@atomic-utils/time/dist/cso.d.ts

Atomic Time Utils

export type CsoEvent = 'dlcExpiry' | 'dlcAttestation' | 'rolloverOpen' | 'newEntryOpen' | 'newEntryClosed' | 'tradingOpen' | 'halfMonthEntryClosed' | 'tradingOpenHalfMonth';
export type CsoPeriod = 'weekly' | 'monthly' | 'bimonthly';
export type CsoLength = 'full-month' | 'half-month' | 'one-and-a-half-months' | 'two-months';
export type CsoEventIdType = 'period' | 'split' | 'unsplit';
export declare const DLC_EXPIRY_LEN = 7;
export declare const DLC_ATTESTATION_LEN = 1;
export declare const ROLLOVER_OPEN_LEN = 24;
export declare const NEW_ENTRY_OPEN_LEN = 36;
export declare const NEW_ENTRY_CLOSED_LEN = 8;
export declare const HALF_MONTH_ENTRY_CLOSED_LEN = 6;
export declare const TRADING_OPEN_HALF_MONTH_LEN = 334;
export declare const STR_DATE_REGEX: RegExp;
/**
 * getLastFridayInMonth
 *
 * Pass in year and month and return Date object with
 * last friday of the month
 *
 * @param {number} y Year in full format (i.e. 2022)
 * @param {number} m Month NOT 0-indexed (i.e. 1 => January)
 * @returns {Date} last friday of month
 */
export declare const getLastFridayInMonth: (y: number, m: number) => Date;
/**
 * getCurrentCycleMaturityDate
 *
 * @param {Date} t_ current time
 * @returns {Date} last friday in current cycle
 */
export declare const getCurrentCycleMaturityDate: (t_: Date) => Date;
/**
 * getNextCycleMaturityDate
 *
 * @param {Date} t_ current time
 * @returns {Date} last friday in next cycle
 */
export declare const getNextCycleMaturityDate: (t_: Date) => Date;
/**
 * getPreviousCycleMaturityDate
 *
 * @param {Date} t_ current time
 * @returns {Date} last friday in previous cycle
 */
export declare const getPreviousCycleMaturityDate: (t_: Date) => Date;
export declare const getCsoEventDates: (t_: Date) => CsoEventDates;
/**
 * getCsoEvent
 *
 * @param {Date} t_ current time
 * @returns {CsoEvent} which cso event the date provided is within
 */
export declare const getCsoEvent: (t_: Date) => CsoEvent;
/**
 * getCsoStartAndEndDate
 *
 * Pass in current time and get start and end date of event that user can enter into
 * immediately
 *
 * @param t_ current time
 * @returns {StartEndDates} start and end dates of the CSO event
 */
export declare const getCsoStartAndEndDate: (t_: Date, forceExtendedPeriod?: boolean) => StartEndDates;
/**
 * getUpcomingFriday
 *
 * From the current time, get the upcoming Friday.
 * If the current time is Friday and is after 8am UTC, then return the next week's Friday
 *
 * @param {Date} t_ current time
 * @returns
 */
export declare const getUpcomingFriday: (t_: Date) => Date;
/**
 * getPreviousFriday
 *
 * From the current time, get the previous Friday.
 * If the current time is Friday and is before 8am UTC, then return the previous week's Friday
 *
 * @param {Date} t_ current time
 * @returns
 */
export declare const getPreviousFriday: (t_: Date) => Date;
/**
 * getCsoEventId
 *
 * Pass in Date and return event ID of announcement that user can enter into immediately
 *
 * @param {Date} t_ current time
 * @param {string} provider company or trader providing strategy
 * @param {string} strategyId unique identifier for strategy
 * @param {CsoPeriod} period i.e. monthly
 * @returns {string} event ID string i.e. atomic-call_spread_v1-monthly-27JUN22-29JUL22
 */
export declare const getCsoEventId: (t_: Date, provider: string, strategyId: string, period: CsoPeriod, forceExtendedPeriod?: boolean) => string;
/**
 * getCsoTradeSplitEventId
 *
 * This function generates an event ID for a split trade.
 *
 * @param {string} provider - The company or trader providing the strategy.
 * @param {string} strategyId - The unique identifier for the strategy.
 * @param {number} tradeIndex - The index of the trade.
 * @returns {string} - The event ID string in the format [provider]-[strategyId]-trade-[tradeIndex].
 *                     i.e. atomic-oyster-trade-84
 */
export declare const getCsoTradeSplitEventId: (provider: string, strategyId: string, tradeIndex: number) => string;
/**
 * getCsoTradeUnsplitEventId
 *
 * This function generates an event ID for an unsplit trade.
 *
 * @param {Date} t_ - The current time.
 * @param {string} provider - The company or trader providing the strategy.
 * @param {string} strategyId - The unique identifier for the strategy.
 * @param {number} numTrades - The number of trades.
 * @returns {string} - The event ID string in the format [provider]-[strategyId]-[numTrades]-trades-[startDate].
 *                     i.e. atomic-oyster-5-trades-1JAN24
 */
export declare const getCsoTradeUnsplitEventId: (t_: Date, provider: string, strategyId: string, numTrades: number) => string;
export declare const getManualEventId: (provider: string, source: string, maturity: Date, symbol?: string) => string;
/**
 * getStartAndEndDateFromCsoEventId
 *
 * Pass in eventId and return start and end date by checking if date is
 * equal to tradingOpen, tradingOpenHalfMonth or dlcExpiry, else just
 * output date inside cso params for eventId
 *
 * @param {string} eventId format [provider]-[strategyId]-[period]-[startDate]-[endDate]
 * @returns {CsoParams} provider, strategyId, period, and start and end dates
 */
export declare const getParamsFromCsoEventId: (eventId: string) => CsoParams;
export declare const getParamsFromCsoTradeSplitEventId: (eventId: string) => CsoSplitParams;
export declare const getParamsFromCsoTradeUnsplitEventId: (eventId: string) => CsoUnsplitParams;
/**
 * getParamsFromManualEventId
 *
 * Pass in eventId and return provider, source, maturity, and symbol
 *
 * @param {string} eventId format [provider]-[source]-[symbol]-[maturity]
 * @returns {ManualEventParams} provider, source, maturity, and symbol
 */
export declare const getParamsFromManualEventId: (eventId: string) => ManualEventParams;
export declare const getCsoEventIdType: (eventId: string) => CsoEventIdType;
export declare const getEventIdType: (eventId: string) => CsoEventIdType | 'manual';
/**
 * extractCsoEventIdDateFromStr
 *
 * Get Date from string date while checking if date matches tradingOpen,
 * tradingOpenHalfMonth or dlcExpiry
 *
 * @param {string} dateStr string date in format [day][month][year] i.e. 21AUG22
 * @returns {Date}
 */
export declare const extractCsoEventIdDateFromStr: (dateStr: string) => Date;
/**
 * findCycleMaturityMonthsInPast
 *
 * Enter number of cycles to look in past and get cycle maturity
 * i.e. passing in numMonths 3 will get the cycle maturity 3 months ago
 *
 * @param {Date} t_ current time
 * @param {number} numMonths number of months to go back
 * @returns {Date}
 */
export declare const findCycleMaturityMonthsInPast: (t_: Date, numMonths: number) => Date;
/**
 * findNumCyclesInPastMaturityExists
 *
 * Enter previousExpiry and find out how many months ago this expiry was
 *
 * @param {Date} t_ current time
 * @param {Date} previousExpiry previous cycle expiry
 * @returns {number}
 */
export declare const findNumCyclesInPastMaturityExists: (t_: Date, previousExpiry_: Date, maxTries?: number) => number;
/**
 * isHalfMonth
 *
 * Determine if the current cycle is a half month cycle
 * @param {string} eventId current time
 * @returns {boolean} whether the current cycle is a half month
 */
export declare const isHalfMonth: (eventId: string) => boolean;
export declare const getCsoLength: (eventId: string) => CsoLength;
export interface StartEndDates {
    startDate: Date;
    endDate: Date;
}
export interface CsoParams {
    provider: string;
    strategyId: string;
    period: string;
    startDate: Date;
    endDate: Date;
}
export interface CsoSplitParams {
    provider: string;
    strategyId: string;
    tradeIndex: number;
}
export interface CsoUnsplitParams {
    provider: string;
    strategyId: string;
    numTrades: number;
    startDate: Date;
}
export interface ManualEventParams {
    provider: string;
    source: string;
    symbol: string;
    maturity: Date;
}
export interface CsoEventDates {
    previousDlcExpiry: Date;
    dlcAttestation: Date;
    rolloverOpen: Date;
    newEntryOpen: Date;
    newEntryClosed: Date;
    tradingOpen: Date;
    halfMonthEntryClosed: Date;
    tradingOpenHalfMonth: Date;
    upcomingDlcExpiry: Date;
}