Python Tip: Distinguishing Pre-market, Regular, and After-hours Ticks from a WebSocket Stream

Ever received a WebSocket tick stream for US stocks and wondered why your indicators behave oddly outside regular hours? The raw data doesn’t tell you which session a trade belongs to, but identifying the session is crucial for signal quality. Here’s a clean, no-dependency-heavy way to do it in Python. Quick Session Reference Session US Eastern Time Data Characteristics Pre-market 04:00-09:30 Sparse trades, choppy moves Regular hours 09:30-16:00 Dense liquidity, smooth price action After-hours 16:00-20:00 Volatility often triggered by news Method 1: Timestamp Conversion Almost every API sends a UTC timestamp. Convert it to US/Eastern and classify. from datetime import datetime import pytz # US Eastern timezone et = pytz . timezone ( ' US/Eastern ' ) def get_session ( ts ): t = datetime . fromtimestamp ( ts , et ) # Check pre-market window if t . hour < 9 or ( t . hour == 9 and t . minute < 30 ): return " pre " # Regular session if t . hour < 16 : return " regular " # After-hours return " after " Method 2: Use a Session Status Field If your provider sends a field like sessionType , you can skip the timezone math. Just make sure to test edge cases at session boundaries. Live Integration Example Using a WebSocket feed (like AllTick’s market data stream) that includes a timestamp, I label ticks on the fly. import websocket import json from datetime import datetime import pytz # US Eastern timezone et = pytz . timezone ( ' US/Eastern ' ) def session ( ts ): t = datetime . fromtimestamp ( ts , et ) if t . hour < 9 or ( t . hour == 9 and t . minute < 30 ): return " pre " elif t . hour < 16 : return " regular " else : return " after " def on_message ( ws , message ): data = json . loads ( message ) s = session ( data [ " timestamp " ]) print ( f " { data [ ' symbol ' ] } | { s } | { data [ ' price ' ] } | { data [ ' volume ' ] } " ) # Open WebSocket connection ws = websocket . WebSocketApp ( " wss://ws.alltick.co/stock " , on_message = on_message ) ws . run_forever () Effic