feat(alpacabkfeeder): extended_hours config

contrib/alpacabkfeeder/README.md

@@ -68,14 +68,22 @@ bgworkers:
       # Numbers separated by commas are allowed.  Example: "0,15,30,45" -> execute every 15 minutes.
       # Whitespaces are ignored.
       off_hours_schedule: "0,15,30,45"
-      # Alpaca Broker API Feeder runs from openTime ~ closeTime (UTC)
-      openTime: "14:30:00" # 14:30(UTC) = 09:30 (EST)
-      closeTime: "21:00:00" # 21:00(UTC) = 16:00 (EST)
+      # (Deprecated) Alpaca Broker API Feeder runs from openTime ~ closeTime (UTC)
+      # openTime: "14:30:00" # 14:30(UTC) = 09:30 (EST)
+      # closeTime: "14:29:00"
+      # Alpaca Broker API Feeder runs between open_time_NY and close_time_NY
+      # (in "America/New_York" Location)
+      open_time_NY: "9:25:00"
+      close_time_NY: "16:10:00"
+      # When extended_hours is false, TICK data during the off-hours 
+      # (= time < openTime and time > closeTime) are dropped and not stored in DB, 
+      # even when off_hours_schedule is set.
+      extended_hours: false
       # Alpaca Broker API Feeder doesn't run on the following days of the week
       closedDaysOfTheWeek:
         - "Saturday"
         - "Sunday"
-      # Alpaca Broker API Feeder doesn't run on the closed dates (in JST)
+      # Alpaca Broker API Feeder doesn't run on the closed dates (in "America/New_York" location)
       # (cf. https://www.jpx.co.jp/corporate/about-jpx/calendar/ )
       closedDays:
         - "2021-12-24"

contrib/alpacabkfeeder/alpacav2.go

@@ -34,12 +34,7 @@ func NewBgWorker(conf map[string]interface{}) (bgworker.BgWorker, error) {
 	apiCli := apiClient(config)
 
 	// init Market Time Checker
-	var timeChecker feed.MarketTimeChecker
-	timeChecker = feed.NewDefaultMarketTimeChecker(
-		config.ClosedDaysOfTheWeek,
-		config.ClosedDays,
-		config.OpenTime,
-		config.CloseTime)
+	var timeChecker feed.MarketTimeChecker = defaultTimeChecker(config)
 	if config.OffHoursSchedule != "" {
 		scheduleMin, err := feed.ParseSchedule(config.OffHoursSchedule)
 		if err != nil {
@@ -53,6 +48,11 @@ func NewBgWorker(conf map[string]interface{}) (bgworker.BgWorker, error) {
 			timeChecker,
 			scheduleMin,
 		)
+
+		if !config.ExtendedHours {
+			log.Warn("[Alpaca Broker Feeder] both off_hours_schedule and extend_hours=false is set! " +
+				"off-hour records won't be stored.")
+		}
 	}
 
 	ctx := context.Background()
@@ -72,12 +72,6 @@ func NewBgWorker(conf map[string]interface{}) (bgworker.BgWorker, error) {
 	timer.RunEveryDayAt(ctx, config.SymbolsUpdateTime, sm.UpdateSymbols)
 	log.Info("updated symbols using a remote json file.")
 
-	// init SnapshotWriter
-	var ssw writer.SnapshotWriter = writer.SnapshotWriterImpl{
-		MarketStoreWriter: &writer.MarketStoreWriterImpl{},
-		Timeframe:         config.Timeframe,
-		Timezone:          utils.InstanceConfig.Timezone,
-	}
 	// init BarWriter
 	var bw writer.BarWriter = writer.BarWriterImpl{
 		MarketStoreWriter: &writer.MarketStoreWriterImpl{},
@@ -99,7 +93,7 @@ func NewBgWorker(conf map[string]interface{}) (bgworker.BgWorker, error) {
 		MarketTimeChecker: timeChecker,
 		APIClient:         apiCli,
 		SymbolManager:     sm,
-		SnapshotWriter:    ssw,
+		SnapshotWriter:    snapshotWriter(config),
 		BarWriter:         bw,
 		Interval:          config.Interval,
 	}, nil
@@ -120,4 +114,26 @@ func apiClient(config *configs.DefaultConfig) *api.Client {
 	return api.NewClient(cred)
 }
 
+func defaultTimeChecker(config *configs.DefaultConfig) *feed.DefaultMarketTimeChecker {
+	return feed.NewDefaultMarketTimeChecker(
+		config.ClosedDaysOfTheWeek,
+		config.ClosedDays,
+		config.OpenHourNY, config.OpenMinuteNY,
+		config.CloseHourNY, config.CloseMinuteNY)
+}
+
+func snapshotWriter(config *configs.DefaultConfig) writer.SnapshotWriter {
+	var tc writer.MarketTimeChecker = &writer.NoopMarketTimeChecker{}
+	if !config.ExtendedHours {
+		tc = defaultTimeChecker(config)
+	}
+
+	return writer.NewSnapshotWriterImpl(
+		&writer.MarketStoreWriterImpl{},
+		config.Timeframe,
+		utils.InstanceConfig.Timezone,
+		tc,
+	)
+}
+
 func main() {}

contrib/alpacabkfeeder/configs/config.go

@@ -4,6 +4,8 @@ import (
 	"strings"
 	"time"
 
+	"github.com/alpacahq/marketstore/v4/utils/log"
+
 	jsoniter "github.com/json-iterator/go"
 	"github.com/pkg/errors"
 )
@@ -22,19 +24,20 @@ var json = jsoniter.ConfigCompatibleWithStandardLibrary
 // DefaultConfig is the configuration for Alpaca Broker API Feeder you can define in
 // marketstore's config file through bgworker extension.
 type DefaultConfig struct {
-	Exchanges           []Exchange `json:"exchanges"`
-	SymbolsUpdateTime   time.Time  `json:"symbols_update_time"`
-	UpdateTime          time.Time  `json:"update_time"`
-	StocksJSONURL       string     `json:"stocks_json_url"`
-	StocksJSONBasicAuth string     `json:"stocks_json_basic_auth"`
-	Timeframe           string     `json:"timeframe"`
-	APIKeyID            string     `json:"api_key_id"`
-	APISecretKey        string     `json:"api_secret_key"`
-	OpenTime            time.Time
-	CloseTime           time.Time
-	ClosedDaysOfTheWeek []time.Weekday
-	ClosedDays          []time.Time
-	Interval            int `json:"interval"`
+	Exchanges                  []Exchange `json:"exchanges"`
+	SymbolsUpdateTime          time.Time  `json:"symbols_update_time"`
+	UpdateTime                 time.Time  `json:"update_time"`
+	StocksJSONURL              string     `json:"stocks_json_url"`
+	StocksJSONBasicAuth        string     `json:"stocks_json_basic_auth"`
+	Timeframe                  string     `json:"timeframe"`
+	APIKeyID                   string     `json:"api_key_id"`
+	APISecretKey               string     `json:"api_secret_key"`
+	OpenHourNY, OpenMinuteNY   int
+	CloseHourNY, CloseMinuteNY int
+	ExtendedHours              bool
+	ClosedDaysOfTheWeek        []time.Weekday
+	ClosedDays                 []time.Time
+	Interval                   int `json:"interval"`
 	// The data-feeding is executed when 'minute' of the current time matches off_hours_schedule
 	// even when the market is cloded. Example: "10" -> execute at 00:10, 01:10, 02:10,...,23:10
 	// Numbers separated by commas are allowed.  Example: "0,15,30,45" -> execute every 15 minutes.
@@ -84,8 +87,10 @@ func (c *DefaultConfig) UnmarshalJSON(input []byte) error {
 	aux := &struct {
 		SymbolsUpdateTime   CustomTime  `json:"symbols_update_time"`
 		UpdateTime          CustomTime  `json:"update_time"`
-		OpenTime            CustomTime  `json:"openTime"`
-		CloseTime           CustomTime  `json:"closeTime"`
+		OpenTime            CustomTime  `json:"openTime"`  // deprecated
+		CloseTime           CustomTime  `json:"closeTime"` // deprecated
+		OpenTimeNY          CustomTime  `json:"open_time_NY"`
+		CloseTimeNY         CustomTime  `json:"close_time_NY"`
 		ClosedDaysOfTheWeek []weekday   `json:"closedDaysOfTheWeek"`
 		ClosedDays          []CustomDay `json:"closedDays"`
 		*Alias
@@ -96,8 +101,14 @@ func (c *DefaultConfig) UnmarshalJSON(input []byte) error {
 	}
 	c.SymbolsUpdateTime = time.Time(aux.SymbolsUpdateTime)
 	c.UpdateTime = time.Time(aux.UpdateTime)
-	c.OpenTime = time.Time(aux.OpenTime)
-	c.CloseTime = time.Time(aux.CloseTime)
+	if !time.Time(aux.OpenTime).IsZero() || !time.Time(aux.CloseTime).IsZero() {
+		log.Error("!!!!!!!!open_time and close_time config are DEPRECATED!!!!!!!! " +
+			"Please use open_time_NY and close_time_NY instead.")
+		return errors.New("!!!!!!!!open_time and close_time config are DEPRECATED!!!!!!!! " +
+			"Please use open_time_NY and close_time_NY instead.")
+	}
+	c.OpenHourNY, c.OpenMinuteNY, _ = time.Time(aux.OpenTimeNY).Clock()
+	c.CloseHourNY, c.CloseMinuteNY, _ = time.Time(aux.CloseTimeNY).Clock()
 	c.ClosedDaysOfTheWeek = convertTime(aux.ClosedDaysOfTheWeek)
 	c.ClosedDays = convertDate(aux.ClosedDays)
 

contrib/alpacabkfeeder/feed/time_checker.go

@@ -9,7 +9,7 @@ import (
 	"github.com/alpacahq/marketstore/v4/utils/log"
 )
 
-var jst = time.FixedZone("Asia/Tokyo", 9*60*60)
+var ny, _ = time.LoadLocation("America/New_York")
 
 // MarketTimeChecker is an interface to check if the market is open at the specified time or not.
 type MarketTimeChecker interface {
@@ -26,53 +26,44 @@ type MarketTimeChecker interface {
 // all those settings should be defined in this object.
 type DefaultMarketTimeChecker struct {
 	// i.e. []string{"Saturday", "Sunday"}
-	ClosedDaysOfTheWeek []time.Weekday
-	ClosedDays          []time.Time
-	OpenTime            time.Time
-	CloseTime           time.Time
+	ClosedDaysOfTheWeek        []time.Weekday
+	ClosedDays                 []time.Time
+	OpenHourNY, OpenMinuteNY   int
+	CloseHourNY, CloseMinuteNY int
 }
 
 // NewDefaultMarketTimeChecker initializes the DefaultMarketTimeChecker object with the specifier parameters.s.
 func NewDefaultMarketTimeChecker(
 	closedDaysOfTheWeek []time.Weekday,
 	closedDays []time.Time,
-	openTime time.Time,
-	closeTime time.Time,
+	openHourNY, openMinuteNY int,
+	closeHourNY, closeMinuteNY int,
 ) *DefaultMarketTimeChecker {
 	return &DefaultMarketTimeChecker{
 		ClosedDaysOfTheWeek: closedDaysOfTheWeek,
 		ClosedDays:          closedDays,
-		OpenTime:            openTime,
-		CloseTime:           closeTime,
+		OpenHourNY:          openHourNY, OpenMinuteNY: openMinuteNY,
+		CloseHourNY: closeHourNY, CloseMinuteNY: closeMinuteNY,
 	}
 }
 
 // IsOpen returns true on weekdays from 08:55 to 15:10.
 // if closedDates are defined, return false on those days.
 func (m *DefaultMarketTimeChecker) IsOpen(t time.Time) bool {
-	timeInJst := t.In(jst)
-	return m.isOpenDate(timeInJst) && m.isOpenWeekDay(timeInJst) && m.isOpenTime(t)
+	tNY := t.In(ny)
+	return m.isOpenDate(tNY) && m.isOpenWeekDay(tNY) && m.isOpenTime(tNY)
 }
 
 // isOpenTime returns true if the specified time is between the OpenTime and the CloseTime.
-func (m *DefaultMarketTimeChecker) isOpenTime(t time.Time) bool {
-	minFrom12am := t.Hour()*60 + t.Minute()
+func (m *DefaultMarketTimeChecker) isOpenTime(nyT time.Time) bool {
+	nyTYear, nyTMonth, nyTDay := nyT.Date()
+	openTimeNY := time.Date(nyTYear, nyTMonth, nyTDay, m.OpenHourNY, m.OpenMinuteNY, 0, 0, ny)
+	closeTimeNY := time.Date(nyTYear, nyTMonth, nyTDay, m.CloseHourNY, m.CloseMinuteNY, 0, 0, ny)
 
-	openMinFrom12am := m.OpenTime.Hour()*60 + m.OpenTime.Minute()
-	closeMinFrom12am := m.CloseTime.Hour()*60 + m.CloseTime.Minute()
-
-	// if the open hour is later than the close hour (i.e. open=23h, close=6h), +1day
-	if closeMinFrom12am < openMinFrom12am {
-		closeMinFrom12am += 24 * 60
-	}
-	if minFrom12am < openMinFrom12am {
-		minFrom12am += 24 * 60
-	}
-
-	if minFrom12am < openMinFrom12am || minFrom12am >= closeMinFrom12am {
+	if nyT.Before(openTimeNY) || nyT.After(closeTimeNY) {
 		log.Debug(fmt.Sprintf("[Alpaca Broker Feeder] market is not open. "+
-			"openTime=%02d:%02d, closeTime=%02d:%02d, now=%v",
-			m.OpenTime.Hour(), m.OpenTime.Minute(), m.CloseTime.Hour(), m.CloseTime.Minute(), t))
+			"openTime(NewYork)=%02d:%02d, closeTime(NewYork)=%02d:%02d, now=%v",
+			openTimeNY.Hour(), openTimeNY.Minute(), closeTimeNY.Hour(), closeTimeNY.Minute(), nyT))
 		return false
 	}
 	return true