Day (1st Monday of September)
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- Thanksgiving (4th Thursday of November)
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- Christmas (Dec 25)
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"""
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return {
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date(2026, 1, 1), # New Year's Day
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date(2026, 1, 19), # MLK Day (3rd Monday)
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date(2026, 2, 16), # Presidents' Day (3rd Monday)
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date(2026, 4, 3), # Good Friday
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date(2026, 5, 25), # Memorial Day (last Monday)
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date(2026, 6, 19), # Juneteenth
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date(2026, 7, 3), # Independence Day (observed)
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date(2026, 9, 7), # Labor Day (1st Monday)
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date(2026, 11, 26), # Thanksgiving (4th Thursday)
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date(2026, 12, 25), # Christmas
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}
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_HOLIDAYS_2026 = _us_market_holidays_2026()
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def is_within_trading_window(dt: datetime) -> bool:
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"""Return True if *dt* is between 9:45 AM ET and 3:45 PM ET on a weekday.
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The timestamp is first converted to US/Eastern time. Weekends and
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US market holidays (2026) are always outside the window.
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"""
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et_dt = dt.astimezone(ET)
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if et_dt.weekday() not in _WEEKDAYS:
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return False
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if et_dt.date() in _HOLIDAYS_2026:
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return False
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t = et_dt.time()
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return WINDOW_OPEN <= t < WINDOW_CLOSE
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def next_window_open(dt: datetime) -> datetime:
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"""Return the next datetime when the trading window opens (9:45 AM ET).
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If *dt* is before 9:45 AM ET on a weekday the same day's open is
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returned. Otherwise the next weekday's 9:45 AM ET is returned.
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"""
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et_dt = dt.astimezone(ET)
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today_open = et_dt.replace(
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hour=WINDOW_OPEN.hour,
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minute=WINDOW_OPEN.minute,
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second=0,
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microsecond=0,
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)
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# If we haven't reached today's open yet and it's a weekday, return today
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if et_dt < today_open and et_dt.weekday() in _WEEKDAYS:
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return today_open
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# Otherwise advance to the next weekday
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candidate = et_dt + timedelta(days=1)
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candidate = candidate.replace(
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hour=WINDOW_OPEN.hour,
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minute=WINDOW_OPEN.minute,
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second=0,
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microsecond=0,
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)
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while candidate.weekday() not in _WEEKDAYS:
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candidate += timedelta(days=1)
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return candidate
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def is_market_open(dt: datetime) -> bool:
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"""Return True if *dt* is during US market hours (9:30 AM – 4:00 PM ET) on a weekday.
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Returns False on weekends and US market holidays (2026).
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"""
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et_dt = dt.astimezone(ET)
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if et_dt.weekday() not in _WEEKDAYS:
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return False
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if et_dt.date() in _HOLIDAYS_2026:
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return False
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t = et_dt.time()
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return MARKET_OPEN <= t < MARKET_CLOSE
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