added dev project

lib/calendar/dev/deps.edn

@@ -0,0 +1,5 @@
+{:paths ["src" "test"]
+ :deps {io.github.clojure-quant/quanta {:local/root "../" :deps/manifest :deps}
+        }
+
+ }

lib/calendar/dev/src/dev/calendar_helper.clj

@@ -0,0 +1,28 @@
+(ns dev.calendar-helper
+  (:require [tick.core :as t]
+            [ta.calendar.calendars :refer [calendars]]
+            [ta.helper.date :refer [at-time same-date?]]
+            [ta.calendar.helper :refer [next-day-at-midnight time-open?]]
+            [dev.utils :refer [to-utc]]))
+
+(def dt (to-utc "2024-02-08T23:59:00"))
+(def next-day (t/>> dt (t/new-duration 1 :days)))
+
+(at-time (t/date next-day)
+         (t/new-time 0 0 0) "UTC")
+;=> #time/zoned-date-time"2024-02-09T00:00Z[UTC]"
+
+(next-day-at-midnight {:timezone "UTC"} dt)
+;=> #time/zoned-date-time"2024-02-09T00:00Z[UTC]"
+
+(time-open? (:eu calendars) (to-utc "2024-10-11T16:00:00"))
+;=> true
+(time-open? (:eu calendars) (t/instant))
+
+
+(time-open? (:us calendars) (to-utc "2024-10-11T16:00:00"))
+;=> false
+(time-open? (:us calendars) (t/instant))
+
+(t/time (to-utc "2024-10-11T16:00:00"))
+(t/time (t/instant))

lib/calendar/dev/src/dev/calendar_seq.clj

@@ -0,0 +1,108 @@
+(ns dev.calendar-seq
+  (:require
+    [tick.core :as t]
+    [ta.calendar.core :refer [trailing-window calendar-seq fixed-window
+                              close->open-dt open->close-dt]]
+    [ta.calendar.calendars :refer [calendars]]
+    [dev.utils :refer [to-utc]]))
+
+
+(->> (t/in (t/date-time "2024-10-01T16:20:00") "America/New_York")
+     (calendar-seq :forex :d)
+     (take 15))
+;=>
+;(#time/zoned-date-time"2024-09-30T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-03T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-04T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-07T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-08T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-09T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-10T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-11T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-14T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-15T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-16T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-17T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-18T16:30-04:00[America/New_York]")
+
+(->> (t/in (t/date-time "2024-10-01T17:32:00") "America/New_York")
+     (calendar-seq :forex :h)
+     (take 15))
+;=>
+;(#time/zoned-date-time"2024-10-01T16:30-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T18:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T19:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T20:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T21:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T22:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T23:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T00:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T01:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T02:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T03:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T04:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T05:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T06:00-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-02T07:00-04:00[America/New_York]")
+
+(->> (t/in (t/date-time "2024-10-01T17:32:00") "America/New_York")
+     (calendar-seq :forex :m)
+     (take 15))
+;=>
+;(#time/zoned-date-time"2024-10-01T17:32-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:33-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:34-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:35-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:36-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:37-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:38-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:39-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:40-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:41-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:42-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:43-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:44-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:45-04:00[America/New_York]"
+;  #time/zoned-date-time"2024-10-01T17:46-04:00[America/New_York]")
+
+(->> (t/in (t/date-time "2024-02-09T00:00:00") "America/New_York")
+     (calendar-seq :forex :h4)
+     (take 15))
+;=>
+;(#time/zoned-date-time"2024-02-08T21:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-09T01:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-09T05:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-09T09:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-09T13:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T21:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-12T01:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-12T05:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-12T09:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-12T13:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-12T21:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-13T01:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-13T05:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-13T09:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-13T13:00-05:00[America/New_York]")
+
+(->> (t/in (t/date-time "2024-02-11T06:00:00") "America/New_York")
+     (calendar-seq :forex :m15)
+     (take 15))
+;=>
+;(#time/zoned-date-time"2024-02-09T16:30-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T17:15-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T17:30-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T17:45-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T18:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T18:15-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T18:30-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T18:45-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T19:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T19:15-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T19:30-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T19:45-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T20:00-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T20:15-05:00[America/New_York]"
+;  #time/zoned-date-time"2024-02-11T20:30-05:00[America/New_York]")

lib/calendar/dev/src/dev/core.clj

@@ -0,0 +1,65 @@
+(ns dev.core
+  (:require
+    [tick.core :as t]
+    [ta.calendar.calendars :refer [calendars]]
+    [ta.calendar.interval :refer [intervals]]
+    [ta.calendar.core :refer [close->open-dt open->close-dt current-close2]]
+    [dev.utils :refer [to-utc]]))
+
+(current-close2 [:crypto :m]
+                    (t/in (t/date-time "2024-02-08T23:59:30") "UTC"))
+;=> #time/zoned-date-time"2024-02-08T23:59Z[UTC]"
+
+(current-close2 [:crypto :m]
+                    (t/in (t/date-time "2024-02-08T23:59:59") "UTC"))
+;=> #time/zoned-date-time"2024-02-08T23:59Z[UTC]"
+
+(current-close2 [:crypto :m]
+                    (t/in (t/date-time "2024-02-09T00:00:00") "UTC"))
+;=> #time/zoned-date-time"2024-02-08T23:59:59.999999999Z[UTC]"
+
+(let [calendar (:us calendars)
+      interval (:m intervals)
+      prior-open-dt (:prior-open interval)]
+  (prior-open-dt calendar (t/in (t/date-time "2024-02-06T17:00") "America/New_York")))
+;=> #time/zoned-date-time"2024-02-06T16:59-05:00[America/New_York]"
+
+; TODO: bug
+(let [calendar (:forex calendars)
+      interval (:h intervals)
+      prior-open-dt (:prior-open interval)]
+  (prior-open-dt calendar (t/in (t/date-time "2024-02-08T16:30") "America/New_York")))
+;=> #time/zoned-date-time"2024-02-02T15:30-05:00[America/New_York]"
+
+; TODO: bug
+(let [calendar (:forex calendars)
+      interval (:h intervals)
+      prior-open-dt (:prior-open interval)]
+  (prior-open-dt calendar (t/in (t/date-time "2024-02-06T17:00") "America/New_York")))
+;=> #time/zoned-date-time"2024-02-02T15:30-05:00[America/New_York]"
+
+; TODO bug
+(let [calendar (:forex calendars)
+      interval (:h intervals)
+      next-open-dt (:next-open interval)]
+  (next-open-dt calendar (t/in (t/date-time "2024-02-06T15:30") "America/New_York")))
+;=> #time/zoned-date-time"2024-02-07T17:00-05:00[America/New_York]"
+
+; TODO bug
+(let [calendar (:forex calendars)
+      interval (:h intervals)
+      prior-close-dt (:prior-close interval)]
+  (prior-close-dt calendar (t/in (t/date-time "2024-02-06T17:00") "America/New_York")))
+;=> #time/zoned-date-time"2024-02-06T16:00-05:00[America/New_York]"
+
+(let [calendar (:forex calendars)
+      interval (:h intervals)
+      prior-close-dt (:prior-close interval)]
+  (prior-close-dt calendar (t/in (t/date-time "2024-02-06T16:00") "America/New_York")))
+;=> #time/zoned-date-time"2024-02-06T15:00-05:00[America/New_York]"
+
+(let [calendar (:us calendars)
+      interval (:d intervals)
+      next-close-dt (:next-close interval)]
+  (next-close-dt calendar (t/in (t/date-time "2024-02-06T15:30") "America/New_York")))
+;=> #time/zoned-date-time"2024-02-06T17:00-05:00[America/New_York]"

lib/calendar/dev/src/dev/open_close_conversion.clj

@@ -0,0 +1,129 @@
+(ns dev.open-close-conversion
+  (:require
+    [ta.calendar.core :refer [close->open-dt open->close-dt]]
+    [dev.utils :refer [to-utc]]
+    [tick.core :as t]
+    [ta.calendar.core :refer [fixed-window]]))
+
+;2024-02-08 => Thu
+(close->open-dt [:us :m] (t/in (t/date-time "2024-02-09T12:34") "America/New_York"))
+;=> #time/zoned-date-time"2024-02-09T12:33-05:00[America/New_York]"
+
+(close->open-dt [:us :m] (t/in (t/date-time "2024-02-08T17:00") "America/New_York"))
+;=> #time/zoned-date-time"2024-02-08T16:59-05:00[America/New_York]"
+
+(close->open-dt [:us :d] (t/in (t/date-time "2024-02-08T17:00") "America/New_York"))
+;=> #time/zoned-date-time"2024-02-08T09:00-05:00[America/New_York]"
+
+; edge cases - day close crypto
+(open->close-dt [:crypto :m] (to-utc "2024-02-08T23:58:00"))
+;=> #time/zoned-date-time"2024-02-08T23:59Z[UTC]"
+
+(open->close-dt [:crypto :m] (to-utc "2024-02-08T23:59:00"))
+;=> #time/zoned-date-time"2024-02-08T23:59:59.999999999Z[UTC]"
+
+(open->close-dt [:crypto :m] (to-utc "2024-02-09T00:00:00"))
+;=> #time/zoned-date-time"2024-02-09T00:01Z[UTC]"
+
+(close->open-dt [:crypto :m] (to-utc "2024-02-08T23:59:59.999999999"))
+;=> #time/zoned-date-time"2024-02-08T23:59Z[UTC]"
+
+;;
+;; 16:25 - 16:30
+(def open-dt-window-crypto-m__16-25 (fixed-window [:crypto :m] {:start (to-utc "2024-02-09T16:25:00")
+                                                                :end (to-utc "2024-02-09T16:29:00")}))
+(vec open-dt-window-crypto-m__16-25)
+;=>
+;[#time/zoned-date-time"2024-02-09T16:29Z[UTC]"
+; #time/zoned-date-time"2024-02-09T16:28Z[UTC]"
+; #time/zoned-date-time"2024-02-09T16:27Z[UTC]"
+; #time/zoned-date-time"2024-02-09T16:26Z[UTC]"
+; #time/zoned-date-time"2024-02-09T16:25Z[UTC]"]
+
+(map #(open->close-dt [:crypto :m] %) open-dt-window-crypto-m__16-25)
+;=>
+;(#time/zoned-date-time"2024-02-09T16:30Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T16:29Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T16:28Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T16:27Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T16:26Z[UTC]")
+
+
+;;
+;; 00:00 - 00:05
+(def open-dt-window-crypto-m__00-00 (-> (fixed-window [:crypto :m] {:start (to-utc "2024-02-09T00:00:00")
+                                                                    :end (to-utc "2024-02-09T00:04:00")})
+                                        (concat [(to-utc "2024-02-09T00:00:00")])
+                                        (vec)))
+; NOTE: we are generating the date-times with close iterator functions. 00:00 is no close time, this is why its missing and we have to add it explicit
+(vec (concat open-dt-window-crypto-m__00-00))
+;=>
+;[#time/zoned-date-time"2024-02-09T00:04Z[UTC]"
+; #time/zoned-date-time"2024-02-09T00:03Z[UTC]"
+; #time/zoned-date-time"2024-02-09T00:02Z[UTC]"
+; #time/zoned-date-time"2024-02-09T00:01Z[UTC]"
+; #time/zoned-date-time"2024-02-09T00:00Z[UTC]"]
+
+(map #(open->close-dt [:crypto :m] %) open-dt-window-crypto-m__00-00)
+;=>
+;(#time/zoned-date-time"2024-02-09T00:05Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T00:04Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T00:03Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T00:02Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T00:01Z[UTC]")
+
+
+;;
+;; 23:55 - 23:59:59.999
+(def open-dt-window-crypto-m__23-55 (fixed-window [:crypto :m] {:start (to-utc "2024-02-08T23:55:00")
+                                                                :end (to-utc "2024-02-08T23:59:00")}))
+(vec open-dt-window-crypto-m__23-55)
+;=>
+;[#time/zoned-date-time"2024-02-08T23:59Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:58Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:57Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:56Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:55Z[UTC]"]
+
+(map #(open->close-dt [:crypto :m] %) open-dt-window-crypto-m__23-55)
+;=>
+;(#time/zoned-date-time"2024-02-08T23:59:59.999999999Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:59Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:58Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:57Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:56Z[UTC]")
+
+
+;;
+;; 23:55 - 00:05
+; NOTE: we are generating the date-times with close iterator functions. 00:00 is no close time, this is why its missing and we have to add it explicit
+(def open-dt-window-crypto-m__23-55-00-05 (concat (fixed-window [:crypto :m] {:start (to-utc "2024-02-09T00:00:00")
+                                                                              :end (to-utc "2024-02-09T00:04:00")})
+                                                  [(to-utc "2024-02-09T00:00:00")]
+                                                  (fixed-window [:crypto :m] {:start (to-utc "2024-02-08T23:55:00")
+                                                                              :end (to-utc "2024-02-08T23:59:00")})))
+(vec open-dt-window-crypto-m__23-55-00-05)
+;=>
+;[#time/zoned-date-time"2024-02-09T00:04Z[UTC]"
+; #time/zoned-date-time"2024-02-09T00:03Z[UTC]"
+; #time/zoned-date-time"2024-02-09T00:02Z[UTC]"
+; #time/zoned-date-time"2024-02-09T00:01Z[UTC]"
+; #time/zoned-date-time"2024-02-09T00:00Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:59Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:58Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:57Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:56Z[UTC]"
+; #time/zoned-date-time"2024-02-08T23:55Z[UTC]"]
+
+(map #(open->close-dt [:crypto :m] %) open-dt-window-crypto-m__23-55-00-05)
+;=>
+;(#time/zoned-date-time"2024-02-09T00:05Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T00:04Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T00:03Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T00:02Z[UTC]"
+;  #time/zoned-date-time"2024-02-09T00:01Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:59:59.999999999Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:59Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:58Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:57Z[UTC]"
+;  #time/zoned-date-time"2024-02-08T23:56Z[UTC]")

lib/calendar/dev/src/dev/utils.clj

@@ -0,0 +1,5 @@
+(ns dev.utils
+  (:require [tick.core :as t]))
+
+(defn to-utc [dt-str]
+  (t/in (t/date-time dt-str) "UTC"))