Celes Renata
4ffde8cc06
- Database migration 018 with 13 tables for trading engine state - Trading engine service (services/trading/) with 12 pure computation modules: position sizer, stop-loss manager, reserve pool, circuit breaker, risk tier controller, correlation matrix, tax lots, trading window, gradual entry, notifications, micro-trading, backtester - Core TradingEngine with pre-trade evaluation pipeline and integration wiring - FastAPI HTTP service with 14 endpoints (health, config, decisions, metrics, backtest) - Performance tracker with Sharpe ratio, drawdown, profit factor computation - 194 Python tests (165 property-based + 29 integration) - Frontend: 13 TanStack Query hooks, 7 dashboard panels, tabbed Trading Engine page - Helm chart entry, network policy, nginx proxy, ingress for trading-engine - Shared infrastructure: enums, Redis keys, TradingConfig in AppConfig
83 lines
2.5 KiB
Python
83 lines
2.5 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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Does not check market holidays (simplified).
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"""
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from __future__ import annotations
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from datetime import 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 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 are
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always outside the window. Market holidays are **not** checked
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(simplified implementation).
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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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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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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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t = et_dt.time()
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return MARKET_OPEN <= t < MARKET_CLOSE
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