chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.IO;
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using System.Linq;
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using Newtonsoft.Json;
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using NodaTime;
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using QuantConnect.Configuration;
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using QuantConnect.Data;
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using QuantConnect.Logging;
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using QuantConnect.Securities.Future;
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using QuantConnect.Util;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Provides access to exchange hours and raw data times zones in various markets
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/// </summary>
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[JsonConverter(typeof(MarketHoursDatabaseJsonConverter))]
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public class MarketHoursDatabase : BaseSecurityDatabase<MarketHoursDatabase, MarketHoursDatabase.Entry>
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{
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private readonly bool _forceExchangeAlwaysOpen = Config.GetBool("force-exchange-always-open");
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private static MarketHoursDatabase _alwaysOpenMarketHoursDatabase;
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/// <summary>
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/// Gets all the exchange hours held by this provider
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/// </summary>
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public List<KeyValuePair<SecurityDatabaseKey, Entry>> ExchangeHoursListing => Entries.ToList();
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/// <summary>
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/// Gets a <see cref="MarketHoursDatabase"/> that always returns <see cref="SecurityExchangeHours.AlwaysOpen"/>
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/// </summary>
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public static MarketHoursDatabase AlwaysOpen
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{
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get
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{
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if (_alwaysOpenMarketHoursDatabase == null)
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{
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_alwaysOpenMarketHoursDatabase = new AlwaysOpenMarketHoursDatabaseImpl();
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}
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return _alwaysOpenMarketHoursDatabase;
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="MarketHoursDatabase"/> class
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/// </summary>
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private MarketHoursDatabase()
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: this(new())
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="MarketHoursDatabase"/> class
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/// </summary>
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/// <param name="exchangeHours">The full listing of exchange hours by key</param>
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public MarketHoursDatabase(Dictionary<SecurityDatabaseKey, Entry> exchangeHours)
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: base(exchangeHours, FromDataFolder, (entry, other) => entry.Update(other))
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{
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}
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/// <summary>
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/// Convenience method for retrieving exchange hours from market hours database using a subscription config
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/// </summary>
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/// <param name="configuration">The subscription data config to get exchange hours for</param>
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/// <returns>The configure exchange hours for the specified configuration</returns>
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public SecurityExchangeHours GetExchangeHours(SubscriptionDataConfig configuration)
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{
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return GetExchangeHours(configuration.Market, configuration.Symbol, configuration.SecurityType);
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}
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/// <summary>
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/// Convenience method for retrieving exchange hours from market hours database using a subscription config
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded</param>
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/// <param name="securityType">The security type of the symbol</param>
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/// <returns>The exchange hours for the specified security</returns>
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public SecurityExchangeHours GetExchangeHours(string market, Symbol symbol, SecurityType securityType)
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{
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return GetEntry(market, symbol, securityType).ExchangeHours;
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}
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/// <summary>
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/// Performs a lookup using the specified information and returns the data's time zone if found,
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/// if an entry is not found, an exception is thrown
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded</param>
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/// <param name="securityType">The security type of the symbol</param>
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/// <returns>The raw data time zone for the specified security</returns>
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public DateTimeZone GetDataTimeZone(string market, Symbol symbol, SecurityType securityType)
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{
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return GetEntry(market, GetDatabaseSymbolKey(symbol), securityType).DataTimeZone;
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}
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/// <summary>
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/// Gets the instance of the <see cref="MarketHoursDatabase"/> class produced by reading in the market hours
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/// data found in /Data/market-hours/
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/// </summary>
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/// <returns>A <see cref="MarketHoursDatabase"/> class that represents the data in the market-hours folder</returns>
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public static MarketHoursDatabase FromDataFolder()
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{
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if (DataFolderDatabase == null)
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{
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lock (DataFolderDatabaseLock)
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{
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if (DataFolderDatabase == null)
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{
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var path = Path.Combine(Globals.GetDataFolderPath("market-hours"), "market-hours-database.json");
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DataFolderDatabase = FromFile(path);
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}
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}
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}
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return DataFolderDatabase;
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}
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/// <summary>
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/// Reads the specified file as a market hours database instance
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/// </summary>
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/// <param name="path">The market hours database file path</param>
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/// <returns>A new instance of the <see cref="MarketHoursDatabase"/> class</returns>
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public static MarketHoursDatabase FromFile(string path)
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{
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return JsonConvert.DeserializeObject<MarketHoursDatabase>(File.ReadAllText(path));
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}
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/// <summary>
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/// Sets the entry for the specified market/symbol/security-type.
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/// This is intended to be used by custom data and other data sources that don't have explicit
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/// entries in market-hours-database.csv. At run time, the algorithm can update the market hours
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/// database via calls to AddData.
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded</param>
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/// <param name="securityType">The security type of the symbol</param>
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/// <param name="exchangeHours">The exchange hours for the specified symbol</param>
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/// <param name="dataTimeZone">The time zone of the symbol's raw data. Optional, defaults to the exchange time zone</param>
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/// <returns>The entry matching the specified market/symbol/security-type</returns>
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public virtual Entry SetEntry(string market, string symbol, SecurityType securityType, SecurityExchangeHours exchangeHours, DateTimeZone dataTimeZone = null)
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{
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dataTimeZone = dataTimeZone ?? exchangeHours.TimeZone;
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var key = new SecurityDatabaseKey(market, symbol, securityType);
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var entry = new Entry(dataTimeZone, exchangeHours);
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lock (DataFolderDatabaseLock)
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{
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Entries[key] = entry;
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CustomEntries.Add(key);
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}
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return entry;
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}
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/// <summary>
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/// Convenience method for the common custom data case.
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/// Sets the entry for the specified symbol using SecurityExchangeHours.AlwaysOpen(timeZone)
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/// This sets the data time zone equal to the exchange time zone as well.
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded</param>
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/// <param name="securityType">The security type of the symbol</param>
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/// <param name="timeZone">The time zone of the symbol's exchange and raw data</param>
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/// <returns>The entry matching the specified market/symbol/security-type</returns>
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public virtual Entry SetEntryAlwaysOpen(string market, string symbol, SecurityType securityType, DateTimeZone timeZone)
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{
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return SetEntry(market, symbol, securityType, SecurityExchangeHours.AlwaysOpen(timeZone));
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}
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/// <summary>
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/// Gets the entry for the specified market/symbol/security-type
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded</param>
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/// <param name="securityType">The security type of the symbol</param>
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/// <returns>The entry matching the specified market/symbol/security-type</returns>
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public virtual Entry GetEntry(string market, string symbol, SecurityType securityType)
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{
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Entry entry;
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// Fall back on the Futures MHDB entry if the FOP lookup failed.
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// Some FOPs have the same symbol properties as their futures counterparts.
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// So, to save ourselves some space, we can fall back on the existing entries
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// so that we don't duplicate the information.
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if (!TryGetEntry(market, symbol, securityType, out entry))
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{
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var key = new SecurityDatabaseKey(market, symbol, securityType);
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Log.Error($"MarketHoursDatabase.GetExchangeHours(): {Messages.MarketHoursDatabase.ExchangeHoursNotFound(key, Entries.Keys)}");
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if (securityType == SecurityType.Future && market == Market.USA)
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{
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var exception = Messages.MarketHoursDatabase.FutureUsaMarketTypeNoLongerSupported;
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if (SymbolPropertiesDatabase.FromDataFolder().TryGetMarket(symbol, SecurityType.Future, out market))
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{
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// let's suggest a market
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exception += " " + Messages.MarketHoursDatabase.SuggestedMarketBasedOnTicker(market);
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}
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throw new ArgumentException(exception);
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}
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// there was nothing that really matched exactly
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throw new ArgumentException(Messages.MarketHoursDatabase.ExchangeHoursNotFound(key));
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}
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return entry;
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}
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/// <summary>
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/// Tries to get the entry for the specified market/symbol/security-type
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded</param>
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/// <param name="securityType">The security type of the symbol</param>
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/// <param name="entry">The entry found if any</param>
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/// <returns>True if the entry was present, else false</returns>
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public bool TryGetEntry(string market, Symbol symbol, SecurityType securityType, out Entry entry)
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{
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return TryGetEntry(market, GetDatabaseSymbolKey(symbol), securityType, out entry);
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}
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/// <summary>
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/// Tries to get the entry for the specified market/symbol/security-type
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded</param>
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/// <param name="securityType">The security type of the symbol</param>
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/// <param name="entry">The entry found if any</param>
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/// <returns>True if the entry was present, else false</returns>
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public virtual bool TryGetEntry(string market, string symbol, SecurityType securityType, out Entry entry)
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{
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if (_forceExchangeAlwaysOpen)
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{
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return AlwaysOpen.TryGetEntry(market, symbol, securityType, out entry);
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}
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return TryGetEntryImpl(market, symbol, securityType, out entry);
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}
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private bool TryGetEntryImpl(string market, string symbol, SecurityType securityType, out Entry entry)
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{
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var symbolKey = new SecurityDatabaseKey(market, symbol, securityType);
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return Entries.TryGetValue(symbolKey, out entry)
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// now check with null symbol key
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|| Entries.TryGetValue(symbolKey.CreateCommonKey(), out entry)
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// if FOP check for future
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|| securityType == SecurityType.FutureOption && TryGetEntry(market,
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FuturesOptionsSymbolMappings.MapFromOption(symbol), SecurityType.Future, out entry)
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// if custom data type check for type specific entry
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|| (securityType == SecurityType.Base && SecurityIdentifier.TryGetCustomDataType(symbol, out var customType)
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&& Entries.TryGetValue(new SecurityDatabaseKey(market, $"TYPE.{customType}", securityType), out entry));
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}
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/// <summary>
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/// Gets the entry for the specified market/symbol/security-type
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/// </summary>
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/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
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/// <param name="symbol">The particular symbol being traded (Symbol class)</param>
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/// <param name="securityType">The security type of the symbol</param>
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/// <returns>The entry matching the specified market/symbol/security-type</returns>
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public virtual Entry GetEntry(string market, Symbol symbol, SecurityType securityType)
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{
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return GetEntry(market, GetDatabaseSymbolKey(symbol), securityType);
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}
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/// <summary>
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/// Represents a single entry in the <see cref="MarketHoursDatabase"/>
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/// </summary>
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public class Entry
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{
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/// <summary>
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/// Gets the raw data time zone for this entry
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/// </summary>
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public DateTimeZone DataTimeZone { get; private set; }
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/// <summary>
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/// Gets the exchange hours for this entry
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/// </summary>
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public SecurityExchangeHours ExchangeHours { get; init; }
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/// <summary>
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/// Initializes a new instance of the <see cref="Entry"/> class
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/// </summary>
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/// <param name="dataTimeZone">The raw data time zone</param>
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/// <param name="exchangeHours">The security exchange hours for this entry</param>
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public Entry(DateTimeZone dataTimeZone, SecurityExchangeHours exchangeHours)
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{
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DataTimeZone = dataTimeZone;
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ExchangeHours = exchangeHours;
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}
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internal void Update(Entry other)
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{
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DataTimeZone = other.DataTimeZone;
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ExchangeHours.Update(other.ExchangeHours);
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}
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}
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class AlwaysOpenMarketHoursDatabaseImpl : MarketHoursDatabase
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{
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public override bool TryGetEntry(string market, string symbol, SecurityType securityType, out Entry entry)
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{
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DateTimeZone dataTimeZone;
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DateTimeZone exchangeTimeZone;
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if (TryGetEntryImpl(market, symbol, securityType, out entry))
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{
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dataTimeZone = entry.DataTimeZone;
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exchangeTimeZone = entry.ExchangeHours.TimeZone;
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}
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else
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{
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dataTimeZone = exchangeTimeZone = TimeZones.Utc;
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}
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entry = new Entry(dataTimeZone, SecurityExchangeHours.AlwaysOpen(exchangeTimeZone));
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return true;
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}
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public AlwaysOpenMarketHoursDatabaseImpl()
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: base(FromDataFolder().ExchangeHoursListing.ToDictionary())
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{
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}
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}
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}
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}
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