com.jgoetsch.eventtrader.filter.TimeOfDayFilter.java Source code

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Here is the source code for com.jgoetsch.eventtrader.filter.TimeOfDayFilter.java

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/*
 * Copyright (c) 2012 Jeremy Goetsch
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 *
 *     http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */
package com.jgoetsch.eventtrader.filter;

import java.util.Map;

import org.joda.time.DateTimeZone;
import org.joda.time.LocalTime;

import com.jgoetsch.eventtrader.Msg;

/**
 * Filtering message processor that will process messages only between the specified
 * hours of the day. This is useful to contrain processing of messages to be within
 * regular trading hours.
 * 
 * @author jgoetsch
 *
 */
public class TimeOfDayFilter extends FilterProcessor<Msg> {

    private final LocalTime startTime;
    private final LocalTime endTime;
    private final DateTimeZone timeZone;

    public TimeOfDayFilter(LocalTime startTime, LocalTime endTime, DateTimeZone timeZone) {
        if (startTime.compareTo(endTime) > 1)
            throw new IllegalArgumentException("startTime cannot be after endTime");
        this.startTime = startTime;
        this.endTime = endTime;
        this.timeZone = timeZone;
    }

    @Override
    protected boolean handleProcessing(Msg msg, Map<Object, Object> context) {
        LocalTime msgTime = new LocalTime(msg.getDate(), timeZone);
        return msgTime.compareTo(startTime) > 0 && msgTime.compareTo(endTime) < 0;
    }

    public static TimeOfDayFilter getUSStockRTHFilter() {
        return new TimeOfDayFilter(new LocalTime(9, 30), new LocalTime(16, 0),
                DateTimeZone.forID("America/New_York"));
    }
}