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Improvements_again #47

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Merged
merged 4 commits into from
Jan 10, 2023
Merged

Improvements_again #47

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29f1006
Add fx/metal close hours
ali-behjati Jan 10, 2023
ad00474
Add confidence interval info on pub price check
ali-behjati Jan 10, 2023
541346b
Bump version to 0.1.3
ali-behjati Jan 10, 2023
be3b0fb
refactor
ali-behjati Jan 10, 2023
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2 changes: 1 addition & 1 deletion pyproject.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -4,7 +4,7 @@ ignore_missing_imports = true

[tool.poetry]
name = "pyth-observer"
version = "0.1.2"
version = "0.1.3"
description = "Alerts and stuff"
authors = []
readme = "README.md"
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25 changes: 21 additions & 4 deletions pyth_observer/calendar.py
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Expand Up @@ -30,10 +30,10 @@


class HolidayCalendar:
def is_market_open(self, asset_type, dt):
# equity market
def is_market_open(self, asset_type: str, dt: datetime.datetime):
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For the record, the quantlib library (which has Python bindings) has a robust implementation of "is the market open?" for markets across many countries (e.g. see this).

day, date, time = dt.weekday(), dt.date(), dt.time()

if asset_type == "Equity":
day, date, time = dt.weekday(), dt.date(), dt.time()
if date in EQUITY_HOLIDAYS or date in EQUITY_EARLY_HOLIDAYS:
if (
date in EQUITY_EARLY_HOLIDAYS
Expand All @@ -45,5 +45,22 @@ def is_market_open(self, asset_type, dt):
if day < 5 and time >= EQUITY_OPEN and time <= EQUITY_CLOSE:
return True
return False
# all other markets (crypto, fx, metal)

if asset_type in ["FX", "Metal"]:
# The market for FX and Metal is closed from Friday 5pm to Sunday 5pm
close_or_open_time = datetime.time(17, 0, 0, tzinfo=TZ)

# Friday the market is close after 5pm
if day == 4 and time > close_or_open_time:
return False
# Saturday the market is closed all the time
if day == 5:
return False
# Sunday the market is closed before 5pm
if day == 6 and time < close_or_open_time:
return False

return True

# all other markets (crypto)
return True
4 changes: 2 additions & 2 deletions pyth_observer/check/publisher.py
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Expand Up @@ -213,8 +213,8 @@ def error_message(self) -> str:
{self.__state.publisher_name} price is too far from aggregate price.

Symbol: {self.__state.symbol}
Publisher price: {self.__state.price}
Aggregate price: {self.__state.price_aggregate}
Publisher price: {self.__state.price} ± {self.__state.confidence_interval}
Aggregate price: {self.__state.price_aggregate} ± {self.__state.confidence_interval_aggregate}
Deviation: {deviation}%
"""
).strip()
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