wehub-resource-sync
406 lines
19 KiB
C#
406 lines
19 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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using System;
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using System.Linq;
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using System.Collections.Generic;
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using System.Collections.ObjectModel;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Represents the market hours under normal conditions for an exchange and a specific day of the week in terms of local time
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/// </summary>
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public class LocalMarketHours
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{
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private static readonly LocalMarketHours _closedMonday = new(DayOfWeek.Monday);
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private static readonly LocalMarketHours _closedTuesday = new(DayOfWeek.Tuesday);
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private static readonly LocalMarketHours _closedWednesday = new(DayOfWeek.Wednesday);
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private static readonly LocalMarketHours _closedThursday = new(DayOfWeek.Thursday);
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private static readonly LocalMarketHours _closedFriday = new(DayOfWeek.Friday);
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private static readonly LocalMarketHours _closedSaturday = new(DayOfWeek.Saturday);
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private static readonly LocalMarketHours _closedSunday = new(DayOfWeek.Sunday);
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private static readonly LocalMarketHours _openMonday = new(DayOfWeek.Monday, new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay));
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private static readonly LocalMarketHours _openTuesday = new(DayOfWeek.Tuesday, new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay));
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private static readonly LocalMarketHours _openWednesday = new(DayOfWeek.Wednesday, new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay));
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private static readonly LocalMarketHours _openThursday = new(DayOfWeek.Thursday, new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay));
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private static readonly LocalMarketHours _openFriday = new(DayOfWeek.Friday, new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay));
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private static readonly LocalMarketHours _openSaturday = new(DayOfWeek.Saturday, new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay));
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private static readonly LocalMarketHours _openSunday = new(DayOfWeek.Sunday, new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay));
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/// <summary>
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/// Gets whether or not this exchange is closed all day
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/// </summary>
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public bool IsClosedAllDay { get; }
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/// <summary>
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/// Gets whether or not this exchange is closed all day
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/// </summary>
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public bool IsOpenAllDay { get; }
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/// <summary>
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/// Gets the day of week these hours apply to
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/// </summary>
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public DayOfWeek DayOfWeek { get; }
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/// <summary>
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/// Gets the tradable time during the market day.
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/// For a normal US equity trading day this is 6.5 hours.
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/// This does NOT account for extended market hours and only
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/// considers <see cref="MarketHoursState.Market"/>
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/// </summary>
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public TimeSpan MarketDuration { get; }
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/// <summary>
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/// Gets the individual market hours segments that define the hours of operation for this day
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/// </summary>
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public ReadOnlyCollection<MarketHoursSegment> Segments { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalMarketHours"/> class
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/// </summary>
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/// <param name="day">The day of the week these hours are applicable</param>
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/// <param name="segments">The open/close segments defining the market hours for one day</param>
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public LocalMarketHours(DayOfWeek day, params MarketHoursSegment[] segments)
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: this(day, (IEnumerable<MarketHoursSegment>) segments)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalMarketHours"/> class
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/// </summary>
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/// <param name="day">The day of the week these hours are applicable</param>
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/// <param name="segments">The open/close segments defining the market hours for one day</param>
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public LocalMarketHours(DayOfWeek day, IEnumerable<MarketHoursSegment> segments)
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{
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DayOfWeek = day;
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// filter out the closed states, we'll assume closed if no segment exists
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Segments = new ReadOnlyCollection<MarketHoursSegment>((segments ?? Enumerable.Empty<MarketHoursSegment>()).Where(x => x.State != MarketHoursState.Closed).ToList());
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IsClosedAllDay = Segments.Count == 0;
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IsOpenAllDay = Segments.Count == 1
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&& Segments[0].Start == TimeSpan.Zero
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&& Segments[0].End == Time.OneDay
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&& Segments[0].State == MarketHoursState.Market;
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for (var i = 0; i < Segments.Count; i++)
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{
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var segment = Segments[i];
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if (segment.State == MarketHoursState.Market)
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{
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MarketDuration += segment.End - segment.Start;
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}
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalMarketHours"/> class from the specified open/close times
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/// </summary>
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/// <param name="day">The day of week these hours apply to</param>
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/// <param name="extendedMarketOpen">The extended market open time</param>
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/// <param name="marketOpen">The regular market open time, must be greater than or equal to the extended market open time</param>
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/// <param name="marketClose">The regular market close time, must be greater than the regular market open time</param>
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/// <param name="extendedMarketClose">The extended market close time, must be greater than or equal to the regular market close time</param>
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public LocalMarketHours(DayOfWeek day, TimeSpan extendedMarketOpen, TimeSpan marketOpen, TimeSpan marketClose, TimeSpan extendedMarketClose)
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: this(day, MarketHoursSegment.GetMarketHoursSegments(extendedMarketOpen, marketOpen, marketClose, extendedMarketClose))
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalMarketHours"/> class from the specified open/close times
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/// using the market open as the extended market open and the market close as the extended market close, effectively
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/// removing any 'extended' session from these exchange hours
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/// </summary>
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/// <param name="day">The day of week these hours apply to</param>
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/// <param name="marketOpen">The regular market open time</param>
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/// <param name="marketClose">The regular market close time, must be greater than the regular market open time</param>
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public LocalMarketHours(DayOfWeek day, TimeSpan marketOpen, TimeSpan marketClose)
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: this(day, marketOpen, marketOpen, marketClose, marketClose)
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{
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}
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/// <summary>
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/// Gets the market opening time of day
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/// </summary>
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/// <param name="time">The reference time, the open returned will be the first open after the specified time if there are multiple market open segments</param>
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/// <param name="extendedMarketHours">True to include extended market hours, false for regular market hours</param>
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/// <param name="previousDayLastSegment">The previous days last segment. This is used when the potential next market open is the first segment of the day
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/// so we need to check that segment is not part of previous day last segment. If null, it means there were no segments on the last day</param>
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/// <returns>The market's opening time of day</returns>
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public TimeSpan? GetMarketOpen(TimeSpan time, bool extendedMarketHours, TimeSpan? previousDayLastSegment = null)
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{
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var previousSegment = previousDayLastSegment;
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bool prevSegmentIsFromPrevDay = true;
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for (var i = 0; i < Segments.Count; i++)
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{
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var segment = Segments[i];
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if (segment.State == MarketHoursState.Closed || segment.End <= time)
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{
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// update prev segment end time only if the current segment could have been taken into account
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// (regular hours or, when enabled, extended hours segment)
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if (segment.State == MarketHoursState.Market || extendedMarketHours)
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{
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previousSegment = segment.End;
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prevSegmentIsFromPrevDay = false;
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}
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continue;
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}
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// let's try this segment if it's regular market hours or if it is extended market hours and extended market is allowed
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if (segment.State == MarketHoursState.Market || extendedMarketHours)
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{
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if (!IsContinuousMarketOpen(previousSegment, segment.Start, prevSegmentIsFromPrevDay))
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{
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return segment.Start;
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}
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previousSegment = segment.End;
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prevSegmentIsFromPrevDay = false;
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}
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}
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// we couldn't locate an open segment after the specified time
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return null;
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}
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/// <summary>
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/// Gets the market closing time of day
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/// </summary>
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/// <param name="time">The reference time, the close returned will be the first close after the specified time if there are multiple market open segments</param>
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/// <param name="extendedMarketHours">True to include extended market hours, false for regular market hours</param>
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/// <param name="nextDaySegmentStart">Next day first segment start. This is used when the potential next market close is
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/// the last segment of the day so we need to check that segment is not continued on next day first segment.
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/// If null, it means there are no segments on the next day</param>
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/// <returns>The market's closing time of day</returns>
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public TimeSpan? GetMarketClose(TimeSpan time, bool extendedMarketHours, TimeSpan? nextDaySegmentStart = null)
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{
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return GetMarketClose(time, extendedMarketHours, lastClose: false, nextDaySegmentStart);
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}
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/// <summary>
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/// Gets the market closing time of day
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/// </summary>
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/// <param name="time">The reference time, the close returned will be the first close after the specified time if there are multiple market open segments</param>
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/// <param name="extendedMarketHours">True to include extended market hours, false for regular market hours</param>
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/// <param name="lastClose">True if the last available close of the date should be returned, else the first will be used</param>
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/// <param name="nextDaySegmentStart">Next day first segment start. This is used when the potential next market close is
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/// the last segment of the day so we need to check that segment is not continued on next day first segment.
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/// If null, it means there are no segments on the next day</param>
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/// <returns>The market's closing time of day</returns>
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public TimeSpan? GetMarketClose(TimeSpan time, bool extendedMarketHours, bool lastClose, TimeSpan? nextDaySegmentStart = null)
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{
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TimeSpan? potentialResult = null;
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TimeSpan? nextSegment;
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bool nextSegmentIsFromNextDay = false;
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for (var i = 0; i < Segments.Count; i++)
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{
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var segment = Segments[i];
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if (segment.State == MarketHoursState.Closed || segment.End <= time)
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{
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continue;
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}
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if (i != Segments.Count - 1)
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{
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var potentialNextSegment = Segments[i+1];
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// Check whether we can consider PostMarket or not
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if (potentialNextSegment.State != MarketHoursState.Market && !extendedMarketHours)
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{
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nextSegment = null;
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}
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else
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{
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nextSegment = Segments[i+1].Start;
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}
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}
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else
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{
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nextSegment = nextDaySegmentStart;
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nextSegmentIsFromNextDay = true;
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}
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if ((segment.State == MarketHoursState.Market || extendedMarketHours))
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{
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if (lastClose)
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{
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// we continue, there might be another close next
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potentialResult = segment.End;
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}
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else if (!IsContinuousMarketOpen(segment.End, nextSegment, nextSegmentIsFromNextDay))
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{
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return segment.End;
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}
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}
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}
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return potentialResult;
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}
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/// <summary>
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/// Determines if the exchange is open at the specified time
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/// </summary>
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/// <param name="time">The time of day to check</param>
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/// <param name="extendedMarketHours">True to check exended market hours, false to check regular market hours</param>
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/// <returns>True if the exchange is considered open, false otherwise</returns>
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public bool IsOpen(TimeSpan time, bool extendedMarketHours)
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{
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for (var i = 0; i < Segments.Count; i++)
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{
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var segment = Segments[i];
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if (segment.State == MarketHoursState.Closed)
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{
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continue;
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}
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if (segment.Contains(time))
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{
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return extendedMarketHours || segment.State == MarketHoursState.Market;
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}
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}
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// if we didn't find a segment then we're closed
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return false;
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}
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/// <summary>
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/// Determines if the exchange is open during the specified interval
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/// </summary>
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/// <param name="start">The start time of the interval</param>
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/// <param name="end">The end time of the interval</param>
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/// <param name="extendedMarketHours">True to check exended market hours, false to check regular market hours</param>
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/// <returns>True if the exchange is considered open, false otherwise</returns>
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public bool IsOpen(TimeSpan start, TimeSpan end, bool extendedMarketHours)
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{
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if (start == end)
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{
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return IsOpen(start, extendedMarketHours);
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}
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for (var i = 0; i < Segments.Count; i++)
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{
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var segment = Segments[i];
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if (segment.State == MarketHoursState.Closed)
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{
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continue;
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}
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if (extendedMarketHours || segment.State == MarketHoursState.Market)
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{
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if (segment.Overlaps(start, end))
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{
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return true;
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}
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}
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}
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// if we didn't find a segment then we're closed
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return false;
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}
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/// <summary>
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/// Gets a <see cref="LocalMarketHours"/> instance that is always closed
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/// </summary>
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/// <param name="dayOfWeek">The day of week</param>
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/// <returns>A <see cref="LocalMarketHours"/> instance that is always closed</returns>
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public static LocalMarketHours ClosedAllDay(DayOfWeek dayOfWeek)
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{
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switch (dayOfWeek)
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{
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case DayOfWeek.Sunday:
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return _closedSunday;
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case DayOfWeek.Monday:
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return _closedMonday;
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case DayOfWeek.Tuesday:
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return _closedTuesday;
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case DayOfWeek.Wednesday:
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return _closedWednesday;
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case DayOfWeek.Thursday:
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return _closedThursday;
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case DayOfWeek.Friday:
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return _closedFriday;
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case DayOfWeek.Saturday:
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return _closedSaturday;
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default:
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throw new ArgumentOutOfRangeException(nameof(dayOfWeek));
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}
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}
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/// <summary>
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/// Gets a <see cref="LocalMarketHours"/> instance that is always open
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/// </summary>
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/// <param name="dayOfWeek">The day of week</param>
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/// <returns>A <see cref="LocalMarketHours"/> instance that is always open</returns>
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public static LocalMarketHours OpenAllDay(DayOfWeek dayOfWeek)
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{
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switch (dayOfWeek)
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{
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case DayOfWeek.Sunday:
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return _openSunday;
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case DayOfWeek.Monday:
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return _openMonday;
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case DayOfWeek.Tuesday:
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return _openTuesday;
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case DayOfWeek.Wednesday:
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return _openWednesday;
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case DayOfWeek.Thursday:
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return _openThursday;
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case DayOfWeek.Friday:
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return _openFriday;
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case DayOfWeek.Saturday:
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return _openSaturday;
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default:
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throw new ArgumentOutOfRangeException(nameof(dayOfWeek));
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}
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}
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/// <summary>
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/// Check the given segment is not part of the current previous segment
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/// </summary>
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/// <param name="previousSegmentEnd">Previous segment end time before the current segment</param>
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/// <param name="nextSegmentStart">The next segment start time</param>
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/// <param name="prevSegmentIsFromPrevDay">Indicated whether the previous segment is from the previous day or not
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/// (then it is from the same day as the next segment). Defaults to true</param>
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/// <returns>True if indeed the given segment is part of the last segment. False otherwise</returns>
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public static bool IsContinuousMarketOpen(TimeSpan? previousSegmentEnd, TimeSpan? nextSegmentStart, bool prevSegmentIsFromPrevDay = true)
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{
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if (previousSegmentEnd != null && nextSegmentStart != null)
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{
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if (prevSegmentIsFromPrevDay)
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{
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// midnight passing to the next day
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return previousSegmentEnd.Value == Time.OneDay && nextSegmentStart.Value == TimeSpan.Zero;
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}
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// passing from one segment to another in the same day
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return previousSegmentEnd.Value == nextSegmentStart.Value;
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}
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return false;
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}
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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/// <returns>
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/// A string that represents the current object.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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public override string ToString()
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{
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return Messages.LocalMarketHours.ToString(this);
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}
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}
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}
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