session_bounds¶

Defined in fynance.data

session_bounds(ts, open='09:30', close='16:00', utc_offset=0.0, weekdays_only=True)[source]

First/last bar index of each trading session.

Parameters:

tsndarray of int64 or float64: Non-decreasing epoch-second (UTC) timestamps, shape (n,).
open, close, utc_offset, weekdays_only: See session_mask.

Returns:

ndarray of int64: Shape (n_sessions, 2); row k is (first_index, last_index) (both inclusive, into ts) of session k. Empty (shape (0, 2)) if no bar falls in a session.

Raises:

ValueError: Same as session_mask.

Examples

>>> import numpy as np
>>> from fynance.data.sessions import session_bounds
>>> ts = np.array([9 * 3600, 10 * 3600, 17 * 3600, 33 * 3600, 34 * 3600])
>>> session_bounds(ts, open="09:30", close="16:00")
array([[1, 1],
       [4, 4]])