quantconnect--lean/Common/Data/Market/Session.cs

/*
 * 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 QuantConnect.Indicators;
using QuantConnect.Securities;
using Common.Data.Consolidators;

namespace QuantConnect.Data.Market
{
    /// <summary>
    /// Provides a rolling window of <see cref="SessionBar"/> with size 2,
    /// where [0] contains the current session values in progress (OHLCV + OpenInterest),
    /// and [1] contains the fully consolidated data of the previous trading day.
    /// </summary>
    public class Session : RollingWindow<SessionBar>, IBar
    {
        private readonly Symbol _symbol;
        private readonly TickType _tickType;
        private readonly SecurityExchangeHours _exchangeHours;
        private SessionConsolidator _consolidator;

        /// <summary>
        /// Opening price of the session
        /// </summary>
        public decimal Open => _consolidator?.WorkingInstance.Open ?? 0;

        /// <summary>
        /// High price of the session
        /// </summary>
        public decimal High => _consolidator?.WorkingInstance.High ?? 0;

        /// <summary>
        /// Low price of the session
        /// </summary>
        public decimal Low => _consolidator?.WorkingInstance.Low ?? 0;

        /// <summary>
        /// Closing price of the session
        /// </summary>
        public decimal Close => _consolidator?.WorkingInstance.Close ?? 0;

        /// <summary>
        /// Volume traded during the session
        /// </summary>
        public decimal Volume => _consolidator?.WorkingInstance.Volume ?? 0;

        /// <summary>
        /// Open Interest of the session
        /// </summary>
        public decimal OpenInterest => _consolidator?.WorkingInstance.OpenInterest ?? 0;

        /// <summary>
        /// The symbol of the session
        /// </summary>
        public Symbol Symbol => _symbol;

        /// <summary>
        /// The end time of the session
        /// </summary>
        public DateTime EndTime => _consolidator?.WorkingInstance.EndTime ?? default;

        /// <summary>
        /// Gets the size of this window
        /// </summary>
        public override int Size
        {
            set
            {
                base.Size = value;
                TryInitialize();
            }
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="Session"/> class
        /// </summary>
        /// <param name="tickType">The tick type to use</param>
        /// <param name="exchangeHours">The exchange hours</param>
        /// <param name="symbol">The symbol</param>
        /// <param name="size">The number of items to hold</param>
        public Session(TickType tickType, SecurityExchangeHours exchangeHours, Symbol symbol, int size = 0)
            : base(size)
        {
            _symbol = symbol;
            _tickType = tickType;
            _exchangeHours = exchangeHours;
            TryInitialize();
        }

        /// <summary>
        /// Updates the session with new market data
        /// </summary>
        /// <param name="data">The new data to update the session with</param>
        public void Update(BaseData data)
        {
            _consolidator?.Update(data);
        }

        private void OnConsolidated(object sender, IBaseData consolidated)
        {
            // Finished current trading day
            // Add the new working session bar at [0], this will shift the previous trading day's bar to [1]
            Add(_consolidator.WorkingInstance);
        }

        /// <summary>
        /// Scans the consolidator to see if it should emit a bar due to time passing
        /// </summary>
        public void Scan(DateTime currentLocalTime)
        {
            // Delegates the scan decision to the underlying consolidator.
            _consolidator?.ValidateAndScan(currentLocalTime);
        }

        /// <summary>
        /// Resets the session
        /// </summary>
        public override void Reset()
        {
            if (_consolidator != null)
            {
                base.Reset();
                _consolidator.Reset();
                // We need to add the working session bar at [0]
                Add(_consolidator.WorkingInstance);
            }
        }

        /// <summary>
        /// Returns a string representation of current session bar with OHLCV and OpenInterest values formatted.
        /// Example: "O: 101.00 H: 112.00 L: 95.00 C: 110.00 V: 1005.00 OI: 12"
        /// </summary>
        public override string ToString()
        {
            if (_consolidator != null)
            {
                return _consolidator.WorkingInstance.ToString();
            }
            return string.Empty;
        }

        private void TryInitialize()
        {
            if (base.Size > 0 && _consolidator == null)
            {
                _consolidator = new SessionConsolidator(_exchangeHours, _tickType, _symbol);
                _consolidator.DataConsolidated += OnConsolidated;
                Add(_consolidator.WorkingInstance);
            }
        }
    }
}