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dates.go
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dates.go
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// Copyright 2021-2023
// SPDX-License-Identifier: Apache-2.0
//
// 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.
package data
import (
"time"
"github.com/penny-vault/pv-api/dataframe"
"github.com/penny-vault/pv-api/tradecron"
"github.com/rs/zerolog/log"
)
// FilterDays takes an array of dates and filters it based on the requested frequency
func FilterDays(frequency dataframe.Frequency, dates []time.Time) []time.Time {
days := make([]time.Time, 0, 252)
var schedule *tradecron.TradeCron
var err error
switch frequency {
case dataframe.Daily:
schedule, err = tradecron.New("@close * * *", tradecron.RegularHours)
if err != nil {
log.Panic().Err(err).Str("Schedule", "@close * * *").Msg("could not build tradecron schedule")
}
case dataframe.WeekBegin:
schedule, err = tradecron.New("@close @weekbegin", tradecron.RegularHours)
if err != nil {
log.Panic().Err(err).Str("Schedule", "@close @weekbegin").Msg("could not build tradecron schedule")
}
case dataframe.WeekEnd:
schedule, err = tradecron.New("@close @weekend", tradecron.RegularHours)
if err != nil {
log.Panic().Err(err).Str("Schedule", "@close @weekend").Msg("could not build tradecron schedule")
}
case dataframe.MonthBegin:
schedule, err = tradecron.New("@close @monthbegin", tradecron.RegularHours)
if err != nil {
log.Panic().Err(err).Str("Schedule", "@close @monthbegin").Msg("could not build tradecron schedule")
}
case dataframe.MonthEnd:
schedule, err = tradecron.New("@close @monthend", tradecron.RegularHours)
if err != nil {
log.Panic().Err(err).Str("Schedule", "@close @monthend").Msg("could not build tradecron schedule")
}
case dataframe.YearBegin:
schedule, err = tradecron.New("@close @monthbegin 0 * * 1", tradecron.RegularHours)
if err != nil {
log.Panic().Err(err).Str("Schedule", "@close @monthbegin 0 * * 1").Msg("could not build tradecron schedule")
}
case dataframe.YearEnd:
schedule, err = tradecron.New("@close @monthend 0 * * 12", tradecron.RegularHours)
if err != nil {
log.Panic().Err(err).Str("Schedule", "@close @monthend 0 * * 12").Msg("could not build tradecron schedule")
}
}
for _, xx := range dates {
if schedule.IsTradeDay(xx) {
days = append(days, xx)
}
}
return days
}