wehub-resource-sync
1006 lines
50 KiB
C#
1006 lines
50 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.Diagnostics;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data.Market;
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using QuantConnect.Data;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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using QuantConnect.Logging;
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using QuantConnect.Securities;
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using DayOfWeek = System.DayOfWeek;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class SecurityExchangeHoursTests
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{
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private static Lazy<HashSet<DateTime>> _mhdbUSHolidays = new Lazy<HashSet<DateTime>>(() => MarketHoursDatabase.FromDataFolder().GetEntry(Market.USA, (string)null, SecurityType.Equity).ExchangeHours.Holidays);
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public void IsAlwaysOpen()
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{
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var cryptoMarketHourDbEntry = MarketHoursDatabase.FromDataFolder().GetEntry(Market.Coinbase, (string)null, SecurityType.Crypto);
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var cryptoExchangeHours = cryptoMarketHourDbEntry.ExchangeHours;
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var futureExchangeHours = CreateUsFutureSecurityExchangeHours();
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Assert.IsTrue(cryptoExchangeHours.IsMarketAlwaysOpen);
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Assert.IsFalse(futureExchangeHours.IsMarketAlwaysOpen);
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}
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[TestCase(false)]
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[TestCase(true)]
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public void LastMarketCloseOfDay(bool extendedMarketHours)
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{
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var marketHourDbEntry = MarketHoursDatabase.FromDataFolder()
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.GetEntry(Market.HKFE, QuantConnect.Securities.Futures.Indices.HangSeng, SecurityType.Future);
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var exchangeHours = marketHourDbEntry.ExchangeHours;
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var date = new DateTime(2025, 1, 7);
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var expectedFirstMarketClose = new DateTime(2025, 1, 7, 12, 0, 0);
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var expectedLastMarketClose = new DateTime(2025, 1, 7, 16, 30, 0);
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if (extendedMarketHours)
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{
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expectedFirstMarketClose = new DateTime(2025, 1, 7, 3, 0, 0);
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expectedLastMarketClose = new DateTime(2025, 1, 8);
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}
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var nextMarketClose = exchangeHours.GetNextMarketClose(date, extendedMarketHours);
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Assert.AreEqual(expectedFirstMarketClose, nextMarketClose);
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if (extendedMarketHours)
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{
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Assert.AreEqual(new DateTime(2025, 1, 7, 12, 0, 0), exchangeHours.GetNextMarketClose(nextMarketClose, extendedMarketHours));
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}
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else
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{
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Assert.AreEqual(new DateTime(2025, 1, 7, 16, 30, 0), exchangeHours.GetNextMarketClose(nextMarketClose, extendedMarketHours));
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}
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var lastMarketClose = exchangeHours.GetLastDailyMarketClose(date, extendedMarketHours);
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Assert.AreEqual(expectedLastMarketClose, lastMarketClose);
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}
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[Test]
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public void StartIsOpen()
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{
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var exchangeHours = CreateForexSecurityExchangeHours();
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var date = new DateTime(2015, 6, 21);
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var marketOpen = exchangeHours.MarketHours[DayOfWeek.Sunday].GetMarketOpen(TimeSpan.Zero, false);
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Assert.IsTrue(marketOpen.HasValue);
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var time = (date + marketOpen.Value).AddTicks(-1);
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Assert.IsFalse(exchangeHours.IsOpen(time, false));
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time = time + TimeSpan.FromTicks(1);
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Assert.IsTrue(exchangeHours.IsOpen(time, false));
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}
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[Test]
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public void EndIsClosed()
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{
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var exchangeHours = CreateForexSecurityExchangeHours();
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var date = new DateTime(2015, 6, 19);
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var localMarketHours = exchangeHours.MarketHours[DayOfWeek.Friday];
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var marketClose = localMarketHours.GetMarketClose(TimeSpan.Zero, false);
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Assert.IsTrue(marketClose.HasValue);
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var time = (date + marketClose.Value).AddTicks(-1);
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Assert.IsTrue(exchangeHours.IsOpen(time, false));
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time = time + TimeSpan.FromTicks(1);
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Assert.IsFalse(exchangeHours.IsOpen(time, false));
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}
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[Test]
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public void IntervalOverlappingStartIsOpen()
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{
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var exchangeHours = CreateForexSecurityExchangeHours();
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var date = new DateTime(2015, 6, 21);
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var marketOpen = exchangeHours.MarketHours[DayOfWeek.Sunday].GetMarketOpen(TimeSpan.Zero, false);
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Assert.IsTrue(marketOpen.HasValue);
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var startTime = (date + marketOpen.Value).AddMinutes(-1);
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Assert.IsFalse(exchangeHours.IsOpen(startTime, startTime.AddMinutes(1), false));
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// now the end is 1 tick after open, should return true
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startTime = startTime + TimeSpan.FromTicks(1);
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Assert.IsTrue(exchangeHours.IsOpen(startTime, startTime.AddMinutes(1), false));
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}
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[Test]
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public void IntervalOverlappingEndIsOpen()
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{
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var exchangeHours = CreateForexSecurityExchangeHours();
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var date = new DateTime(2015, 6, 19);
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var marketClose = exchangeHours.MarketHours[DayOfWeek.Friday].GetMarketClose(TimeSpan.Zero, false);
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Assert.IsTrue(marketClose.HasValue);
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var startTime = (date + marketClose.Value).AddMinutes(-1);
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Assert.IsTrue(exchangeHours.IsOpen(startTime, startTime.AddMinutes(1), false));
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// now the start is on the close, returns false
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startTime = startTime.AddMinutes(1);
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Assert.IsFalse(exchangeHours.IsOpen(startTime, startTime.AddMinutes(1), false));
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}
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[Test]
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public void MultiDayInterval()
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{
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var exchangeHours = CreateForexSecurityExchangeHours();
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var date = new DateTime(2015, 6, 19);
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var marketClose = exchangeHours.MarketHours[DayOfWeek.Friday].GetMarketClose(TimeSpan.Zero, false);
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Assert.IsTrue(marketClose.HasValue);
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var startTime = date + marketClose.Value;
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Assert.IsFalse(exchangeHours.IsOpen(startTime, startTime.AddDays(2), false));
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// if we back up one tick it means the bar started at the last moment before market close, this should be included
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Assert.IsTrue(exchangeHours.IsOpen(startTime.AddTicks(-1), startTime.AddDays(2).AddTicks(-1), false));
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// if we advance one tick, it means the bar closed in the first moment after market open
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Assert.IsTrue(exchangeHours.IsOpen(startTime.AddTicks(1), startTime.AddDays(2).AddTicks(1), false));
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}
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[Test]
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public void MarketIsOpenBeforeEarlyClose()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var localDateTime = new DateTime(2016, 11, 25, 12, 0, 0);
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Assert.IsTrue(exchangeHours.IsOpen(localDateTime, false));
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}
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[Test]
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public void MarketIsNotOpenAfterEarlyClose()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var localDateTime = new DateTime(2016, 11, 25, 14, 0, 0);
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Assert.IsFalse(exchangeHours.IsOpen(localDateTime, false));
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}
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[Test]
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public void MarketIsNotOpenForIntervalAfterEarlyClose()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startLocalDateTime = new DateTime(2016, 11, 25, 13, 0, 0);
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var endLocalDateTime = new DateTime(2016, 11, 25, 13, 30, 0);
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Assert.IsFalse(exchangeHours.IsOpen(startLocalDateTime, endLocalDateTime, false));
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}
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[Test]
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public void GetMarketHoursWithLateOpen()
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{
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var exchangeHours = CreateSecurityExchangeHoursWithMultipleOpeningHours();
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var startTime = new DateTime(2018, 12, 10);
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// From 2:00am, the next close would normally be 3:00am.
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// Because there is a late open at 4am.
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var marketHoursSegments = exchangeHours.GetMarketHours(startTime).Segments;
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var expectedMarketHoursSegments = new List<MarketHoursSegment>() {
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new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(17, 0, 0), new TimeSpan(17, 30, 0)),
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new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(18, 30, 0)),
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new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(19, 0, 0), TimeSpan.FromTicks(Time.OneDay.Ticks - 1))
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};
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for (int i = 0; i <= marketHoursSegments.Count - 1; i++)
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{
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var marketHoursSegment = marketHoursSegments.ElementAt(i);
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var expectedMarketHoursSegment = expectedMarketHoursSegments.ElementAt(i);
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Assert.AreEqual(expectedMarketHoursSegment.Start, marketHoursSegment.Start);
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Assert.AreEqual(expectedMarketHoursSegment.End, marketHoursSegment.End);
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Assert.AreEqual(expectedMarketHoursSegment.State, marketHoursSegment.State);
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}
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}
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[Test]
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public void GetMarketHoursWithEarlyClose()
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{
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var exchangeHours = CreateSecurityExchangeHoursWithMultipleOpeningHours();
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var startTime = new DateTime(2018, 12, 31);
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var marketHoursSegment = exchangeHours.GetMarketHours(startTime).Segments.FirstOrDefault();
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var expectedMarketHoursSegment = new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(3, 0, 0), new TimeSpan(3, 30, 0));
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Assert.AreEqual(expectedMarketHoursSegment.Start, marketHoursSegment.Start);
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Assert.AreEqual(expectedMarketHoursSegment.End, marketHoursSegment.End);
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Assert.AreEqual(expectedMarketHoursSegment.State, marketHoursSegment.State);
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}
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[Test]
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public void GetMarketHoursWithEarlyCloseAndLateOpen()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2016, 11, 25);
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var marketHoursSegment = exchangeHours.GetMarketHours(startTime).Segments.FirstOrDefault();
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var expectedMarketHoursSegment = new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(10, 0, 0), new TimeSpan(13, 0, 0));
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Assert.AreEqual(expectedMarketHoursSegment.Start, marketHoursSegment.Start);
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Assert.AreEqual(expectedMarketHoursSegment.End, marketHoursSegment.End);
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Assert.AreEqual(expectedMarketHoursSegment.State, marketHoursSegment.State);
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}
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[Test]
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public void GetNextMarketOpenIsNonInclusiveOfStartTime()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2015, 6, 30, 9, 30, 0);
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var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
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Assert.AreEqual(startTime.AddDays(1), nextMarketOpen);
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}
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[Test]
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public void GetNextMarketOpenWorksOnHoliday()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2016, 9, 5, 8, 0, 0);
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var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
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Assert.AreEqual(new DateTime(2016, 9, 6, 9, 30, 0), nextMarketOpen);
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}
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[Test]
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public void GetNextMarketOpenWorksOverWeekends()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2015, 6, 26, 9, 30, 1);
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var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
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Assert.AreEqual(new DateTime(2015, 6, 29, 9, 30, 0), nextMarketOpen);
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}
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// The purpose of define explicitly the exchange market hours for futures,
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// which is pretty similar to exchange market hours for ES, was to consider
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// the case when the market opens at 00 hours on Sunday but the input date
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// was the Saturday. In that case when GetNextMarketOpen() processed the Sunday
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// it should behave as an inclusive method because for Sunday at 00 it should
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// return Sunday at 00
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[Test]
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public void GetNextMarketOpenForContinuousSchedulesOverWeekends()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours();
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var startTime = new DateTime(2022, 1, 1);
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var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
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Assert.AreEqual(new DateTime(2022, 1, 2), nextMarketOpen);
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}
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[Test]
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public void GetNextMarketOpenForContinuousSchedules()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours();
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var startTime = new DateTime(2022, 1, 3);
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var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
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Assert.AreEqual(new DateTime(2022, 1, 3, 16, 30, 0), nextMarketOpen);
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}
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[Test]
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public void GetNextMarketOpenForContinuousSchedulesIsNotInclusiveOfStartTime()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours();
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var startTime = new DateTime(2022, 1, 2);
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var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
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Assert.AreEqual(new DateTime(2022, 1, 3, 16, 30, 0), nextMarketOpen);
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}
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[Test]
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public void GetNextMarketCloseForContinuousSchedulesOverWeekends()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours();
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var startTime = new DateTime(2022, 1, 1);
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var nextMarketOpen = exchangeHours.GetNextMarketClose(startTime, false);
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Assert.AreEqual(new DateTime(2022, 1, 3, 16, 15, 0), nextMarketOpen);
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}
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[Test]
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public void GetNextMarketOpenForEarlyCloses()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours();
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// Thanksgiving day
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var startTime = new DateTime(2013, 11, 28);
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var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
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Assert.AreEqual(new DateTime(2013, 11, 29), nextMarketOpen);
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}
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[TestCaseSource(nameof(GetNextMarketOpenTestCases))]
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public void GetNextMarketOpen(DateTime startTime, DateTime expectedNextMarketOpen, bool extendedMarket)
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHoursWithExtendedHours();
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var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, extendedMarket);
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Assert.AreEqual(expectedNextMarketOpen, nextMarketOpen);
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}
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[Test]
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public void GetLastMarketOpenForContinuousSchedules()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours();
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var startTime = new DateTime(2022, 03, 18, 5, 0, 0);
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var nextMarketOpen = exchangeHours.GetPreviousMarketOpen(startTime, false);
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Assert.AreEqual(new DateTime(2022, 03, 17, 18, 0, 0), nextMarketOpen);
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}
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[Test]
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public void GetLastMarketOpenWithExtendedMarket()
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{
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var marketHourDbEntry = MarketHoursDatabase.FromDataFolder().GetEntry(Market.USA, (string)null, SecurityType.Equity);
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var exchangeHours = marketHourDbEntry.ExchangeHours;
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var startTime = new DateTime(2022, 03, 18, 9, 29, 0);
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var nextMarketOpen = exchangeHours.GetPreviousMarketOpen(startTime, true);
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Assert.AreEqual(new DateTime(2022, 03, 18, 4, 0, 0), nextMarketOpen);
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}
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[Test]
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public void GetNextMarketCloseIsNonInclusiveOfStartTime()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2015, 6, 30, 16, 0, 0);
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var nextMarketOpen = exchangeHours.GetNextMarketClose(startTime, false);
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Assert.AreEqual(startTime.AddDays(1), nextMarketOpen);
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}
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[Test]
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public void GetNextMarketCloseWorksOnHoliday()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2016, 9, 5, 10, 0, 0);
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var nextMarketClose = exchangeHours.GetNextMarketClose(startTime, false);
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Assert.AreEqual(new DateTime(2016, 9, 6, 16, 0, 0), nextMarketClose);
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}
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[Test]
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public void GetNextMarketCloseWorksOverWeekends()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2015, 6, 26, 16, 0, 1);
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var nextMarketClose = exchangeHours.GetNextMarketClose(startTime, false);
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Assert.AreEqual(new DateTime(2015, 6, 29, 16, 0, 0), nextMarketClose);
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}
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[Test]
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public void GetNextMarketCloseWorksBeforeEarlyClose()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2016, 11, 25, 10, 0, 0);
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var nextMarketClose = exchangeHours.GetNextMarketClose(startTime, false);
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Assert.AreEqual(new DateTime(2016, 11, 25, 13, 0, 0), nextMarketClose);
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}
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[Test]
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public void GetNextMarketCloseWorksAfterEarlyClose()
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{
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var exchangeHours = CreateUsEquitySecurityExchangeHours();
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var startTime = new DateTime(2016, 11, 25, 14, 0, 0);
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var nextMarketClose = exchangeHours.GetNextMarketClose(startTime, false);
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Assert.AreEqual(new DateTime(2016, 11, 28, 16, 0, 0), nextMarketClose);
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}
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[Test]
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public void GetNextMarketCloseWorksAfterLateOpen()
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{
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var exchangeHours = CreateSecurityExchangeHoursWithMultipleOpeningHours();
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var startTime = new DateTime(2018, 12, 10, 2, 0, 1);
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// From 2:00am, the next close would normally be 3:00am.
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// Because there is a late open at 4am, the next close is the close of the session after that open.
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var nextMarketOpen = exchangeHours.GetNextMarketClose(startTime, false);
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Assert.AreEqual(new DateTime(2018, 12, 10, 17, 30, 0), nextMarketOpen);
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}
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[TestCaseSource(nameof(GetNextMarketCloseTestCases))]
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public void GetNextMarketClose(DateTime startTime, DateTime expectedNextMarketClose, bool extendedMarket)
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHoursWithExtendedHours();
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var nextMarketClose = exchangeHours.GetNextMarketClose(startTime, extendedMarket);
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Assert.AreEqual(expectedNextMarketClose, nextMarketClose);
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}
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[Test]
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public void MarketIsNotOpenBeforeLateOpenIfNotEarlyClose()
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{
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var exchangeHours = CreateForexSecurityExchangeHours();
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var localDateTime = new DateTime(2019, 1, 1, 16, 59, 59);
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Assert.IsFalse(exchangeHours.IsOpen(localDateTime, false));
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}
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[Test]
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public void MarketIsOpenBeforeLateOpenIfEarlyClose()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours(true);
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var localDateTime = new DateTime(2013, 11, 29, 10, 0, 0);
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Assert.IsTrue(exchangeHours.IsOpen(localDateTime, false));
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}
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[Test]
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public void MarketIsOpenAfterEarlyCloseIfLateOpen()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours(true);
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var localDateTime = new DateTime(2013, 11, 29, 16, 45, 0);
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Assert.IsTrue(exchangeHours.IsOpen(localDateTime, false));
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}
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[Test]
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public void MarketResumesAfterEarlyCloseIfLateOpen()
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{
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var exchangeHours = CreateUsFutureSecurityExchangeHours(true);
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var localDateTime = new DateTime(2013, 11, 28, 0, 0, 0);
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var nextDay = new DateTime(2013, 11, 29, 0, 0, 0);
|
|
var earlyClose = new TimeSpan(10, 30, 0);
|
|
var lateOpen = new TimeSpan(19, 0, 0);
|
|
|
|
var minutes = 0;
|
|
while (localDateTime < nextDay)
|
|
{
|
|
if (localDateTime.TimeOfDay < earlyClose || lateOpen < localDateTime.TimeOfDay)
|
|
{
|
|
Assert.IsTrue(exchangeHours.IsOpen(localDateTime, false));
|
|
}
|
|
else
|
|
{
|
|
Assert.IsFalse(exchangeHours.IsOpen(localDateTime, false));
|
|
}
|
|
|
|
minutes++;
|
|
localDateTime = localDateTime.AddMinutes(minutes);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void MarketIsOpenAfterLateOpen()
|
|
{
|
|
var exchangeHours = CreateForexSecurityExchangeHours();
|
|
|
|
var localDateTime = new DateTime(2019, 1, 1, 17, 0, 1);
|
|
Assert.IsTrue(exchangeHours.IsOpen(localDateTime, false));
|
|
}
|
|
|
|
[Test]
|
|
public void MarketIsNotOpenForIntervalBeforeLateOpen()
|
|
{
|
|
var exchangeHours = CreateForexSecurityExchangeHours();
|
|
|
|
var startLocalDateTime = new DateTime(2019, 1, 1, 16, 30, 0);
|
|
var endLocalDateTime = new DateTime(2019, 1, 1, 17, 0, 0);
|
|
Assert.IsFalse(exchangeHours.IsOpen(startLocalDateTime, endLocalDateTime, false));
|
|
}
|
|
|
|
[Test]
|
|
public void GetNextMarketOpenWorksBeforeLateOpen()
|
|
{
|
|
var exchangeHours = CreateForexSecurityExchangeHours();
|
|
|
|
var startTime = new DateTime(2019, 1, 1, 16, 59, 59); // Friday
|
|
var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
|
|
Assert.AreEqual(new DateTime(2019, 1, 1, 17, 0, 0), nextMarketOpen);
|
|
}
|
|
|
|
[Test]
|
|
public void GetNextMarketOpenWorksAfterLateOpen()
|
|
{
|
|
var exchangeHours = CreateForexSecurityExchangeHours();
|
|
|
|
var startTime = new DateTime(2019, 1, 1, 17, 0, 1);
|
|
var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
|
|
Assert.AreEqual(new DateTime(2019, 1, 6, 17, 0, 0), nextMarketOpen);
|
|
}
|
|
|
|
[Test]
|
|
public void GetNextMarketOpenWorksAfterEarlyClose()
|
|
{
|
|
var exchangeHours = CreateSecurityExchangeHoursWithMultipleOpeningHours();
|
|
|
|
var startTime = new DateTime(2018, 12, 31, 17, 0, 1);
|
|
// From 5:00pm, the next open would normally be 6:00pm.
|
|
// Because there is an early close at 5pm, the next open is the open of the session on the following day (+ a late open).
|
|
var nextMarketOpen = exchangeHours.GetNextMarketOpen(startTime, false);
|
|
Assert.AreEqual(new DateTime(2019, 1, 1, 02, 0, 0), nextMarketOpen);
|
|
}
|
|
|
|
[Test]
|
|
public void Benchmark()
|
|
{
|
|
var forex = CreateForexSecurityExchangeHours();
|
|
|
|
var reference = new DateTime(1991, 06, 20);
|
|
forex.IsOpen(reference, false);
|
|
forex.IsOpen(reference, reference.AddDays(1), false);
|
|
|
|
const int length = 1000 * 1000 * 1;
|
|
|
|
var stopwatch = Stopwatch.StartNew();
|
|
for (int i = 0; i < length; i++)
|
|
{
|
|
forex.IsOpen(reference.AddMinutes(1), false);
|
|
}
|
|
stopwatch.Stop();
|
|
|
|
Log.Trace("forex1: " + stopwatch.Elapsed);
|
|
}
|
|
|
|
[Test]
|
|
public void RegularMarketDurationIsFromMostCommonLocalMarketHours()
|
|
{
|
|
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, Enumerable.Empty<DateTime>(),
|
|
new Dictionary<DayOfWeek, LocalMarketHours>
|
|
{
|
|
// fake market hours schedule with random durations, the most common of which is 5 hours and 2 hours, it will pick the larger
|
|
{DayOfWeek.Sunday, new LocalMarketHours(DayOfWeek.Sunday, TimeSpan.FromHours(4), TimeSpan.FromHours(6))}, //2hr
|
|
{DayOfWeek.Monday, new LocalMarketHours(DayOfWeek.Monday, TimeSpan.FromHours(13), TimeSpan.FromHours(15))}, //2hr
|
|
{DayOfWeek.Tuesday, new LocalMarketHours(DayOfWeek.Tuesday, TimeSpan.FromHours(5), TimeSpan.FromHours(10))}, //5hr
|
|
{DayOfWeek.Wednesday, new LocalMarketHours(DayOfWeek.Wednesday, TimeSpan.FromHours(5), TimeSpan.FromHours(10))}, //5hr
|
|
{DayOfWeek.Thursday, new LocalMarketHours(DayOfWeek.Thursday, TimeSpan.FromHours(1), TimeSpan.FromHours(23))}, //22hr
|
|
{DayOfWeek.Friday, new LocalMarketHours(DayOfWeek.Friday, TimeSpan.FromHours(0), TimeSpan.FromHours(23))}, //23hr
|
|
{DayOfWeek.Saturday, new LocalMarketHours(DayOfWeek.Saturday, TimeSpan.FromHours(3), TimeSpan.FromHours(23))}, //20hr
|
|
}, new Dictionary<DateTime, TimeSpan>(), new Dictionary<DateTime, TimeSpan>());
|
|
|
|
Assert.AreEqual(TimeSpan.FromHours(5), exchangeHours.RegularMarketDuration);
|
|
}
|
|
|
|
[TestCaseSource(nameof(GetTestCases))]
|
|
public void GetMarketHoursWorksCorrectly(DateTime earlyClose, DateTime lateOpen, LocalMarketHours expected)
|
|
{
|
|
var testDate = new DateTime(2020, 7, 3); // Friday
|
|
var exchangeHours = CreateCustomFutureExchangeHours(earlyClose, lateOpen);
|
|
var actual = exchangeHours.GetMarketHours(testDate);
|
|
|
|
// Extracts the time segments for detailed comparison
|
|
var actualSegments = actual.Segments;
|
|
var expectedSegments = expected.Segments;
|
|
|
|
// Must have the same number of segments
|
|
Assert.AreEqual(expectedSegments.Count, actualSegments.Count);
|
|
|
|
// 1. Market State (PreMarket/Market/PostMarket/Closed)
|
|
// 2. Start Time (Validates late open adjustments)
|
|
// 3. End Time (Validates early close adjustments)
|
|
for (int i = 0; i < expectedSegments.Count; i++)
|
|
{
|
|
Assert.AreEqual(expectedSegments[i].State, actualSegments[i].State, $"Segment {i} state mismatch");
|
|
Assert.AreEqual(expectedSegments[i].Start, actualSegments[i].Start, $"Segment {i} start time mismatch");
|
|
Assert.AreEqual(expectedSegments[i].End, actualSegments[i].End, $"Segment {i} end time mismatch");
|
|
}
|
|
}
|
|
|
|
private static TestCaseData[] GetTestCases()
|
|
{
|
|
return new[]
|
|
{
|
|
// 1. Regular hours (no early close, no late open)
|
|
new TestCaseData(
|
|
new DateTime(), // No early close
|
|
new DateTime(), // No late open
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0)))
|
|
),
|
|
|
|
// 2. Early close only scenarios
|
|
// 2.1 Early close during regular market hours
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 12, 0, 0), // Early close at noon
|
|
new DateTime(),
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(12, 0, 0)))
|
|
),
|
|
// 2.2 Early close before market opens (should remove market segment)
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 7, 0, 0), // Early close before open
|
|
new DateTime(),
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(7, 0, 0)))
|
|
),
|
|
// 2.3 Early close after market closes (should have no effect)
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 17, 0, 0), // Early close after regular close
|
|
new DateTime(),
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0)))
|
|
),
|
|
|
|
// 3. Late open only scenarios
|
|
// 3.1 Late open during regular market hours (should adjust market open)
|
|
new TestCaseData(
|
|
new DateTime(),
|
|
new DateTime(2020, 7, 3, 10, 0, 0), // Late open at 10am
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(10, 0, 0), new TimeSpan(16, 0, 0)))
|
|
),
|
|
// 3.2 Late open before market opens (should delay premarket start)
|
|
new TestCaseData(
|
|
new DateTime(),
|
|
new DateTime(2020, 7, 3, 7, 0, 0), // Late open before market
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(7, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0)))
|
|
),
|
|
// 3.3 Late open after market close (regular hours)
|
|
new TestCaseData(
|
|
new DateTime(),
|
|
new DateTime(2020, 7, 3, 17, 0, 0), // Late open at 17
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0)))
|
|
),
|
|
|
|
// 4. Both early close and late open scenarios
|
|
// 4.1 Open <= Earlyclose <= Close and EarlyClose < LateOpen (market closes then reopens)
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 12, 0, 0), // Close at noon
|
|
new DateTime(2020, 7, 3, 13, 0, 0), // Reopen at 1pm
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(12, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(13, 0, 0), new TimeSpan(16, 0, 0)))
|
|
),
|
|
// 4.2 Open <= Earlyclose <= Close and EarlyClose > LateOpen (only one market segment should exist)
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 15, 0, 0), // Close at 3pm
|
|
new DateTime(2020, 7, 3, 14, 0, 0), // Late open at 2pm
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(14, 0, 0), new TimeSpan(15, 0, 0)))
|
|
),
|
|
// 4.3 Earlyclose <= Open and EarlyClose < LateOpen <= Close
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 7, 0, 0),
|
|
new DateTime(2020, 7, 3, 14, 0, 0),
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(7, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(14, 0, 0), new TimeSpan(16, 0, 0)))
|
|
),
|
|
// 4.4 LateOpen < Earlyclose <= Open
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 7, 0, 0),
|
|
new DateTime(2020, 7, 3, 6, 0, 0),
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(6, 0, 0), new TimeSpan(7, 0, 0)))
|
|
),
|
|
|
|
// 5. Edge cases
|
|
// 5.1 Early close exactly at market open (no market segment)
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 8, 30, 0),
|
|
new DateTime(),
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)))
|
|
),
|
|
// 5.2 Late open exactly at market close (market segment has zero duration)
|
|
new TestCaseData(
|
|
new DateTime(),
|
|
new DateTime(2020, 7, 3, 16, 0, 0),
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 0, 0), new TimeSpan(16, 0, 0)))
|
|
),
|
|
// 5.3 Early close and late open at the same time (split into two segments with zero-duration overlap)
|
|
new TestCaseData(
|
|
new DateTime(2020, 7, 3, 13, 0, 0),
|
|
new DateTime(2020, 7, 3, 13, 0, 0),
|
|
new LocalMarketHours(DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(13, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(13, 0, 0), new TimeSpan(13, 0, 0)))
|
|
),
|
|
};
|
|
}
|
|
|
|
private static SecurityExchangeHours CreateCustomFutureExchangeHours(DateTime earlyClose, DateTime lateOpen)
|
|
{
|
|
var sunday = new LocalMarketHours(
|
|
DayOfWeek.Sunday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(17, 0, 0), new TimeSpan(25, 0, 0)) // 1.00:00:00 = 25 horas
|
|
);
|
|
|
|
var monday = new LocalMarketHours(
|
|
DayOfWeek.Monday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(17, 0, 0), new TimeSpan(25, 0, 0))
|
|
);
|
|
|
|
var tuesday = new LocalMarketHours(
|
|
DayOfWeek.Tuesday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(17, 0, 0), new TimeSpan(25, 0, 0))
|
|
);
|
|
|
|
var wednesday = new LocalMarketHours(
|
|
DayOfWeek.Wednesday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(17, 0, 0), new TimeSpan(25, 0, 0))
|
|
);
|
|
|
|
var thursday = new LocalMarketHours(
|
|
DayOfWeek.Thursday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(17, 0, 0), new TimeSpan(25, 0, 0))
|
|
);
|
|
|
|
var friday = new LocalMarketHours(
|
|
DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(8, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(8, 30, 0), new TimeSpan(16, 0, 0))
|
|
);
|
|
|
|
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
|
|
|
|
var earlyCloses = new Dictionary<DateTime, TimeSpan>
|
|
{
|
|
{ earlyClose.Date, earlyClose.TimeOfDay }
|
|
};
|
|
|
|
var lateOpens = new Dictionary<DateTime, TimeSpan>
|
|
{
|
|
{ lateOpen.Date, lateOpen.TimeOfDay }
|
|
};
|
|
|
|
var holidays = new List<DateTime>
|
|
{
|
|
new DateTime(2025, 4, 18)
|
|
};
|
|
|
|
var exchangeHours = new SecurityExchangeHours(
|
|
TimeZones.Chicago,
|
|
holidays,
|
|
new[]
|
|
{
|
|
sunday,
|
|
monday,
|
|
tuesday,
|
|
wednesday,
|
|
thursday,
|
|
friday,
|
|
saturday
|
|
}.ToDictionary(x => x.DayOfWeek),
|
|
earlyCloses,
|
|
lateOpens
|
|
);
|
|
|
|
return exchangeHours;
|
|
}
|
|
|
|
public static SecurityExchangeHours CreateForexSecurityExchangeHours()
|
|
{
|
|
var sunday = new LocalMarketHours(DayOfWeek.Sunday, new TimeSpan(17, 0, 0), TimeSpan.FromTicks(Time.OneDay.Ticks - 1));
|
|
var monday = LocalMarketHours.OpenAllDay(DayOfWeek.Monday);
|
|
var tuesday = LocalMarketHours.OpenAllDay(DayOfWeek.Tuesday);
|
|
var wednesday = LocalMarketHours.OpenAllDay(DayOfWeek.Wednesday);
|
|
var thursday = LocalMarketHours.OpenAllDay(DayOfWeek.Thursday);
|
|
var friday = new LocalMarketHours(DayOfWeek.Friday, TimeSpan.Zero, new TimeSpan(17, 0, 0));
|
|
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
|
|
|
|
var holidays = _mhdbUSHolidays.Value;
|
|
|
|
holidays.Remove(new DateTime(2019, 1, 1)); // not a forex holiday
|
|
|
|
var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2018, 12, 31), new TimeSpan(17, 0, 0) } };
|
|
var lateOpens = new Dictionary<DateTime, TimeSpan> { { new DateTime(2019, 1, 1), new TimeSpan(17, 0, 0) } };
|
|
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, holidays, new[]
|
|
{
|
|
sunday, monday, tuesday, wednesday, thursday, friday//, saturday
|
|
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
|
|
return exchangeHours;
|
|
}
|
|
|
|
public static SecurityExchangeHours CreateSecurityExchangeHoursWithMultipleOpeningHours()
|
|
{
|
|
var sunday = LocalMarketHours.OpenAllDay(DayOfWeek.Sunday);
|
|
var monday = new LocalMarketHours(
|
|
DayOfWeek.Monday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(3, 0, 0), new TimeSpan(3, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(17, 0, 0), new TimeSpan(17, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(18, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(19, 0, 0), TimeSpan.FromTicks(Time.OneDay.Ticks - 1))
|
|
);
|
|
var tuesday = LocalMarketHours.OpenAllDay(DayOfWeek.Tuesday);
|
|
var wednesday = LocalMarketHours.OpenAllDay(DayOfWeek.Wednesday);
|
|
var thursday = LocalMarketHours.OpenAllDay(DayOfWeek.Thursday);
|
|
var friday = LocalMarketHours.OpenAllDay(DayOfWeek.Friday);
|
|
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
|
|
|
|
var holidays = new List<DateTime>();
|
|
var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2018, 12, 31), new TimeSpan(17, 0, 0) } };
|
|
var lateOpens = new Dictionary<DateTime, TimeSpan> { {new DateTime(2019, 01, 01), new TimeSpan(2, 0, 0)},
|
|
{ new DateTime(2018, 12, 10), new TimeSpan(4, 0, 0) } };
|
|
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, holidays, new[]
|
|
{
|
|
sunday, monday, tuesday, wednesday, thursday, friday//, saturday
|
|
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
|
|
return exchangeHours;
|
|
}
|
|
|
|
public static SecurityExchangeHours CreateUsEquitySecurityExchangeHours()
|
|
{
|
|
var sunday = LocalMarketHours.ClosedAllDay(DayOfWeek.Sunday);
|
|
var monday = new LocalMarketHours(DayOfWeek.Monday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
|
|
var tuesday = new LocalMarketHours(DayOfWeek.Tuesday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
|
|
var wednesday = new LocalMarketHours(DayOfWeek.Wednesday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
|
|
var thursday = new LocalMarketHours(DayOfWeek.Thursday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
|
|
var friday = new LocalMarketHours(DayOfWeek.Friday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
|
|
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
|
|
|
|
var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2016, 11, 25), new TimeSpan(13, 0, 0) } };
|
|
var lateOpens = new Dictionary<DateTime, TimeSpan>() { { new DateTime(2016, 11, 25), new TimeSpan(10, 0, 0) } };
|
|
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, _mhdbUSHolidays.Value, new[]
|
|
{
|
|
sunday, monday, tuesday, wednesday, thursday, friday, saturday
|
|
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
|
|
return exchangeHours;
|
|
}
|
|
|
|
public static SecurityExchangeHours CreateUsFutureSecurityExchangeHours(bool addLateOpens = false)
|
|
{
|
|
var sunday = LocalMarketHours.OpenAllDay(DayOfWeek.Sunday);
|
|
var monday = new LocalMarketHours(
|
|
DayOfWeek.Monday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(24, 0, 0))
|
|
);
|
|
var tuesday = new LocalMarketHours(
|
|
DayOfWeek.Tuesday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(24, 0, 0))
|
|
);
|
|
var wednesday = new LocalMarketHours(
|
|
DayOfWeek.Wednesday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(24, 0, 0))
|
|
);
|
|
var thursday = new LocalMarketHours(
|
|
DayOfWeek.Thursday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(24, 0, 0))
|
|
);
|
|
var friday = new LocalMarketHours(
|
|
DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0))
|
|
);
|
|
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
|
|
|
|
var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2013, 11, 28), new TimeSpan(10, 30, 0) },
|
|
{ new DateTime(2013, 11, 29), new TimeSpan(12, 15, 0)} };
|
|
Dictionary<DateTime, TimeSpan> lateOpens = null;
|
|
if (addLateOpens)
|
|
{
|
|
lateOpens = new Dictionary<DateTime, TimeSpan> { { new DateTime(2013, 11, 28), new TimeSpan(19, 00, 0) }, { new DateTime(2013, 11, 29), new TimeSpan(16, 40, 0) } };
|
|
}
|
|
else
|
|
{
|
|
lateOpens = new Dictionary<DateTime, TimeSpan>();
|
|
}
|
|
|
|
var holidays = _mhdbUSHolidays.Value.Select(x => x.Date).Where(x => !earlyCloses.ContainsKey(x)).ToList();
|
|
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, holidays, new[]
|
|
{
|
|
sunday, monday, tuesday, wednesday, thursday, friday, saturday
|
|
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
|
|
return exchangeHours;
|
|
}
|
|
|
|
public static SecurityExchangeHours CreateUsFutureSecurityExchangeHoursWithExtendedHours()
|
|
{
|
|
var sunday = new LocalMarketHours(
|
|
DayOfWeek.Sunday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0))
|
|
);
|
|
var monday = new LocalMarketHours(
|
|
DayOfWeek.Monday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(9, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0))
|
|
);
|
|
var tuesday = new LocalMarketHours(
|
|
DayOfWeek.Tuesday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(9, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0))
|
|
);
|
|
var wednesday = new LocalMarketHours(
|
|
DayOfWeek.Wednesday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(9, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0))
|
|
);
|
|
var thursday = new LocalMarketHours(
|
|
DayOfWeek.Thursday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(9, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0)),
|
|
new MarketHoursSegment(MarketHoursState.PostMarket, new TimeSpan(18, 0, 0), new TimeSpan(1, 0, 0, 0))
|
|
);
|
|
var friday = new LocalMarketHours(
|
|
DayOfWeek.Friday,
|
|
new MarketHoursSegment(MarketHoursState.PreMarket, new TimeSpan(0, 0, 0), new TimeSpan(9, 30, 0)),
|
|
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0))
|
|
);
|
|
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
|
|
|
|
var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2013, 11, 28), new TimeSpan(10, 30, 0) },
|
|
{ new DateTime(2013, 11, 29), new TimeSpan(12, 15, 0)} };
|
|
var lateOpens = new Dictionary<DateTime, TimeSpan>();
|
|
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, _mhdbUSHolidays.Value, new[]
|
|
{
|
|
sunday, monday, tuesday, wednesday, thursday, friday, saturday
|
|
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
|
|
return exchangeHours;
|
|
}
|
|
|
|
private static TestCaseData[] GetNextMarketOpenTestCases()
|
|
{
|
|
return new[]
|
|
{
|
|
new TestCaseData(new DateTime(2022, 1, 1), new DateTime(2022, 1, 3, 9, 30, 0), false),
|
|
new TestCaseData(new DateTime(2022, 1, 3, 8, 0, 0), new DateTime(2022, 1, 3, 9, 30, 0), false),
|
|
new TestCaseData(new DateTime(2022, 1, 2, 18, 0, 0), new DateTime(2022, 1, 3, 18, 0, 0), true),
|
|
new TestCaseData(new DateTime(2022, 1, 3, 12, 0, 0), new DateTime(2022, 1, 3, 18, 0, 0), true),
|
|
new TestCaseData(new DateTime(2022, 1, 3, 16, 0, 0), new DateTime(2022, 1, 3, 18, 0, 0), true),
|
|
new TestCaseData(new DateTime(2022, 1, 1), new DateTime(2022, 1, 2, 18, 0, 0), true)
|
|
};
|
|
}
|
|
|
|
private static TestCaseData[] GetNextMarketCloseTestCases()
|
|
{
|
|
return new[]
|
|
{
|
|
new TestCaseData(new DateTime(2022, 1, 1), new DateTime(2022, 1, 3, 16, 0, 0), false),
|
|
new TestCaseData(new DateTime(2022, 1, 2), new DateTime(2022, 1, 3, 16, 0, 0), false),
|
|
new TestCaseData(new DateTime(2022, 1, 3), new DateTime(2022, 1, 3, 16, 0, 0), false),
|
|
new TestCaseData(new DateTime(2022, 1, 3, 10, 0, 0), new DateTime(2022, 1, 3, 16, 0, 0), false),
|
|
new TestCaseData(new DateTime(2022, 1, 3, 18, 0, 0), new DateTime(2022, 1, 4, 16, 0, 0), false),
|
|
new TestCaseData(new DateTime(2022, 1, 1), new DateTime(2022, 1, 3, 16, 0, 0), true),
|
|
new TestCaseData(new DateTime(2022, 1, 2), new DateTime(2022, 1, 3, 16, 0, 0), true),
|
|
new TestCaseData(new DateTime(2022, 1, 2, 18, 0, 0), new DateTime(2022, 1, 3, 16, 0, 0), true),
|
|
new TestCaseData(new DateTime(2022, 1, 3), new DateTime(2022, 1, 3, 16, 0, 0), true),
|
|
new TestCaseData(new DateTime(2022, 1, 3, 10, 0, 0), new DateTime(2022, 1, 3, 16, 0, 0), true),
|
|
new TestCaseData(new DateTime(2022, 1, 3, 18, 0, 0), new DateTime(2022, 1, 4, 16, 0, 0), true),
|
|
};
|
|
}
|
|
}
|
|
}
|