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
@@ -0,0 +1,156 @@
+/*
+ * 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 System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Securities;
+using QLNet;
+
+namespace QuantConnect
+{
+    /// <summary>
+    /// Class represents trading calendar, populated with variety of events relevant to currently trading instruments
+    /// </summary>
+    public class TradingCalendar
+    {
+        private readonly MarketHoursDatabase _marketHoursDatabase;
+        private readonly SecurityManager _securityManager;
+
+        /// <summary>
+        /// Initialize a new <see cref="TradingCalendar"/> instance.
+        /// </summary>
+        /// <param name="securityManager">SecurityManager for this calendar</param>
+        /// <param name="marketHoursDatabase">MarketHoursDatabase for this calendar</param>
+        public TradingCalendar(SecurityManager securityManager, MarketHoursDatabase marketHoursDatabase)
+        {
+            _securityManager = securityManager;
+            _marketHoursDatabase = marketHoursDatabase;
+        }
+        /// <summary>
+        /// Method returns <see cref="TradingDay"/> that contains trading events associated with today's date
+        /// </summary>
+        /// <returns>Populated instance of <see cref="TradingDay"/></returns>
+        public TradingDay GetTradingDay()
+        {
+            var today = _securityManager.UtcTime.Date;
+
+            return GetTradingDay(today);
+        }
+
+        /// <summary>
+        /// Method returns <see cref="TradingDay"/> that contains trading events associated with the given date
+        /// </summary>
+        /// <returns>Populated instance of <see cref="TradingDay"/></returns>
+        public TradingDay GetTradingDay(DateTime day)
+        {
+            return GetTradingDays(day, day).First();
+        }
+
+        /// <summary>
+        /// Method returns <see cref="TradingDay"/> that contains trading events associated with the range of dates
+        /// </summary>
+        /// <param name="start">Start date of the range (inclusive)</param>
+        /// <param name="end">End date of the range (inclusive)</param>
+        /// <returns>>Populated list of <see cref="TradingDay"/></returns>
+        public IEnumerable<TradingDay> GetTradingDays(DateTime start, DateTime end)
+        {
+            return PopulateTradingDays(start, end);
+        }
+
+        /// <summary>
+        /// Method returns <see cref="TradingDay"/> of the specified type (<see cref="TradingDayType"/>) that contains trading events associated with the range of dates
+        /// </summary>
+        /// <param name="type">Type of the events</param>
+        /// <param name="start">Start date of the range (inclusive)</param>
+        /// <param name="end">End date of the range (inclusive)</param>
+        /// <returns>>Populated list of <see cref="TradingDay"/></returns>
+        public IEnumerable<TradingDay> GetDaysByType(TradingDayType type, DateTime start, DateTime end)
+        {
+            Func<TradingDay, bool> typeFilter = day =>
+                {
+                    switch (type)
+                    {
+                        case TradingDayType.BusinessDay:
+                            return day.BusinessDay;
+                        case TradingDayType.PublicHoliday:
+                            return day.PublicHoliday;
+                        case TradingDayType.Weekend:
+                            return day.Weekend;
+                        case TradingDayType.OptionExpiration:
+                            return day.OptionExpirations.Any();
+                        case TradingDayType.FutureExpiration:
+                            return day.FutureExpirations.Any();
+                        case TradingDayType.FutureRoll:
+                            return day.FutureRolls.Any();
+                        case TradingDayType.SymbolDelisting:
+                            return day.SymbolDelistings.Any();
+                        case TradingDayType.EquityDividends:
+                            return day.EquityDividends.Any();
+                    };
+                    return false;
+                };
+            return GetTradingDays(start, end).Where(typeFilter);
+        }
+
+
+        private IEnumerable<TradingDay> PopulateTradingDays(DateTime start, DateTime end)
+        {
+            var symbols = _securityManager.Keys;
+
+            var holidays = new HashSet<DateTime>();
+            foreach (var symbol in symbols)
+            {
+                var entry = _marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType);
+
+                foreach (var holiday in entry.ExchangeHours.Holidays)
+                {
+                    holidays.Add(holiday.Date);
+                }
+            }
+
+            var qlCalendar = new UnitedStates();
+            var options = symbols.Where(x => x.ID.SecurityType.IsOption()).ToList();
+            var futures = symbols.Where(x => x.ID.SecurityType == SecurityType.Future).ToList();
+
+            var totalDays = (int)(end.Date.AddDays(1.0) - start.Date).TotalDays;
+            if (totalDays < 0)
+            {
+                throw new ArgumentException($"TradingCalendar.PopulateTradingDays(): {Messages.TradingCalendar.InvalidTotalDays(totalDays)}");
+            }
+
+            foreach (var dayIdx in Enumerable.Range(0, totalDays))
+            {
+                var currentDate = start.Date.AddDays(dayIdx);
+
+                var publicHoliday = holidays.Contains(currentDate) || !qlCalendar.isBusinessDay(currentDate);
+                var weekend = currentDate.DayOfWeek == DayOfWeek.Sunday ||
+                                currentDate.DayOfWeek == DayOfWeek.Saturday;
+                var businessDay = !publicHoliday && !weekend;
+
+                yield return
+                    new TradingDay
+                    {
+                        Date = currentDate,
+                        PublicHoliday = publicHoliday,
+                        Weekend = weekend,
+                        BusinessDay = businessDay,
+                        OptionExpirations = options.Where(x => x.ID.Date.Date == currentDate),
+                        FutureExpirations = futures.Where(x => x.ID.Date.Date == currentDate)
+                    };
+            }
+        }
+    }
+}