fix zero division error in PriceDeviation when aggregate price is 0

pyth_observer/calendar.py

@@ -0,0 +1,46 @@
+import datetime
+
+EQUITY_START = datetime.time(9, 30, 0)
+EQUITY_CLOSE = datetime.time(16, 0, 0)
+EQUITY_EARLY_CLOSE = datetime.time(13, 0, 0)
+EQUITY_HOLIDAYS = ["2022-01-17", "2022-02-21", "2022-04-15", "2022-05-30",
+                   "2022-06-20", "2022-07-04", "2022-09-05", "2022-11-24", "2022-11-25", "2022-12-26"]
+EQUITY_HOLIDAYS_EARLY = ["2022-11-25"]
+EQUITY_TRADING_DAYS = [1, 2, 3, 4, 5]
+
+FX_START = datetime.time(17, 0, 0)
+FX_CLOSE = datetime.time(16, 0, 0)
+FX_TRADING_DAYS = [7, 1, 2, 3, 4, 5]
+
+METAL_START = datetime.time(18, 3, 0)
+METAL_CLOSE = datetime.time(16, 58, 0)
+METAL_TRADING_DAYS = [7, 1, 2, 3, 4, 5]
+
+
+class Calendar:
+    def is_market_open(self, product, dt):
+        day, date, time = dt.weekday(), dt.date(), dt.time()
+        if product.attrs["asset_type"] == "Equity":
+            # market holiday
+            if date.strftime("%Y-%m-%d") in EQUITY_HOLIDAYS:
+                # market within early closing hours
+                if date.strftime("%Y-%m-%d") in EQUITY_HOLIDAYS_EARLY and time >= EQUITY_START and time <= EQUITY_EARLY_CLOSE:
+                    breakpoint()
+                    return True
+                # market after holiday closing hours
+                return False
+            # market within regular opening hours
+            if day in EQUITY_TRADING_DAYS and time >= EQUITY_START and time <= EQUITY_CLOSE:
+                return True
+            # market closed
+            return False
+        elif product.attrs["asset_type"] == "FX":
+            if day in FX_TRADING_DAYS:
+                if (day == 7 and time < FX_START) or (day == 5 and time > FX_CLOSE):
+                    return False
+                return True
+            return False
+        elif product.attrs["asset_type"] == "Metal":
+            pass
+        else:  # Crypto
+            return True

pyth_observer/events.py

@@ -185,6 +185,10 @@ class PriceDeviation(PriceValidationEvent):
 
     def is_valid(self) -> bool:
         delta = self.publisher_aggregate.price - self.price.aggregate.price
+        if self.price.aggregate.price == 0:
+            # TODO: add another alert that validates whether the aggregate price is close to the truth
+            return True
+
         self.deviation = abs(delta / self.price.aggregate.price) * 100
 
         if (self.price.is_publishing(self.publisher_key) and
@@ -196,7 +200,6 @@ def is_valid(self) -> bool:
     def get_event_details(self) -> Tuple[str, List[str]]:
         agg = self.price.aggregate
         published = self.publisher_aggregate
-
         title = f"{self.publisher_name.upper()} price is {self.deviation:.0f}% off on {self.symbol}"
         details = [
             f"Aggregate: {agg.price:.2f} ± {agg.confidence_interval:.2f} (slot {agg.slot})",
@@ -232,6 +235,8 @@ def get_event_details(self) -> Tuple[str, List[str]]:
             f"Published last slot: {self.publisher_latest.slot}"
         )
 
+        return title, details
+
 
 # Price Account events