Merge branch 'develop' of https://github.com/robcarver17/pysystemtrade …

…into develop

sysbrokers/broker_futures_contract_data.py

@@ -1,6 +1,5 @@
 from sysobjects.production.trading_hours.trading_hours import listOfTradingHours
 from syscore.exceptions import missingContract
-from syscore.constants import market_closed
 from sysdata.futures.contracts import futuresContractData
 from sysdata.data_blob import dataBlob
 from sysobjects.contract_dates_and_expiries import expiryDate
@@ -47,9 +46,6 @@ def less_than_N_hours_of_trading_left_for_contract(
             trading_hours.less_than_N_hours_left(N_hours=N_hours)
         )
 
-        if less_than_N_hours_of_trading_left_for_contract is market_closed:
-            return market_closed
-
         return less_than_N_hours_of_trading_left_for_contract
 
     def get_trading_hours_for_contract(

syscore/constants.py

@@ -9,7 +9,6 @@ def __repr__(self):
         return self._name
 
 
-market_closed = named_object("market closed")
 fill_exceeds_trade = named_object("fill too big for trade")
 arg_not_supplied = named_object("arg not supplied")
 user_exit = named_object("exit")

syscore/exceptions.py

@@ -19,6 +19,10 @@ class missingFile(Exception):
     pass
 
 
+class marketClosed(Exception):
+    pass
+
+
 class existingData(Exception):
     pass
 

sysexecution/algos/algo_original_best.py

@@ -3,8 +3,7 @@
 """
 from typing import Union
 
-from syscore.constants import market_closed
-from syscore.exceptions import missingData
+from syscore.exceptions import missingData, marketClosed
 from sysexecution.orders.named_order_objects import missing_order
 
 from sysdata.data_blob import dataBlob
@@ -331,12 +330,13 @@ def is_market_about_to_close(
     log: pst_logger,
 ) -> bool:
     data_broker = dataBroker(data)
-    short_of_time = data_broker.less_than_N_hours_of_trading_left_for_contract(
-        order.futures_contract,
-        N_hours=HOURS_BEFORE_MARKET_CLOSE_TO_SWITCH_TO_MARKET,
-    )
 
-    if short_of_time is market_closed:
+    try:
+        short_of_time = data_broker.less_than_N_hours_of_trading_left_for_contract(
+            order.futures_contract,
+            N_hours=HOURS_BEFORE_MARKET_CLOSE_TO_SWITCH_TO_MARKET,
+        )
+    except marketClosed:
         log.warning("Market has closed for active limit order %s!" % str(order))
         return True
 

sysobjects/production/trading_hours/trading_hours.py

@@ -8,8 +8,8 @@
     following_one_second_before_midnight_of_datetime,
     preceeding_midnight_of_datetime,
 )
+from syscore.exceptions import marketClosed
 from syscore.genutils import intersection_intervals
-from syscore.constants import market_closed
 
 
 @dataclass()
@@ -31,8 +31,6 @@ def okay_to_trade_now(self) -> bool:
 
     def less_than_N_hours_left(self, N_hours: float = 1.0) -> bool:
         hours_left = self.hours_left_before_market_close()
-        if hours_left is market_closed:
-            return market_closed
 
         if hours_left < N_hours:
             return True
@@ -42,7 +40,7 @@ def less_than_N_hours_left(self, N_hours: float = 1.0) -> bool:
     def hours_left_before_market_close(self) -> float:
         if not self.okay_to_trade_now():
             # market closed
-            return market_closed
+            raise marketClosed
 
         datetime_now = datetime.datetime.now()
         time_left = self.closing_time - datetime_now
@@ -118,7 +116,7 @@ def less_than_N_hours_left(self, N_hours: float = 1.0):
                 # move on to next period
                 continue
 
-        return market_closed
+        raise marketClosed
 
 
 def split_trading_hours_across_two_weekdays(

sysproduction/data/broker.py

@@ -10,9 +10,9 @@
 from sysbrokers.broker_contract_position_data import brokerContractPositionData
 from sysbrokers.broker_fx_prices_data import brokerFxPricesData
 from sysbrokers.broker_instrument_data import brokerFuturesInstrumentData
-from syscore.exceptions import missingContract, missingData
+from syscore.exceptions import missingData
 
-from syscore.constants import market_closed, arg_not_supplied
+from syscore.constants import arg_not_supplied
 from syscore.exceptions import orderCannotBeModified
 from sysexecution.orders.named_order_objects import missing_order
 from syscore.dateutils import Frequency, DAILY_PRICE_FREQ
@@ -193,9 +193,6 @@ def less_than_N_hours_of_trading_left_for_contract(
             contract, N_hours=N_hours
         )
 
-        if less_than_N_hours_of_trading_left is market_closed:
-            return market_closed
-
         return less_than_N_hours_of_trading_left
 
     def is_contract_okay_to_trade(self, contract: futuresContract) -> bool: