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test_exchange_calendar.py
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# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from __future__ import annotations
from collections import abc
from datetime import time
import functools
import itertools
import pathlib
import re
import typing
from typing import Literal
from zoneinfo import ZoneInfo
import numpy as np
import pandas as pd
import pandas.testing as tm
import pytest
from exchange_calendars import errors
from exchange_calendars.calendar_helpers import UTC
from exchange_calendars.calendar_utils import (
ExchangeCalendarDispatcher,
_default_calendar_aliases,
_default_calendar_factories,
)
from exchange_calendars.exchange_calendar import ExchangeCalendar, days_at_time
from exchange_calendars.utils import pandas_utils
from .test_utils import T
class FakeCalendar(ExchangeCalendar):
name = "DMY"
tz = "Asia/Ulaanbaatar"
open_times = ((None, time(11, 13)),)
close_times = ((None, time(11, 49)),)
class TestCalendarRegistration:
@pytest.fixture
def dispatcher(self) -> abc.Iterator[ExchangeCalendarDispatcher]:
dispatcher = ExchangeCalendarDispatcher({}, {}, {})
yield dispatcher
dispatcher.clear_calendars()
@pytest.fixture
def dummy_cal_type(self) -> abc.Iterator[typing.Type[FakeCalendar]]:
yield FakeCalendar
@pytest.fixture
def dummy_cal(self, dummy_cal_type) -> abc.Iterator[FakeCalendar]:
yield dummy_cal_type()
def test_register_calendar(self, dispatcher, dummy_cal):
# Try to register and retrieve dummy calendar
dispatcher.register_calendar("DMY", dummy_cal)
retr_cal = dispatcher.get_calendar("DMY")
assert dummy_cal == retr_cal
# Try to register again, expecting a name collision
with pytest.raises(errors.CalendarNameCollision):
dispatcher.register_calendar("DMY", dummy_cal)
# Deregister the calendar and ensure that it is removed
dispatcher.deregister_calendar("DMY")
with pytest.raises(errors.InvalidCalendarName):
dispatcher.get_calendar("DMY")
def test_register_calendar_type(self, dispatcher, dummy_cal_type):
dispatcher.register_calendar_type("DMY", dummy_cal_type)
retr_cal = dispatcher.get_calendar("DMY")
assert dummy_cal_type == type(retr_cal)
def test_both_places_are_checked(self, dispatcher, dummy_cal):
# if instance is registered, can't register type with same name
dispatcher.register_calendar("DMY", dummy_cal)
with pytest.raises(errors.CalendarNameCollision):
dispatcher.register_calendar_type("DMY", type(dummy_cal))
dispatcher.deregister_calendar("DMY")
# if type is registered, can't register instance with same name
dispatcher.register_calendar_type("DMY", type(dummy_cal))
with pytest.raises(errors.CalendarNameCollision):
dispatcher.register_calendar("DMY", dummy_cal)
def test_force_registration(self, dispatcher, dummy_cal_type):
dispatcher.register_calendar("DMY", dummy_cal_type())
first_dummy = dispatcher.get_calendar("DMY")
# force-register a new instance
dispatcher.register_calendar("DMY", dummy_cal_type(), force=True)
second_dummy = dispatcher.get_calendar("DMY")
assert first_dummy != second_dummy
def test_default_calendars():
"""Test dispatcher and calendar default values."""
dispatcher = ExchangeCalendarDispatcher(
calendars={},
calendar_factories=_default_calendar_factories,
aliases=_default_calendar_aliases,
)
for alias in _default_calendar_aliases:
cal = dispatcher.get_calendar(alias)
assert cal is not None
dispatcher.deregister_calendar(alias)
for name, cal_cls in _default_calendar_factories.items():
cal = dispatcher.get_calendar(name)
assert cal is not None
assert cal.side == "left"
assert cal.first_session >= cal_cls.default_start()
assert cal.last_session <= cal_cls.default_end()
dispatcher.deregister_calendar(name)
@pytest.mark.parametrize(
"day, day_offset, time_offset, tz, expected",
[
# NYSE standard day
(
"2016-07-19",
0,
time(9, 31),
ZoneInfo("America/New_York"),
"2016-07-19 9:31",
),
# CME standard day
(
"2016-07-19",
-1,
time(17, 1),
ZoneInfo("America/Chicago"),
"2016-07-18 17:01",
),
# CME day after DST start
(
"2004-04-05",
-1,
time(17, 1),
ZoneInfo("America/Chicago"),
"2004-04-04 17:01",
),
# ICE day after DST start
(
"1990-04-02",
-1,
time(19, 1),
ZoneInfo("America/Chicago"),
"1990-04-01 19:01",
),
],
)
def test_days_at_time(day, day_offset, time_offset, tz, expected):
days = pd.DatetimeIndex([pd.Timestamp(day)])
result = days_at_time(days, time_offset, tz, day_offset)[0]
expected = pd.Timestamp(expected, tz=tz).tz_convert(UTC)
assert result == expected
def get_csv(name: str) -> pd.DataFrame:
"""Get csv file as DataFrame for given calendar `name`."""
filename = name.replace("/", "-").lower() + ".csv"
path = pathlib.Path(__file__).parent.joinpath("resources", filename)
df = pd.read_csv(
path,
index_col=0,
parse_dates=[0, 1, 2, 3, 4],
)
if df.index.tz is not None:
df.index = df.index.tz_convert(None)
for col in df:
if df[col].dt.tz is None:
df[col] = df[col].dt.tz_localize(UTC)
else:
df[col] = df[col].dt.tz_convert(UTC)
return df
class Answers:
"""Inputs and expected output for testing a given calendar and side.
Inputs and expected outputs are provided by public instance methods and
properties. These either read directly from the corresponding .csv file
or are evaluated from the .csv file contents. NB Properites / methods
MUST NOT make evaluations by way of repeating the code of the
ExchangeCalendar method they are intended to test!
Parameters
----------
calendar_name
Canonical name of calendar for which require answer info. For
example, 'XNYS'.
side {'both', 'left', 'right', 'neither'}
Side of sessions to treat as trading minutes.
"""
ONE_MIN = pd.Timedelta(1, "T")
TWO_MIN = pd.Timedelta(2, "T")
ONE_DAY = pd.Timedelta(1, "D")
LEFT_SIDES = ["left", "both"]
RIGHT_SIDES = ["right", "both"]
def __init__(
self,
calendar_name: str,
side: Literal["left", "right", "both", "neither"],
):
self._name = calendar_name.upper()
self._side = side
# --- Exposed constructor arguments ---
@property
def name(self) -> str:
"""Name of corresponding calendar."""
return self._name
@property
def side(self) -> str:
"""Side of calendar for which answers valid."""
return self._side
# --- Properties read (indirectly) from csv file ---
@functools.cached_property
def answers(self) -> pd.DataFrame:
"""Answers as correspoding csv."""
return get_csv(self.name)
@property
def sessions(self) -> pd.DatetimeIndex:
"""Session labels."""
return self.answers.index
@property
def opens(self) -> pd.Series:
"""Market open time for each session."""
return self.answers.open
@property
def closes(self) -> pd.Series:
"""Market close time for each session."""
return self.answers.close
@property
def break_starts(self) -> pd.Series:
"""Break start time for each session."""
return self.answers.break_start
@property
def break_ends(self) -> pd.Series:
"""Break end time for each session."""
return self.answers.break_end
# --- get and helper methods ---
def get_next_session(self, session: pd.Timestamp) -> pd.Timestamp:
"""Get session that immediately follows `session`."""
if session == self.last_session:
raise IndexError("Cannot get session later than last answers' session.")
idx = self.sessions.get_loc(session) + 1
return self.sessions[idx]
def get_next_sessions(self, session: pd.Timestamp, count: int) -> pd.Timestamp:
"""Get `count` consecutive sessions starting with `session`."""
assert count >= 0, "count can only take positive integers."
start = self.sessions.get_loc(session)
stop = start + count
if stop > len(self.sessions):
raise IndexError("Cannot get sessions later than last answers' session.")
return self.sessions[start:stop]
def get_prev_sessions(self, session: pd.Timestamp, count: int) -> pd.Timestamp:
"""Get `count` consecutive sessions ending with `session`."""
assert count >= 0, "count can only take positive integers."
stop = self.sessions.get_loc(session) + 1
start = stop - count
if start < 0:
raise IndexError("Cannot get sessions earlier than first answers' session.")
return self.sessions[start:stop]
def session_has_break(self, session: pd.Timestamp) -> bool:
"""Query if `session` has a break."""
return session in self.sessions_with_break
@staticmethod
def get_sessions_sample(sessions: pd.DatetimeIndex):
"""Return sample of given `sessions`.
Sample includes:
All sessions within first two years of `sessions`.
All sessions within last two years of `sessions`.
All sessions falling:
within first 3 days of any month.
from 28th of any month.
from 14th through 16th of any month.
"""
if sessions.empty:
return sessions
mask = (
(sessions < sessions[0] + pd.DateOffset(years=2))
| (sessions > sessions[-1] - pd.DateOffset(years=2))
| (sessions.day <= 3)
| (sessions.day >= 28)
| (14 <= sessions.day) & (sessions.day <= 16)
)
return sessions[mask]
def get_sessions_minutes(
self, start: pd.Timestamp, end: pd.Timestamp | int = 1
) -> pd.DatetimeIndex:
"""Get trading minutes for 1 or more consecutive sessions.
Parameters
----------
start
Session from which to get trading minutes.
end
Session through which to get trading mintues. Can be passed as:
pd.Timestamp: return will include trading minutes for `end`
session.
int: where int represents number of consecutive sessions
inclusive of `start`, for which require trading
minutes. Default is 1, such that by default will return
trading minutes for only `start` session.
"""
idx = self.sessions.get_loc(start)
stop = idx + end if isinstance(end, int) else self.sessions.get_loc(end) + 1
indexer = slice(idx, stop)
dtis = []
for first, last, last_am, first_pm in zip(
self.first_minutes[indexer],
self.last_minutes[indexer],
self.last_am_minutes[indexer],
self.first_pm_minutes[indexer],
):
if pd.isna(last_am):
dtis.append(pd.date_range(first, last, freq="T"))
else:
dtis.append(pd.date_range(first, last_am, freq="T"))
dtis.append(pd.date_range(first_pm, last, freq="T"))
return pandas_utils.indexes_union(dtis)
def get_session_minutes(
self, session: pd.Timestamp
) -> tuple[pd.DatetimeIndex, ...]:
"""Get trading minutes a single `session`.
Returns
-------
tuple[pd.DatetimeIndex, ...]
If `session` has a break, returns 2-tuple where:
[0] minutes of am session.
[1] minutes of pm session.
If `session` does not have a break, returns 1-tuple with
element holding minutes of session.
"""
first = self.first_minutes[session]
last = self.last_minutes[session]
last_am = self.last_am_minutes[session]
first_pm = self.first_pm_minutes[session]
if pd.isna(last_am):
return (pd.date_range(first, last, freq="T"),)
else:
return (
pd.date_range(first, last_am, freq="T"),
pd.date_range(first_pm, last, freq="T"),
)
def get_session_break_minutes(self, session: pd.Timestamp) -> pd.DatetimeIndex:
"""Get break minutes for single `session`."""
if not self.session_has_break(session):
return pd.DatetimeIndex([], tz=UTC)
else:
am_minutes, pm_minutes = self.get_session_minutes(session)
first = am_minutes[-1] + self.ONE_MIN
last = pm_minutes[0] - self.ONE_MIN
return pd.date_range(first, last, freq="T")
def get_session_edge_minutes(
self, session: pd.Timestamp, delta: int = 0
) -> pd.Timestamp:
"""Get edge trading minutes for a `session`.
Return will include first and last trading minutes of session and,
if applicable, subsessions. Passing `delta` will double length
of return by including trading minutes at `delta` minutes 'inwards'
from the standard edge minutes. NB `delta` should be less than
the session/subsession duration - this condition is NOT
VERIFIED by this method.
"""
delta = pd.Timedelta(delta, "T")
first_minute = self.first_minutes[session]
last_minute = self.last_minutes[session]
has_break = self.session_has_break(session)
if has_break:
last_am_minute = self.last_am_minutes[session]
first_pm_minute = self.first_pm_minutes[session]
minutes = [first_minute, last_minute]
if delta:
minutes.append(first_minute + delta)
minutes.append(last_minute - delta)
if has_break:
last_am_minute = self.last_am_minutes[session]
first_pm_minute = self.first_pm_minutes[session]
minutes.extend([last_am_minute, first_pm_minute])
if delta:
minutes.append(last_am_minute - delta)
minutes.append(first_pm_minute + delta)
return pd.DatetimeIndex(minutes)
# --- Evaluated general calendar properties ---
@functools.cached_property
def has_a_session_with_break(self) -> pd.DatetimeIndex:
"""Does any session of answers have a break."""
return self.break_starts.notna().any()
@property
def has_a_session_without_break(self) -> bool:
"""Does any session of answers not have a break."""
return self.break_starts.isna().any()
# --- Evaluated properties for first and last sessions ---
@property
def first_session(self) -> pd.Timestamp:
"""First session covered by answers."""
return self.sessions[0]
@property
def last_session(self) -> pd.Timestamp:
"""Last session covered by answers."""
return self.sessions[-1]
@property
def sessions_range(self) -> tuple[pd.Timestamp, pd.Timestamp]:
"""First and last sessions covered by answers."""
return self.first_session, self.last_session
@property
def first_session_open(self) -> pd.Timestamp:
"""Open time of first session covered by answers."""
return self.opens.iloc[0]
@property
def last_session_close(self) -> pd.Timestamp:
"""Close time of last session covered by answers."""
return self.closes.iloc[-1]
@property
def first_minute(self) -> pd.Timestamp:
open_ = self.first_session_open
return open_ if self.side in self.LEFT_SIDES else open_ + self.ONE_MIN
@property
def last_minute(self) -> pd.Timestamp:
close = self.last_session_close
return close if self.side in self.RIGHT_SIDES else close - self.ONE_MIN
@property
def trading_minutes_range(self) -> tuple[pd.Timestamp, pd.Timestamp]:
"""First and last trading minutes covered by answers."""
return self.first_minute, self.last_minute
# --- out-of-bounds properties ---
@property
def minute_too_early(self) -> pd.Timestamp:
"""Minute earlier than first trading minute."""
return self.first_minute - self.ONE_MIN
@property
def minute_too_late(self) -> pd.Timestamp:
"""Minute later than last trading minute."""
return self.last_minute + self.ONE_MIN
@property
def session_too_early(self) -> pd.Timestamp:
"""Date earlier than first session."""
return self.first_session - self.ONE_DAY
@property
def session_too_late(self) -> pd.Timestamp:
"""Date later than last session."""
return self.last_session + self.ONE_DAY
# --- Evaluated properties covering every session. ---
@functools.cached_property
def first_minutes(self) -> pd.Series:
"""First trading minute of each session (UTC)."""
if self.side in self.LEFT_SIDES:
minutes = self.opens.copy()
else:
minutes = self.opens + self.ONE_MIN
minutes.name = "first_minutes"
return minutes
@property
def first_minutes_plus_one(self) -> pd.Series:
"""First trading minute of each session plus one minute."""
return self.first_minutes + self.ONE_MIN
@property
def first_minutes_less_one(self) -> pd.Series:
"""First trading minute of each session less one minute."""
return self.first_minutes - self.ONE_MIN
@functools.cached_property
def last_minutes(self) -> pd.Series:
"""Last trading minute of each session."""
if self.side in self.RIGHT_SIDES:
minutes = self.closes.copy()
else:
minutes = self.closes - self.ONE_MIN
minutes.name = "last_minutes"
return minutes
@property
def last_minutes_plus_one(self) -> pd.Series:
"""Last trading minute of each session plus one minute."""
return self.last_minutes + self.ONE_MIN
@property
def last_minutes_less_one(self) -> pd.Series:
"""Last trading minute of each session less one minute."""
return self.last_minutes - self.ONE_MIN
@functools.cached_property
def last_am_minutes(self) -> pd.Series:
"""Last pre-break trading minute of each session.
NaT if session does not have a break.
"""
if self.side in self.RIGHT_SIDES:
minutes = self.break_starts.copy()
else:
minutes = self.break_starts - self.ONE_MIN
minutes.name = "last_am_minutes"
return minutes
@property
def last_am_minutes_plus_one(self) -> pd.Series:
"""Last pre-break trading minute of each session plus one minute."""
return self.last_am_minutes + self.ONE_MIN
@property
def last_am_minutes_less_one(self) -> pd.Series:
"""Last pre-break trading minute of each session less one minute."""
return self.last_am_minutes - self.ONE_MIN
@functools.cached_property
def first_pm_minutes(self) -> pd.Series:
"""First post-break trading minute of each session.
NaT if session does not have a break.
"""
if self.side in self.LEFT_SIDES:
minutes = self.break_ends.copy()
else:
minutes = self.break_ends + self.ONE_MIN
minutes.name = "first_pm_minutes"
return minutes
@property
def first_pm_minutes_plus_one(self) -> pd.Series:
"""First post-break trading minute of each session plus one minute."""
return self.first_pm_minutes + self.ONE_MIN
@property
def first_pm_minutes_less_one(self) -> pd.Series:
"""First post-break trading minute of each session less one minute."""
return self.first_pm_minutes - self.ONE_MIN
# --- Evaluated session sets and ranges that meet a specific condition ---
@property
def _mask_breaks(self) -> pd.Series:
return self.break_starts.notna()
@functools.cached_property
def sessions_with_break(self) -> pd.DatetimeIndex:
return self.sessions[self._mask_breaks]
@functools.cached_property
def sessions_without_break(self) -> pd.DatetimeIndex:
return self.sessions[~self._mask_breaks]
@property
def sessions_without_break_run(self) -> pd.DatetimeIndex:
"""Longest run of consecutive sessions without a break."""
s = self.break_starts.isna()
if s.empty:
return pd.DatetimeIndex([], tz=UTC)
return pandas_utils.longest_run(s)
@property
def sessions_without_break_range(self) -> tuple[pd.Timestamp, pd.Timestamp] | None:
"""Longest session range that does not include a session with a break.
Returns None if all sessions have a break.
"""
sessions = self.sessions_without_break_run
if sessions.empty:
return None
return sessions[0], sessions[-1]
@property
def _mask_sessions_without_gap_after(self) -> pd.Series:
if self.side == "neither":
# will always have gap after if neither open or close are trading
# minutes (assuming sessions cannot overlap)
return pd.Series(False, index=self.sessions)
elif self.side == "both":
# a trading minute cannot be a minute of more than one session.
assert not (self.closes == self.opens.shift(-1)).any()
# there will be no gap if next open is one minute after previous close
closes_plus_min = self.closes + pd.Timedelta(1, "T")
return self.opens.shift(-1) == closes_plus_min
else:
return self.opens.shift(-1) == self.closes
@property
def _mask_sessions_without_gap_before(self) -> pd.Series:
if self.side == "neither":
# will always have gap before if neither open or close are trading
# minutes (assuming sessions cannot overlap)
return pd.Series(False, index=self.sessions)
elif self.side == "both":
# a trading minute cannot be a minute of more than one session.
assert not (self.closes == self.opens.shift(-1)).any()
# there will be no gap if previous close is one minute before next open
opens_minus_one = self.opens - pd.Timedelta(1, "T")
return self.closes.shift(1) == opens_minus_one
else:
return self.closes.shift(1) == self.opens
@functools.cached_property
def sessions_without_gap_after(self) -> pd.DatetimeIndex:
"""Sessions not followed by a non-trading minute.
Rather, sessions immediately followed by first trading minute of
next session.
"""
mask = self._mask_sessions_without_gap_after
return self.sessions[mask][:-1]
@functools.cached_property
def sessions_with_gap_after(self) -> pd.DatetimeIndex:
"""Sessions followed by a non-trading minute."""
mask = self._mask_sessions_without_gap_after
return self.sessions[~mask][:-1]
@functools.cached_property
def sessions_without_gap_before(self) -> pd.DatetimeIndex:
"""Sessions not preceeded by a non-trading minute.
Rather, sessions immediately preceeded by last trading minute of
previous session.
"""
mask = self._mask_sessions_without_gap_before
return self.sessions[mask][1:]
@functools.cached_property
def sessions_with_gap_before(self) -> pd.DatetimeIndex:
"""Sessions preceeded by a non-trading minute."""
mask = self._mask_sessions_without_gap_before
return self.sessions[~mask][1:]
# times are changing...
@property
def sessions_unchanging_times_run(self) -> pd.DatetimeIndex:
"""Longest run of sessions that have unchanging times."""
bv = ~self.sessions.isin(self.sessions_next_time_different)
s = pd.Series(bv, index=self.sessions)
return pandas_utils.longest_run(s)
@functools.lru_cache(maxsize=16)
def _get_sessions_with_times_different_to_next_session(
self,
column: Literal["opens", "closes", "break_starts", "break_ends"],
) -> list[pd.DatetimeIndex]:
"""For a given answers column, get session labels where time differs
from time of next session.
Where `column` is a break time ("break_starts" or "break_ends"), return
will not include sessions when next session has a different `has_break`
status. For example, if session_0 has a break and session_1 does not have
a break, or vice versa, then session_0 will not be included to return. For
sessions followed by a session with a different `has_break` status, see
`_get_sessions_with_has_break_different_to_next_session`.
Returns
-------
list of pd.Datetimeindex
[0] sessions with earlier next session
[1] sessions with later next session
"""
# column takes string to allow lru_cache (Series not hashable)
is_break_col = column[0] == "b"
column_ = getattr(self, column)
if is_break_col:
if column_.isna().all():
return [pd.DatetimeIndex([])] * 2
column_ = column_.ffill().bfill()
diff = (column_.shift(-1) - column_)[:-1]
remainder = diff % pd.Timedelta(hours=24)
mask = remainder != pd.Timedelta(0)
sessions = self.sessions[:-1][mask]
next_session_earlier_mask = remainder[mask] > pd.Timedelta(hours=12)
next_session_earlier = sessions[next_session_earlier_mask]
next_session_later = sessions[~next_session_earlier_mask]
if is_break_col:
mask = next_session_earlier.isin(self.sessions_without_break)
next_session_earlier = next_session_earlier.drop(next_session_earlier[mask])
mask = next_session_later.isin(self.sessions_without_break)
next_session_later = next_session_later.drop(next_session_later[mask])
return [next_session_earlier, next_session_later]
@property
def _sessions_with_opens_different_to_next_session(
self,
) -> list[pd.DatetimeIndex]:
return self._get_sessions_with_times_different_to_next_session("opens")
@property
def _sessions_with_closes_different_to_next_session(
self,
) -> list[pd.DatetimeIndex]:
return self._get_sessions_with_times_different_to_next_session("closes")
@property
def _sessions_with_break_start_different_to_next_session(
self,
) -> list[pd.DatetimeIndex]:
return self._get_sessions_with_times_different_to_next_session("break_starts")
@property
def _sessions_with_break_end_different_to_next_session(
self,
) -> list[pd.DatetimeIndex]:
return self._get_sessions_with_times_different_to_next_session("break_ends")
@property
def sessions_next_open_earlier(self) -> pd.DatetimeIndex:
return self._sessions_with_opens_different_to_next_session[0]
@property
def sessions_next_open_later(self) -> pd.DatetimeIndex:
return self._sessions_with_opens_different_to_next_session[1]
@property
def sessions_next_open_different(self) -> pd.DatetimeIndex:
return self.sessions_next_open_earlier.union(self.sessions_next_open_later)
@property
def sessions_next_close_earlier(self) -> pd.DatetimeIndex:
return self._sessions_with_closes_different_to_next_session[0]
@property
def sessions_next_close_later(self) -> pd.DatetimeIndex:
return self._sessions_with_closes_different_to_next_session[1]
@property
def sessions_next_close_different(self) -> pd.DatetimeIndex:
return self.sessions_next_close_earlier.union(self.sessions_next_close_later)
@property
def sessions_next_break_start_earlier(self) -> pd.DatetimeIndex:
return self._sessions_with_break_start_different_to_next_session[0]
@property
def sessions_next_break_start_later(self) -> pd.DatetimeIndex:
return self._sessions_with_break_start_different_to_next_session[1]
@property
def sessions_next_break_start_different(self) -> pd.DatetimeIndex:
earlier = self.sessions_next_break_start_earlier
later = self.sessions_next_break_start_later
return earlier.union(later)
@property
def sessions_next_break_end_earlier(self) -> pd.DatetimeIndex:
return self._sessions_with_break_end_different_to_next_session[0]
@property
def sessions_next_break_end_later(self) -> pd.DatetimeIndex:
return self._sessions_with_break_end_different_to_next_session[1]
@property
def sessions_next_break_end_different(self) -> pd.DatetimeIndex:
earlier = self.sessions_next_break_end_earlier
later = self.sessions_next_break_end_later
return earlier.union(later)
@functools.cached_property
def _get_sessions_with_has_break_different_to_next_session(
self,
) -> tuple[pd.DatetimeIndex, pd.DatetimeIndex]:
"""Get sessions with 'has_break' different to next session.
Returns
-------
tuple[pd.DatetimeIndex, pd.DatetimeIndex]
[0] Sessions that have a break and are immediately followed by
a session which does not have a break.
[1] Sessions that do not have a break and are immediately
followed by a session which does have a break.
"""
mask = (self.break_starts.notna() & self.break_starts.shift(-1).isna())[:-1]
sessions_with_break_next_session_without_break = self.sessions[:-1][mask]
mask = (self.break_starts.isna() & self.break_starts.shift(-1).notna())[:-1]
sessions_without_break_next_session_with_break = self.sessions[:-1][mask]
return (
sessions_with_break_next_session_without_break,
sessions_without_break_next_session_with_break,
)
@property
def sessions_with_break_next_session_without_break(self) -> pd.DatetimeIndex:
return self._get_sessions_with_has_break_different_to_next_session[0]
@property
def sessions_without_break_next_session_with_break(self) -> pd.DatetimeIndex:
return self._get_sessions_with_has_break_different_to_next_session[1]
@functools.cached_property
def sessions_next_time_different(self) -> pd.DatetimeIndex:
"""Sessions where next session has a different time for any column.
Includes sessions where next session has a different `has_break`
status.
"""
return pandas_utils.indexes_union(
[
self.sessions_next_open_different,
self.sessions_next_close_different,
self.sessions_next_break_start_different,
self.sessions_next_break_end_different,
self.sessions_with_break_next_session_without_break,
self.sessions_without_break_next_session_with_break,
]
)
# session blocks...
def _create_changing_times_session_block(
self, session: pd.Timestamp
) -> pd.DatetimeIndex:
"""Create block of sessions with changing times.
Given a `session` known to have at least one time (open, close,
break_start or break_end) different from the next session, returns
a block of consecutive sessions ending with the first session after
`session` that has the same times as the session that immediately
preceeds it (i.e. the last two sessions of the block will have the
same times), or the last calendar session.
"""
start_idx = self.sessions.get_loc(session)
end_idx = start_idx + 1
while self.sessions[end_idx] in self.sessions_next_time_different:
end_idx += 1
end_idx += 2 # +1 to include session with same times, +1 to serve as end index
return self.sessions[start_idx:end_idx]
def _get_normal_session_block(self) -> pd.DatetimeIndex:
"""Block of 3 sessions with unchanged timings."""
start_idx = len(self.sessions) // 3
end_idx = start_idx + 21
def times_equal(*s):
for elems in zip(*s):
if not set(elems) == {pd.NaT}:
if not len({elem.time() for elem in elems}) == 1:
return False
return True
for i in range(start_idx, end_idx):
times_1 = self.answers.iloc[i]
times_2 = self.answers.iloc[i + 1]
times_3 = self.answers.iloc[i + 2]
if times_equal(times_1, times_2, times_3):
break
assert i < (end_idx - 1), "Unable to evaluate a normal session block!"
return self.sessions[i : i + 3]
def _get_session_block(
self, from_session_of: pd.DatetimeIndex, to_session_of: pd.DatetimeIndex
) -> pd.DatetimeIndex:
"""Get session block with bounds defined by sessions of given indexes.
Block will start with middle session of `from_session_of`.
Block will run to the nearest subsequent session of `to_session_of`
(or `self.final_session` if this comes first). Block will end with
the session that immedidately follows this session.
"""
i = len(from_session_of) // 2
start_session = from_session_of[i]
start_idx = self.sessions.get_loc(start_session)
end_idx = start_idx + 1
end_session = self.sessions[end_idx]
while end_session not in to_session_of and end_session != self.last_session:
end_idx += 1
end_session = self.sessions[end_idx]
return self.sessions[start_idx : end_idx + 2]
@functools.cached_property
def session_blocks(self) -> dict[str, pd.DatetimeIndex]:
"""Dictionary of session blocks of a particular behaviour.
A block comprises either a single session or multiple contiguous
sessions.
Keys:
"normal" - three sessions with unchanging timings.
"first_three" - answers' first three sessions.
"last_three" - answers's last three sessions.
"next_open_earlier" - session 1 open is earlier than session 0
open.
"next_open_later" - session 1 open is later than session 0
open.
"next_close_earlier" - session 1 close is earlier than session
0 close.
"next_close_later" - session 1 close is later than session 0
close.
"next_break_start_earlier" - session 1 break_start is earlier
than session 0 break_start.
"next_break_start_later" - session 1 break_start is later than
session 0 break_start.
"next_break_end_earlier" - session 1 break_end is earlier than
session 0 break_end.
"next_break_end_later" - session 1 break_end is later than
session 0 break_end.
"with_break_to_without_break" - session 0 has a break, session
1 does not have a break.
"without_break_to_with_break" - session 0 does not have a
break, session 1 does have a break.
"without_gap_to_with_gap" - session 0 is not followed by a
gap, session -2 is followed by a gap, session -1 is
preceeded by a gap.
"with_gap_to_without_gap" - session 0 is followed by a gap,
session -2 is not followed by a gap, session -1 is not
preceeded by a gap.
"follows_non_session" - one or two sessions where session 0
is preceeded by a date that is a non-session.
"follows_non_session" - one or two sessions where session -1
is followed by a date that is a non-session.
"contains_non_session" = two sessions with at least one
non-session date in between.
If no such session block exists for any key then value will take an
empty DatetimeIndex (UTC).
"""
blocks = {}
blocks["normal"] = self._get_normal_session_block()
blocks["first_three"] = self.sessions[:3]
blocks["last_three"] = self.sessions[-3:]
# blocks here include where: