chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * 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.
+*/
+
+using System;
+using NodaTime;
+using System.Linq;
+using QuantConnect.Util;
+using System.Collections.Generic;
+
+namespace QuantConnect.Securities
+{
+    /// <summary>
+    /// Base exchange class providing information and helper tools for reading the current exchange situation
+    /// </summary>
+    public class SecurityExchange
+    {
+        private LocalTimeKeeper _timeProvider;
+
+        /// <summary>
+        /// Gets the <see cref="SecurityExchangeHours"/> for this exchange
+        /// </summary>
+        public SecurityExchangeHours Hours { get; private set; }
+
+        /// <summary>
+        /// Gets the time zone for this exchange
+        /// </summary>
+        public DateTimeZone TimeZone => Hours.TimeZone;
+
+        /// <summary>
+        /// Number of trading days per year for this security. By default the market is open 365 days per year.
+        /// </summary>
+        /// <remarks>Used for performance statistics to calculate sharpe ratio accurately</remarks>
+        public virtual int TradingDaysPerYear => 365;
+
+        /// <summary>
+        /// Time from the most recent data
+        /// </summary>
+        public DateTime LocalTime => _timeProvider.LocalTime;
+
+        /// <summary>
+        /// Boolean property for quickly testing if the exchange is open.
+        /// </summary>
+        public bool ExchangeOpen => Hours.IsOpen(LocalTime, false);
+
+        /// <summary>
+        /// Boolean property for quickly testing if the exchange is 10 minutes away from closing.
+        /// </summary>
+        public bool ClosingSoon => IsClosingSoon(minutesToClose:10);
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="SecurityExchange"/> class using the specified
+        /// exchange hours to determine open/close times
+        /// </summary>
+        /// <param name="exchangeHours">Contains the weekly exchange schedule plus holidays</param>
+        public SecurityExchange(SecurityExchangeHours exchangeHours)
+        {
+            Hours = exchangeHours;
+        }
+
+        /// <summary>
+        /// Set the current datetime in terms of the exchange's local time zone
+        /// </summary>
+        /// <param name="timeProvider">Most recent data tick</param>
+        public void SetLocalDateTimeFrontierProvider(LocalTimeKeeper timeProvider)
+        {
+            _timeProvider = timeProvider;
+        }
+
+        /// <summary>
+        /// Check if the *date* is open.
+        /// </summary>
+        /// <remarks>This is useful for first checking the date list, and then the market hours to save CPU cycles</remarks>
+        /// <param name="dateToCheck">Date to check</param>
+        /// <param name="extendedMarketHours">True to consider days with extended market hours only as open</param>
+        /// <returns>Return true if the exchange is open for this date</returns>
+        public bool DateIsOpen(DateTime dateToCheck, bool extendedMarketHours = false)
+        {
+            return Hours.IsDateOpen(dateToCheck, extendedMarketHours);
+        }
+
+        /// <summary>
+        /// Check if this DateTime is open.
+        /// </summary>
+        /// <param name="dateTime">DateTime to check</param>
+        /// <returns>Boolean true if the market is open</returns>
+        public bool DateTimeIsOpen(DateTime dateTime)
+        {
+            return Hours.IsOpen(dateTime, false);
+        }
+
+        /// <summary>
+        /// Determines if the exchange was open at any time between start and stop
+        /// </summary>
+        public bool IsOpenDuringBar(DateTime barStartTime, DateTime barEndTime, bool isExtendedMarketHours)
+        {
+            return Hours.IsOpen(barStartTime, barEndTime, isExtendedMarketHours);
+        }
+
+        /// <summary>
+        /// Determines if the exchange is going to close in the next provided minutes
+        /// </summary>
+        /// <param name="minutesToClose">Minutes to close to check</param>
+        /// <returns>Returns true if the exchange is going to close in the next provided minutes</returns>
+        public bool IsClosingSoon(int minutesToClose)
+        {
+            return !Hours.IsOpen(LocalTime.AddMinutes(minutesToClose), false);
+        }
+
+        /// <summary>
+        /// Sets the regular market hours for the specified days If no days are specified then
+        /// all days will be updated.
+        /// </summary>
+        /// <param name="marketHoursSegments">Specifies each segment of the market hours, such as premarket/market/postmark</param>
+        /// <param name="days">The days of the week to set these times for</param>
+        public void SetMarketHours(IEnumerable<MarketHoursSegment> marketHoursSegments, params DayOfWeek[] days)
+        {
+            if (days.IsNullOrEmpty()) days = Enum.GetValues(typeof(DayOfWeek)).OfType<DayOfWeek>().ToArray();
+
+            var marketHours = Hours.MarketHours.ToDictionary();
+            marketHoursSegments = marketHoursSegments as IList<MarketHoursSegment> ?? marketHoursSegments.ToList();
+            foreach (var day in days)
+            {
+                marketHours[day] = new LocalMarketHours(day, marketHoursSegments);
+            }
+
+            // create a new exchange hours instance for the new hours
+            Hours = new SecurityExchangeHours(Hours.TimeZone, Hours.Holidays, marketHours, Hours.EarlyCloses, Hours.LateOpens);
+        }
+    }
+}