/* * 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 NodaTime; using QuantConnect.Interfaces; using QuantConnect.Securities; using System.Collections.Generic; namespace QuantConnect.Scheduling { /// /// Base rule scheduler /// public class BaseScheduleRules { private bool _sentImplicitWarning; private readonly IAlgorithm _algorithm; /// /// The algorithm's default time zone /// protected DateTimeZone TimeZone { get; set; } /// /// The security manager /// protected SecurityManager Securities { get; set; } /// /// The market hours database instance to use /// protected MarketHoursDatabase MarketHoursDatabase { get; set; } /// /// Initializes a new instance of the helper class /// /// The algorithm instance /// The security manager /// The algorithm's default time zone /// The market hours database instance to use public BaseScheduleRules(IAlgorithm algorithm, SecurityManager securities, DateTimeZone timeZone, MarketHoursDatabase marketHoursDatabase) { TimeZone = timeZone; _algorithm = algorithm; Securities = securities; MarketHoursDatabase = marketHoursDatabase; } /// /// Helper method to fetch the security exchange hours /// protected SecurityExchangeHours GetSecurityExchangeHours(Symbol symbol) { if (!Securities.TryGetValue(symbol, out var security)) { return MarketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.SecurityType).ExchangeHours; } return security.Exchange.Hours; } /// /// Helper method to fetch the exchange hours of the securities currently in /// whose markets are not always open. If no such securities are present, falls back to US equities (SPY). /// protected IEnumerable GetMarketOpenCloseExchangeHours() { // Pre-seed with SPY's exchange hours: this guarantees a fallback when no eligible // security is subscribed and implicitly covers every US equity, which shares the // same exchange hours — so we can skip US equities below to save the lookup. var hours = new HashSet { MarketHoursDatabase.GetEntry(Market.USA, "SPY", SecurityType.Equity).ExchangeHours }; foreach (var (symbol, security) in Securities) { if (security.Type == SecurityType.Equity && symbol.ID.Market == Market.USA) { continue; } var exchangeHours = security.Exchange.Hours; if (!exchangeHours.IsMarketAlwaysOpen) { hours.Add(exchangeHours); } } return hours; } protected Symbol GetSymbol(string ticker) { if (SymbolCache.TryGetSymbol(ticker, out var symbolCache)) { return symbolCache; } if (!_sentImplicitWarning) { _sentImplicitWarning = true; _algorithm?.Debug($"Warning: no existing symbol found for ticker {ticker}, it will be created with {SecurityType.Equity} type."); } symbolCache = Symbol.Create(ticker, SecurityType.Equity, Market.USA); SymbolCache.Set(ticker, symbolCache); return symbolCache; } } }