session_mask¶

Defined in fynance.data

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

Flag timestamps that fall inside a trading session.

Parameters:

tsndarray of int64 or float64: Non-decreasing epoch-second (UTC) timestamps, shape (n,).
open, closestr, default “09:30”, “16:00”: Local session open/close, "HH:MM". close < open (or close == open) models an overnight session, e.g. "18:00" -> "17:00".
utc_offsetfloat, default 0.0: Fixed exchange-clock offset from UTC, in hours (e.g. -5.0 for NYSE standard time). A single fixed offset – DST is out of scope, see the module docstring.
weekdays_onlybool, default True: Exclude sessions that OPEN on a Saturday/Sunday (local calendar day of the session’s open, not of every individual bar – see session_id).

Returns:

ndarray of bool: True where ts falls in [open, close) local time (and, if weekdays_only, the session opened on a weekday).

Raises:

ValueError: If open/close are not well-formed "HH:MM" strings, ts is not 1-D, or ts is not non-decreasing.

Examples

>>> import numpy as np
>>> from fynance.data.sessions import session_mask
>>> ts = np.array([9 * 3600, 10 * 3600, 17 * 3600])  # 09:00, 10:00, 17:00 UTC
>>> session_mask(ts, open="09:30", close="16:00")
array([False,  True, False])