Michael Handschuh
6519844eb6
Defines the time span of regular market hours and the most common time span of regular market hours, respectively
293 lines
12 KiB
C#
293 lines
12 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.Linq;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Represents the market hours under normal conditions for an exchange and a specific day of the week in terms of local time
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/// </summary>
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public class LocalMarketHours
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{
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private readonly bool _hasPreMarket;
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private readonly bool _hasPostMarket;
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private readonly MarketHoursSegment[] _segments;
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/// <summary>
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/// Gets whether or not this exchange is closed all day
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/// </summary>
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public bool IsClosedAllDay { get; }
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/// <summary>
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/// Gets whether or not this exchange is closed all day
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/// </summary>
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public bool IsOpenAllDay { get; }
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/// <summary>
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/// Gets the day of week these hours apply to
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/// </summary>
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public DayOfWeek DayOfWeek { get; }
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/// <summary>
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/// Gets the tradable time during the market day.
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/// For a normal US equity trading day this is 6.5 hours.
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/// This does NOT account for extended market hours and only
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/// considers <see cref="MarketHoursState.Market"/>
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/// </summary>
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public TimeSpan MarketDuration { get; }
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/// <summary>
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/// Gets the individual market hours segments that define the hours of operation for this day
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/// </summary>
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public IEnumerable<MarketHoursSegment> Segments => _segments;
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalMarketHours"/> class
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/// </summary>
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/// <param name="day">The day of the week these hours are applicable</param>
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/// <param name="segments">The open/close segments defining the market hours for one day</param>
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public LocalMarketHours(DayOfWeek day, params MarketHoursSegment[] segments)
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: this(day, (IEnumerable<MarketHoursSegment>) segments)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalMarketHours"/> class
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/// </summary>
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/// <param name="day">The day of the week these hours are applicable</param>
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/// <param name="segments">The open/close segments defining the market hours for one day</param>
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public LocalMarketHours(DayOfWeek day, IEnumerable<MarketHoursSegment> segments)
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{
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DayOfWeek = day;
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// filter out the closed states, we'll assume closed if no segment exists
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_segments = (segments ?? Enumerable.Empty<MarketHoursSegment>()).Where(x => x.State != MarketHoursState.Closed).ToArray();
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IsClosedAllDay = _segments.Length == 0;
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IsOpenAllDay = _segments.Length == 1
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&& _segments[0].Start == TimeSpan.Zero
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&& _segments[0].End == Time.OneDay
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&& _segments[0].State == MarketHoursState.Market;
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foreach (var segment in _segments)
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{
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if (segment.State == MarketHoursState.PreMarket)
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{
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_hasPreMarket = true;
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}
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if (segment.State == MarketHoursState.PostMarket)
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{
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_hasPostMarket = true;
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}
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if (segment.State == MarketHoursState.Market)
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{
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MarketDuration += segment.End - segment.Start;
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}
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalMarketHours"/> class from the specified open/close times
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/// </summary>
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/// <param name="day">The day of week these hours apply to</param>
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/// <param name="extendedMarketOpen">The extended market open time</param>
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/// <param name="marketOpen">The regular market open time, must be greater than or equal to the extended market open time</param>
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/// <param name="marketClose">The regular market close time, must be greater than the regular market open time</param>
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/// <param name="extendedMarketClose">The extended market close time, must be greater than or equal to the regular market close time</param>
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public LocalMarketHours(DayOfWeek day, TimeSpan extendedMarketOpen, TimeSpan marketOpen, TimeSpan marketClose, TimeSpan extendedMarketClose)
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: this(day, MarketHoursSegment.GetMarketHoursSegments(extendedMarketOpen, marketOpen, marketClose, extendedMarketClose))
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="LocalMarketHours"/> class from the specified open/close times
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/// using the market open as the extended market open and the market close as the extended market close, effectively
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/// removing any 'extended' session from these exchange hours
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/// </summary>
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/// <param name="day">The day of week these hours apply to</param>
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/// <param name="marketOpen">The regular market open time</param>
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/// <param name="marketClose">The regular market close time, must be greater than the regular market open time</param>
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public LocalMarketHours(DayOfWeek day, TimeSpan marketOpen, TimeSpan marketClose)
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: this(day, marketOpen, marketOpen, marketClose, marketClose)
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{
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}
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/// <summary>
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/// Gets the market opening time of day
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/// </summary>
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/// <param name="time">The reference time, the open returned will be the first open after the specified time if there are multiple market open segments</param>
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/// <param name="extendedMarket">True to include extended market hours, false for regular market hours</param>
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/// <returns>The market's opening time of day</returns>
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public TimeSpan? GetMarketOpen(TimeSpan time, bool extendedMarket)
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{
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foreach (var segment in _segments)
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{
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if (segment.State == MarketHoursState.Closed || segment.End <= time)
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{
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continue;
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}
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if (extendedMarket && _hasPreMarket)
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{
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if (segment.State == MarketHoursState.PreMarket)
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{
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return segment.Start;
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}
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}
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else if (segment.State == MarketHoursState.Market)
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{
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return segment.Start;
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}
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}
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// we couldn't locate an open segment after the specified time
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return null;
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}
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/// <summary>
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/// Gets the market closing time of day
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/// </summary>
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/// <param name="time">The reference time, the close returned will be the first close after the specified time if there are multiple market open segments</param>
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/// <param name="extendedMarket">True to include extended market hours, false for regular market hours</param>
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/// <returns>The market's closing time of day</returns>
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public TimeSpan? GetMarketClose(TimeSpan time, bool extendedMarket)
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{
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foreach (var segment in _segments)
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{
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if (segment.State == MarketHoursState.Closed || segment.End <= time)
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{
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continue;
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}
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if (extendedMarket && _hasPostMarket)
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{
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if (segment.State == MarketHoursState.PostMarket)
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{
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return segment.End;
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}
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}
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else if (segment.State == MarketHoursState.Market)
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{
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return segment.End;
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}
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}
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// we couldn't locate an open segment after the specified time
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return null;
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}
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/// <summary>
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/// Determines if the exchange is open at the specified time
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/// </summary>
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/// <param name="time">The time of day to check</param>
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/// <param name="extendedMarket">True to check exended market hours, false to check regular market hours</param>
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/// <returns>True if the exchange is considered open, false otherwise</returns>
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public bool IsOpen(TimeSpan time, bool extendedMarket)
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{
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foreach (var segment in _segments)
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{
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if (segment.State == MarketHoursState.Closed)
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{
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continue;
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}
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if (segment.Contains(time))
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{
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return extendedMarket || segment.State == MarketHoursState.Market;
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}
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}
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// if we didn't find a segment then we're closed
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return false;
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}
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/// <summary>
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/// Determines if the exchange is open during the specified interval
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/// </summary>
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/// <param name="start">The start time of the interval</param>
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/// <param name="end">The end time of the interval</param>
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/// <param name="extendedMarket">True to check exended market hours, false to check regular market hours</param>
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/// <returns>True if the exchange is considered open, false otherwise</returns>
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public bool IsOpen(TimeSpan start, TimeSpan end, bool extendedMarket)
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{
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if (start == end)
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{
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return IsOpen(start, extendedMarket);
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}
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foreach (var segment in _segments)
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{
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if (segment.State == MarketHoursState.Closed)
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{
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continue;
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}
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if (extendedMarket || segment.State == MarketHoursState.Market)
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{
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if (segment.Overlaps(start, end))
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{
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return true;
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}
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}
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}
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// if we didn't find a segment then we're closed
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return false;
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}
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/// <summary>
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/// Gets a <see cref="LocalMarketHours"/> instance that is always closed
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/// </summary>
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/// <param name="dayOfWeek">The day of week</param>
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/// <returns>A <see cref="LocalMarketHours"/> instance that is always closed</returns>
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public static LocalMarketHours ClosedAllDay(DayOfWeek dayOfWeek)
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{
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return new LocalMarketHours(dayOfWeek);
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}
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/// <summary>
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/// Gets a <see cref="LocalMarketHours"/> instance that is always open
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/// </summary>
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/// <param name="dayOfWeek">The day of week</param>
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/// <returns>A <see cref="LocalMarketHours"/> instance that is always open</returns>
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public static LocalMarketHours OpenAllDay(DayOfWeek dayOfWeek)
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{
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return new LocalMarketHours(dayOfWeek, new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay));
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}
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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/// <returns>
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/// A string that represents the current object.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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public override string ToString()
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{
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if (IsClosedAllDay)
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{
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return "Closed All Day";
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}
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if (IsOpenAllDay)
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{
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return "Open All Day";
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}
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return DayOfWeek + ": " + string.Join(" | ", (IEnumerable<MarketHoursSegment>) _segments);
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}
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}
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} |