quantconnect--lean/Common/Securities/MarketHoursSegment.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 Newtonsoft.Json;
using System.Collections.Generic;
using System.Runtime.CompilerServices;

namespace QuantConnect.Securities
{
    /// <summary>
    /// Represents the state of an exchange during a specified time range
    /// </summary>
    [JsonObject(MemberSerialization.OptIn)]
    public class MarketHoursSegment
    {
        /// <summary>
        /// Gets the start time for this segment
        /// </summary>
        [JsonProperty("start")]
        public TimeSpan Start { get; private set; }

        /// <summary>
        /// Gets the end time for this segment
        /// </summary>
        [JsonProperty("end")]
        public TimeSpan End { get; private set; }

        /// <summary>
        /// Gets the market hours state for this segment
        /// </summary>
        [JsonProperty("state")]
        public MarketHoursState State { get; private set; }

        /// <summary>
        /// Initializes a new instance of the <see cref="MarketHoursSegment"/> class
        /// </summary>
        /// <param name="state">The state of the market during the specified times</param>
        /// <param name="start">The start time of the segment</param>
        /// <param name="end">The end time of the segment</param>
        public MarketHoursSegment(MarketHoursState state, TimeSpan start, TimeSpan end)
        {
            Start = start;
            End = end;
            State = state;
        }

        /// <summary>
        /// Gets a new market hours segment representing being open all day
        /// </summary>
        public static MarketHoursSegment OpenAllDay()
        {
            return new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay);
        }

        /// <summary>
        /// Gets a new market hours segment representing being open all day
        /// </summary>
        public static MarketHoursSegment ClosedAllDay()
        {
            return new MarketHoursSegment(MarketHoursState.Closed, TimeSpan.Zero, Time.OneDay);
        }

        /// <summary>
        /// Creates the market hours segments for the specified market open/close times
        /// </summary>
        /// <param name="extendedMarketOpen">The extended market open time. If no pre market, set to market open</param>
        /// <param name="marketOpen">The regular market open time</param>
        /// <param name="marketClose">The regular market close time</param>
        /// <param name="extendedMarketClose">The extended market close time. If no post market, set to market close</param>
        /// <returns>An array of <see cref="MarketHoursSegment"/> representing the specified market open/close times</returns>
        public static MarketHoursSegment[] GetMarketHoursSegments(
            TimeSpan extendedMarketOpen,
            TimeSpan marketOpen,
            TimeSpan marketClose,
            TimeSpan extendedMarketClose
            )
        {
            // perform some sanity checks
            if (marketOpen < extendedMarketOpen)
            {
                throw new ArgumentException(Messages.MarketHoursSegment.InvalidExtendedMarketOpenTime);
            }
            if (marketClose < marketOpen)
            {
                throw new ArgumentException(Messages.MarketHoursSegment.InvalidMarketCloseTime);
            }
            if (extendedMarketClose < marketClose)
            {
                throw new ArgumentException(Messages.MarketHoursSegment.InvalidExtendedMarketCloseTime);
            }

            var segments = new List<MarketHoursSegment>();

            if (extendedMarketOpen != marketOpen)
            {
                segments.Add(new MarketHoursSegment(MarketHoursState.PreMarket, extendedMarketOpen, marketOpen));
            }

            if (marketOpen != TimeSpan.Zero || marketClose != TimeSpan.Zero)
            {
                segments.Add(new MarketHoursSegment(MarketHoursState.Market, marketOpen, marketClose));
            }

            if (marketClose != extendedMarketClose)
            {
                segments.Add(new MarketHoursSegment(MarketHoursState.PostMarket, marketClose, extendedMarketClose));
            }

            return segments.ToArray();
        }

        /// <summary>
        /// Determines whether or not the specified time is contained within this segment
        /// </summary>
        /// <param name="time">The time to check</param>
        /// <returns>True if this segment contains the specified time, false otherwise</returns>
        [MethodImpl(MethodImplOptions.AggressiveInlining)]
        public bool Contains(TimeSpan time)
        {
            return time >= Start && time < End;
        }

        /// <summary>
        /// Determines whether or not the specified time range overlaps with this segment
        /// </summary>
        /// <param name="start">The start of the range</param>
        /// <param name="end">The end of the range</param>
        /// <returns>True if the specified range overlaps this time segment, false otherwise</returns>
        [MethodImpl(MethodImplOptions.AggressiveInlining)]
        public bool Overlaps(TimeSpan start, TimeSpan end)
        {
            return Start < end && End > start;
        }

        /// <summary>
        /// Returns a string that represents the current object.
        /// </summary>
        /// <returns>
        /// A string that represents the current object.
        /// </returns>
        public override string ToString()
        {
            return Messages.MarketHoursSegment.ToString(this);
        }
    }
}