wehub-resource-sync
210 lines
12 KiB
C#
210 lines
12 KiB
C#
/*
|
|
* 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 NUnit.Framework;
|
|
using System.Globalization;
|
|
using QuantConnect.Securities;
|
|
|
|
namespace QuantConnect.Tests.Common.Securities
|
|
{
|
|
[TestFixture]
|
|
public class LocalMarketHoursTests
|
|
{
|
|
private static readonly TimeSpan USEquityPreOpen = new TimeSpan(4, 0, 0);
|
|
private static readonly TimeSpan USEquityOpen = new TimeSpan(9, 30, 0);
|
|
private static readonly TimeSpan USEquityClose = new TimeSpan(16, 0, 0);
|
|
private static readonly TimeSpan USEquityPostClose = new TimeSpan(20, 0, 0);
|
|
|
|
[Test]
|
|
public void StartIsOpen()
|
|
{
|
|
var marketHours = GetUsEquityWeekDayMarketHours();
|
|
|
|
// EDT is +4 or +5 depending on time of year, in june it's +4, so this is 530 edt
|
|
Assert.IsTrue(marketHours.IsOpen(USEquityOpen, false));
|
|
}
|
|
|
|
[Test]
|
|
public void EndIsClosed()
|
|
{
|
|
var marketHours = GetUsEquityWeekDayMarketHours();
|
|
|
|
// EDT is +4 or +5 depending on time of year, in june it's +4, so this is 530 edt
|
|
Assert.IsFalse(marketHours.IsOpen(USEquityClose, false));
|
|
}
|
|
|
|
[Test]
|
|
public void IsOpenRangeAnyOverlap()
|
|
{
|
|
var marketHours = GetUsEquityWeekDayMarketHours();
|
|
|
|
// EDT is +4 or +5 depending on time of year, in june it's +4, so this is 530 edt
|
|
var startTime = new TimeSpan(9, 00, 0);
|
|
var endTime = new TimeSpan(10, 00, 0);
|
|
Assert.IsTrue(marketHours.IsOpen(startTime, endTime, false));
|
|
}
|
|
|
|
[Test]
|
|
public void MarketDurationDoesNotIncludePreOrPostMarket()
|
|
{
|
|
var marketHours = GetUsEquityWeekDayMarketHours();
|
|
Assert.AreEqual(TimeSpan.FromHours(6.5), marketHours.MarketDuration);
|
|
}
|
|
|
|
[TestCase("1.00:00:00", null, false)]
|
|
[TestCase(null, "00:00:00", false)]
|
|
|
|
[TestCase("1.00:00:00", "00:00:00", true)]
|
|
[TestCase("0.10:00:00", "10:00:00", false)]
|
|
[TestCase("0.18:00:00", "00:00:00", false)]
|
|
[TestCase("1.00:00:00", "00:01:00", false)]
|
|
[TestCase("1.00:00:00", "10:00:00", false)]
|
|
public void IsContinuousMarketOpenTests(string previousSegmentEndStr, string nextSegmentStartStr, bool expected)
|
|
{
|
|
TimeSpan? previousSegmentEnd = null;
|
|
TimeSpan? nextSegmentStart = null;
|
|
if (previousSegmentEndStr != null)
|
|
{
|
|
previousSegmentEnd = TimeSpan.ParseExact(previousSegmentEndStr, "d\\.hh\\:mm\\:ss", CultureInfo.InvariantCulture);
|
|
}
|
|
if (nextSegmentStartStr != null)
|
|
{
|
|
nextSegmentStart = TimeSpan.ParseExact(nextSegmentStartStr, "hh\\:mm\\:ss", CultureInfo.InvariantCulture);
|
|
}
|
|
|
|
Assert.AreEqual(expected, LocalMarketHours.IsContinuousMarketOpen(previousSegmentEnd, nextSegmentStart));
|
|
}
|
|
|
|
[TestCaseSource(nameof(GetMarketOpenTestCases))]
|
|
public void GetsCorrectMarketOpen(TimeSpan referenceTime, bool extendedMarket, TimeSpan prevDayLastSegmentEnd, TimeSpan? expectedMarketOpen)
|
|
{
|
|
var marketHours = GetFutureWeekDayMarketHours();
|
|
|
|
Assert.AreEqual(expectedMarketOpen, marketHours.GetMarketOpen(referenceTime, extendedMarket, prevDayLastSegmentEnd));
|
|
}
|
|
|
|
[TestCaseSource(nameof(GetMarketCloseTestCases))]
|
|
public void GetsCorrectMarketClose(TimeSpan referenceTime, bool extendedMarket, TimeSpan nextDayFirstSegmentStart, TimeSpan? expectedMarketClose)
|
|
{
|
|
var marketHours = GetFutureWeekDayMarketHours();
|
|
|
|
Assert.AreEqual(expectedMarketClose, marketHours.GetMarketClose(referenceTime, extendedMarket, nextDayFirstSegmentStart));
|
|
}
|
|
|
|
private static LocalMarketHours GetUsEquityWeekDayMarketHours()
|
|
{
|
|
return new LocalMarketHours(DayOfWeek.Friday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
|
|
}
|
|
|
|
private static LocalMarketHours GetFutureWeekDayMarketHours()
|
|
{
|
|
return new LocalMarketHours(DayOfWeek.Monday, new MarketHoursSegment[]
|
|
{
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(17, 0, 0), new TimeSpan(1, 0, 0, 0))
|
|
});
|
|
}
|
|
|
|
private static TestCaseData[] GetMarketOpenTestCases()
|
|
{
|
|
return new[]
|
|
{
|
|
// Prev day last segment continues to current day
|
|
new TestCaseData(new TimeSpan(0, 0, 0), false, new TimeSpan(1, 0, 0, 0), new TimeSpan(8, 0, 0)),
|
|
new TestCaseData(new TimeSpan(8, 0, 0), false, new TimeSpan(1, 0, 0, 0), new TimeSpan(8, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), false, new TimeSpan(1, 0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), false, new TimeSpan(1, 0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), false, new TimeSpan(1, 0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(0, 0, 0), true, new TimeSpan(1, 0, 0, 0), new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(8, 0, 0), true, new TimeSpan(1, 0, 0, 0), new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), true, new TimeSpan(1, 0, 0, 0), new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), true, new TimeSpan(1, 0, 0, 0), new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), true, new TimeSpan(1, 0, 0, 0), new TimeSpan(17, 0, 0)),
|
|
// // Prev day last segment ends before end of prev day
|
|
new TestCaseData(new TimeSpan(0, 0, 0), false, new TimeSpan(17, 0, 0), new TimeSpan(8, 0, 0)),
|
|
new TestCaseData(new TimeSpan(8, 0, 0), false, new TimeSpan(17, 0, 0), new TimeSpan(8, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), false, new TimeSpan(17, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), false, new TimeSpan(17, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), false, new TimeSpan(17, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(0, 0, 0), true, new TimeSpan(17, 0, 0), new TimeSpan(0, 0, 0)),
|
|
new TestCaseData(new TimeSpan(8, 0, 0), true, new TimeSpan(17, 0, 0), new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), true, new TimeSpan(17, 0, 0), new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), true, new TimeSpan(17, 0, 0), new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), true, new TimeSpan(17, 0, 0), new TimeSpan(17, 0, 0)),
|
|
// // No prev day last segment
|
|
new TestCaseData(new TimeSpan(0, 0, 0), false, null, new TimeSpan(8, 0, 0)),
|
|
new TestCaseData(new TimeSpan(8, 0, 0), false, null, new TimeSpan(8, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), false, null, null),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), false, null, null),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), false, null, null),
|
|
new TestCaseData(new TimeSpan(0, 0, 0), true, null, new TimeSpan(0, 0, 0)),
|
|
new TestCaseData(new TimeSpan(8, 0, 0), true, null, new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), true, null, new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), true, null, new TimeSpan(17, 0, 0)),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), true, null, new TimeSpan(17, 0, 0)),
|
|
};
|
|
}
|
|
|
|
private static TestCaseData[] GetMarketCloseTestCases()
|
|
{
|
|
return new[]
|
|
{
|
|
// Next day's first segment continues from current day's last segment (see GetFutureWeekDayMarketHours, the last segment ends
|
|
// with 1.00:00:00, so starting next day at 00:00:00, it means the segments are continouous)
|
|
new TestCaseData(new TimeSpan(0, 0, 0), false, new TimeSpan(0, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(12, 0, 0), false, new TimeSpan(0, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), false, new TimeSpan(0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), false, new TimeSpan(0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), false, new TimeSpan(0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(20, 0, 0), false, new TimeSpan(0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(0, 0, 0), true, new TimeSpan(0, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(12, 0, 0), true, new TimeSpan(0, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), true, new TimeSpan(0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), true, new TimeSpan(0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), true, new TimeSpan(0, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(20, 0, 0), true, new TimeSpan(0, 0, 0), null),
|
|
// Next day's first segment starts after midnight
|
|
new TestCaseData(new TimeSpan(0, 0, 0), false, new TimeSpan(18, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(12, 0, 0), false, new TimeSpan(18, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), false, new TimeSpan(18, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), false, new TimeSpan(18, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), false, new TimeSpan(18, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(20, 0, 0), false, new TimeSpan(18, 0, 0), null),
|
|
new TestCaseData(new TimeSpan(0, 0, 0), true, new TimeSpan(18, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(12, 0, 0), true, new TimeSpan(18, 0, 0), new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), true, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0)),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), true, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0)),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), true, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0)),
|
|
new TestCaseData(new TimeSpan(20, 0, 0), true, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0)),
|
|
// No next day's first segment
|
|
new TestCaseData(new TimeSpan(0, 0, 0), false, null, new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(12, 0, 0), false, null, new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), false, null, null),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), false, null, null),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), false, null, null),
|
|
new TestCaseData(new TimeSpan(20, 0, 0), false, null, null),
|
|
new TestCaseData(new TimeSpan(0, 0, 0), true, null, new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(12, 0, 0), true, null, new TimeSpan(16, 0, 0)),
|
|
new TestCaseData(new TimeSpan(16, 0, 0), true, null, null),
|
|
new TestCaseData(new TimeSpan(17, 0, 0), true, null, null),
|
|
new TestCaseData(new TimeSpan(18, 0, 0), true, null, null),
|
|
new TestCaseData(new TimeSpan(20, 0, 0), true, null, null),
|
|
};
|
|
}
|
|
}
|
|
}
|