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