wehub-resource-sync
376 lines
17 KiB
C#
376 lines
17 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.Collections.Generic;
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using System.Globalization;
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using System.Linq;
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using Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using NodaTime;
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using QuantConnect.Logging;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Util
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{
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/// <summary>
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/// Provides json conversion for the <see cref="MarketHoursDatabase"/> class
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/// </summary>
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public class MarketHoursDatabaseJsonConverter : TypeChangeJsonConverter<MarketHoursDatabase, MarketHoursDatabaseJsonConverter.MarketHoursDatabaseJson>
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{
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/// <summary>
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/// Convert the input value to a value to be serialzied
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/// </summary>
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/// <param name="value">The input value to be converted before serialziation</param>
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/// <returns>A new instance of TResult that is to be serialzied</returns>
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protected override MarketHoursDatabaseJson Convert(MarketHoursDatabase value)
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{
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return new MarketHoursDatabaseJson(value);
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}
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/// <summary>
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/// Converts the input value to be deserialized
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/// </summary>
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/// <param name="value">The deserialized value that needs to be converted to T</param>
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/// <returns>The converted value</returns>
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protected override MarketHoursDatabase Convert(MarketHoursDatabaseJson value)
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{
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return value.Convert();
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}
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/// <summary>
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/// Creates an instance of the un-projected type to be deserialized
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/// </summary>
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/// <param name="type">The input object type, this is the data held in the token</param>
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/// <param name="token">The input data to be converted into a T</param>
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/// <returns>A new instance of T that is to be serialized using default rules</returns>
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protected override MarketHoursDatabase Create(Type type, JToken token)
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{
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var jobject = (JObject) token;
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var instance = jobject.ToObject<MarketHoursDatabaseJson>();
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return Convert(instance);
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}
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/// <summary>
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/// Defines the json structure of the market-hours-database.json file
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/// </summary>
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[JsonObject(MemberSerialization.OptIn)]
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public class MarketHoursDatabaseJson
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{
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/// <summary>
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/// The entries in the market hours database, keyed by <see cref="SecurityDatabaseKey"/>
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/// </summary>
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[JsonProperty("entries")]
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public Dictionary<string, MarketHoursDatabaseEntryJson> Entries { get; set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="MarketHoursDatabaseJson"/> class
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/// </summary>
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/// <param name="database">The database instance to copy</param>
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public MarketHoursDatabaseJson(MarketHoursDatabase database)
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{
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if (database == null) return;
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Entries = new Dictionary<string, MarketHoursDatabaseEntryJson>();
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foreach (var kvp in database.ExchangeHoursListing)
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{
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var key = kvp.Key;
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var entry = kvp.Value;
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Entries[key.ToString()] = new MarketHoursDatabaseEntryJson(entry);
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}
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}
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/// <summary>
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/// Converts this json representation to the <see cref="MarketHoursDatabase"/> type
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/// </summary>
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/// <returns>A new instance of the <see cref="MarketHoursDatabase"/> class</returns>
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public MarketHoursDatabase Convert()
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{
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// first we parse the entries keys so that later we can sort by security type
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var entries = new Dictionary<SecurityDatabaseKey, MarketHoursDatabaseEntryJson>(Entries.Count);
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foreach (var entry in Entries)
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{
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try
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{
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var key = SecurityDatabaseKey.Parse(entry.Key);
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if (key != null)
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{
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entries[key] = entry.Value;
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}
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}
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catch (Exception err)
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{
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Log.Error(err);
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}
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}
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var result = new Dictionary<SecurityDatabaseKey, MarketHoursDatabase.Entry>(Entries.Count);
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// we sort so we process generic entries and non options first
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foreach (var entry in entries.OrderBy(kvp => kvp.Key.Symbol != null ? 1 : 0).ThenBy(kvp => kvp.Key.SecurityType.IsOption() ? 1 : 0))
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{
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try
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{
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result.TryGetValue(entry.Key.CreateCommonKey(), out var marketEntry);
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var underlyingEntry = GetUnderlyingEntry(entry.Key, result);
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result[entry.Key] = entry.Value.Convert(underlyingEntry, marketEntry);
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}
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catch (Exception err)
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{
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Log.Error(err);
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}
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}
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return new MarketHoursDatabase(result);
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}
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/// <summary>
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/// Helper method to get the already processed underlying entry for options
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/// </summary>
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private static MarketHoursDatabase.Entry GetUnderlyingEntry(SecurityDatabaseKey key, Dictionary<SecurityDatabaseKey, MarketHoursDatabase.Entry> result)
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{
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MarketHoursDatabase.Entry underlyingEntry = null;
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if (key.SecurityType.IsOption())
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{
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// if option, let's get the underlyings entry
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var underlyingSecurityType = Symbol.GetUnderlyingFromOptionType(key.SecurityType);
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var underlying = OptionSymbol.MapToUnderlying(key.Symbol, key.SecurityType);
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var underlyingKey = new SecurityDatabaseKey(key.Market, underlying, underlyingSecurityType);
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if (!result.TryGetValue(underlyingKey, out underlyingEntry)
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// let's retry with the wildcard
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&& underlying != SecurityDatabaseKey.Wildcard)
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{
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var underlyingKeyWildCard = new SecurityDatabaseKey(key.Market, SecurityDatabaseKey.Wildcard, underlyingSecurityType);
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result.TryGetValue(underlyingKeyWildCard, out underlyingEntry);
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}
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}
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return underlyingEntry;
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}
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}
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/// <summary>
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/// Defines the json structure of a single entry in the market-hours-database.json file
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/// </summary>
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[JsonObject(MemberSerialization.OptIn)]
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public class MarketHoursDatabaseEntryJson
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{
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/// <summary>
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/// The data's raw time zone
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/// </summary>
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[JsonProperty("dataTimeZone")]
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public string DataTimeZone { get; set; }
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/// <summary>
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/// The exchange's time zone id from the tzdb
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/// </summary>
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[JsonProperty("exchangeTimeZone")]
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public string ExchangeTimeZone { get; set; }
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/// <summary>
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/// Sunday market hours segments
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/// </summary>
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[JsonProperty("sunday")]
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public List<MarketHoursSegment> Sunday { get; set; }
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/// <summary>
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/// Monday market hours segments
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/// </summary>
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[JsonProperty("monday")]
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public List<MarketHoursSegment> Monday { get; set; }
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/// <summary>
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/// Tuesday market hours segments
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/// </summary>
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[JsonProperty("tuesday")]
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public List<MarketHoursSegment> Tuesday { get; set; }
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/// <summary>
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/// Wednesday market hours segments
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/// </summary>
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[JsonProperty("wednesday")]
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public List<MarketHoursSegment> Wednesday { get; set; }
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/// <summary>
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/// Thursday market hours segments
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/// </summary>
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[JsonProperty("thursday")]
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public List<MarketHoursSegment> Thursday { get; set; }
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/// <summary>
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/// Friday market hours segments
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/// </summary>
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[JsonProperty("friday")]
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public List<MarketHoursSegment> Friday { get; set; }
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/// <summary>
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/// Saturday market hours segments
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/// </summary>
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[JsonProperty("saturday")]
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public List<MarketHoursSegment> Saturday { get; set; }
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/// <summary>
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/// Holiday date strings
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/// </summary>
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[JsonProperty("holidays")]
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public List<string> Holidays { get; set; } = new();
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/// <summary>
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/// Early closes by date
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/// </summary>
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[JsonProperty("earlyCloses")]
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public Dictionary<string, TimeSpan> EarlyCloses { get; set; } = new Dictionary<string, TimeSpan>();
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/// <summary>
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/// Late opens by date
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/// </summary>
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[JsonProperty("lateOpens")]
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public Dictionary<string, TimeSpan> LateOpens { get; set; } = new Dictionary<string, TimeSpan>();
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/// <summary>
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/// Bank holidays date strings
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/// </summary>
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[JsonProperty("bankHolidays")]
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public List<string> BankHolidays { get; set; } = new();
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/// <summary>
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/// Initializes a new instance of the <see cref="MarketHoursDatabaseEntryJson"/> class
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/// </summary>
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/// <param name="entry">The entry instance to copy</param>
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public MarketHoursDatabaseEntryJson(MarketHoursDatabase.Entry entry)
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{
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if (entry == null) return;
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DataTimeZone = entry.DataTimeZone.Id;
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var hours = entry.ExchangeHours;
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ExchangeTimeZone = hours.TimeZone.Id;
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SetSegmentsForDay(hours, DayOfWeek.Sunday, out var sunday);
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Sunday = sunday;
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SetSegmentsForDay(hours, DayOfWeek.Monday, out var monday);
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Monday = monday;
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SetSegmentsForDay(hours, DayOfWeek.Tuesday, out var tuesday);
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Tuesday = tuesday;
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SetSegmentsForDay(hours, DayOfWeek.Wednesday, out var wednesday);
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Wednesday = wednesday;
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SetSegmentsForDay(hours, DayOfWeek.Thursday, out var thursday);
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Thursday = thursday;
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SetSegmentsForDay(hours, DayOfWeek.Friday, out var friday);
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Friday = friday;
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SetSegmentsForDay(hours, DayOfWeek.Saturday, out var saturday);
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Saturday = saturday;
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Holidays = hours.Holidays.Select(x => x.ToString("M/d/yyyy", CultureInfo.InvariantCulture)).ToList();
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EarlyCloses = entry.ExchangeHours.EarlyCloses.ToDictionary(pair => pair.Key.ToString("M/d/yyyy", CultureInfo.InvariantCulture), pair => pair.Value);
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LateOpens = entry.ExchangeHours.LateOpens.ToDictionary(pair => pair.Key.ToString("M/d/yyyy", CultureInfo.InvariantCulture), pair => pair.Value);
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}
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/// <summary>
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/// Converts this json representation to the <see cref="MarketHoursDatabase.Entry"/> type
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/// </summary>
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/// <returns>A new instance of the <see cref="MarketHoursDatabase.Entry"/> class</returns>
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public MarketHoursDatabase.Entry Convert(MarketHoursDatabase.Entry underlyingEntry, MarketHoursDatabase.Entry marketEntry)
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{
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var hours = new Dictionary<DayOfWeek, LocalMarketHours>
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{
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{ DayOfWeek.Sunday, new LocalMarketHours(DayOfWeek.Sunday, Sunday) },
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{ DayOfWeek.Monday, new LocalMarketHours(DayOfWeek.Monday, Monday) },
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{ DayOfWeek.Tuesday, new LocalMarketHours(DayOfWeek.Tuesday, Tuesday) },
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{ DayOfWeek.Wednesday, new LocalMarketHours(DayOfWeek.Wednesday, Wednesday) },
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{ DayOfWeek.Thursday, new LocalMarketHours(DayOfWeek.Thursday, Thursday) },
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{ DayOfWeek.Friday, new LocalMarketHours(DayOfWeek.Friday, Friday) },
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{ DayOfWeek.Saturday, new LocalMarketHours(DayOfWeek.Saturday, Saturday) }
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};
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var holidayDates = Holidays.Select(x => DateTime.ParseExact(x, "M/d/yyyy", CultureInfo.InvariantCulture)).ToHashSet();
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var bankHolidayDates = BankHolidays.Select(x => DateTime.ParseExact(x, "M/d/yyyy", CultureInfo.InvariantCulture)).ToHashSet();
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IReadOnlyDictionary<DateTime, TimeSpan> earlyCloses = EarlyCloses.ToDictionary(x => DateTime.ParseExact(x.Key, "M/d/yyyy", CultureInfo.InvariantCulture), x => x.Value);
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IReadOnlyDictionary<DateTime, TimeSpan> lateOpens = LateOpens.ToDictionary(x => DateTime.ParseExact(x.Key, "M/d/yyyy", CultureInfo.InvariantCulture), x => x.Value);
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if(underlyingEntry != null)
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{
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// If we have no entries but the underlying does, let's use the underlyings
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if (holidayDates.Count == 0)
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{
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holidayDates = underlyingEntry.ExchangeHours.Holidays;
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}
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if (bankHolidayDates.Count == 0)
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{
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bankHolidayDates = underlyingEntry.ExchangeHours.BankHolidays;
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}
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if (earlyCloses.Count == 0)
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{
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earlyCloses = underlyingEntry.ExchangeHours.EarlyCloses;
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}
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if (lateOpens.Count == 0)
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{
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lateOpens = underlyingEntry.ExchangeHours.LateOpens;
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}
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}
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if(marketEntry != null)
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{
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if (marketEntry.ExchangeHours.Holidays.Count > 0)
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{
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holidayDates.UnionWith(marketEntry.ExchangeHours.Holidays);
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}
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if (marketEntry.ExchangeHours.BankHolidays.Count > 0)
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{
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bankHolidayDates.UnionWith(marketEntry.ExchangeHours.BankHolidays);
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}
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if (marketEntry.ExchangeHours.EarlyCloses.Count > 0 )
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{
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earlyCloses = MergeLateOpensAndEarlyCloses(marketEntry.ExchangeHours.EarlyCloses, earlyCloses);
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}
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if (marketEntry.ExchangeHours.LateOpens.Count > 0)
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{
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lateOpens = MergeLateOpensAndEarlyCloses(marketEntry.ExchangeHours.LateOpens, lateOpens);
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}
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}
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var exchangeHours = new SecurityExchangeHours(DateTimeZoneProviders.Tzdb[ExchangeTimeZone], holidayDates, hours, earlyCloses, lateOpens, bankHolidayDates);
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return new MarketHoursDatabase.Entry(DateTimeZoneProviders.Tzdb[DataTimeZone], exchangeHours);
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}
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private void SetSegmentsForDay(SecurityExchangeHours hours, DayOfWeek day, out List<MarketHoursSegment> segments)
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{
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LocalMarketHours local;
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if (hours.MarketHours.TryGetValue(day, out local))
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{
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segments = local.Segments.ToList();
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}
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else
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{
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segments = new List<MarketHoursSegment>();
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}
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}
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/// <summary>
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/// Merges the late opens or early closes from the common entry (with wildcards) with the specific entry
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/// (e.g. Indices-usa-[*] with Indices-usa-VIX).
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/// The specific entry takes precedence.
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/// </summary>
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private static Dictionary<DateTime, TimeSpan> MergeLateOpensAndEarlyCloses(IReadOnlyDictionary<DateTime, TimeSpan> common,
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IReadOnlyDictionary<DateTime, TimeSpan> specific)
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{
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var result = common.ToDictionary();
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foreach (var (key, value) in specific)
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{
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result[key] = value;
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}
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return result;
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}
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}
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}
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}
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