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    Merge branches 7501 and 7506 (#7605)

    frostbyte_neo 发布于 2023-12-04 21:09:57 +00:00 | 1151 次提交 在此版本后已推送到 master

    • Update Future-cme-[*] and Future-cme-ES

    Acoording to pandas_market_calendars there were some dates in
    Future-cme-[*] who wasn't early_closes, so they needed to be removed
    from there. On the other hand, the early closes list of Future-cme-ES were
    shifted by 1 hour according to CME webpage. Besides, there were some
    missing dates.

    • Update CME Future entries in MHDB

    • Rebase

    • nit change

    • Fix unit tests

    • Resume after early close/halts

    • Add missing dates in MHDB and fix bugs in it

    • Fix bug, add more unit tests and add docs

    • fix regression algos

    • address required changes

    • Update failing regression test stats

    After debugging the tests it was found they were failing due to the last
    change on SecurityExchangeHours.IsOpen(). That method wasn't taking into
    account that even if there is a late open after an early close if the
    timespan is after the early close but before the late open, the market
    is still close.

    • enhance solution

    • Update and fix bugs in MHDB

    • Address required changes and update stats

    • Update stats after rebase

    • Nit change

    • Missing update to regression test

    • Use MHDB instead of USHoliday for Expiration Dates

    VIX expiry function now relies completely on MHDB. However, it had to be
    created an entry in MHDB for VIX since there wasn't one for it. CBOE
    webpage only provided 2023 holidays so only those dates were considered
    in the Holidays entry in MHDB. Therefore, some unit tests failed so it
    was necessary to change also the VIX entry in FuturesExpiryFunctionsTestData.xml.

    • Remove Global.cs/USHolidays class

    • Use a lazy implementation

    • First draft of the solution

    • Use MHDB in FuturesExpiryFunctions.cs

    • Remove unused class and fix indentation errors

    • Fix indentation errors

    • Nit changes

    • Merge branches 7501 and 7506

    • Merge changes in 7501 and 7506

    In order to check compatibility between those branches, a new branch
    was created out of branch 7501 and then it was merged with branch 7506.
    2 regression tests and 8 unit tests failed, the regression tests failed on
    the DataPoint stats. On the other hand, the unit tests failed since the
    default parameter UseEquityHoliday was removed from
    FuturesExpirtyUtilityFunctions.AddBusinessDays() and from other methods in
    the same class too.

    • Add missing changes

    • Remove repeated good fridays

    • Address minor review

    Co-authored-by: Martin Molinero martin.molinero1@gmail.com

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