private Insight SetGeneratedAndClosedTimes(Insight insight)
{
insight.GeneratedTimeUtc = UtcTime;
insight.ReferenceValue = _securityValuesProvider.GetValues(insight.Symbol).Get(insight.Type);
if (string.IsNullOrEmpty(insight.SourceModel))
{
// set the source model name if not already set
insight.SourceModel = Alpha.GetModelName();
}
TimeSpan barSize;
Security security;
SecurityExchangeHours exchangeHours;
if (Securities.TryGetValue(insight.Symbol, out security))
{
exchangeHours = security.Exchange.Hours;
barSize = security.Resolution.ToTimeSpan();
}
else
{
barSize = insight.Period.ToHigherResolutionEquivalent(false).ToTimeSpan();
exchangeHours = MarketHoursDatabase.GetExchangeHours(insight.Symbol.ID.Market, insight.Symbol, insight.Symbol.SecurityType);
}
var localStart = UtcTime.ConvertFromUtc(exchangeHours.TimeZone);
barSize = QuantConnect.Time.Max(barSize, QuantConnect.Time.OneMinute);
var barCount = (int)(insight.Period.Ticks / barSize.Ticks);
insight.CloseTimeUtc = QuantConnect.Time.GetEndTimeForTradeBars(exchangeHours, localStart, barSize, barCount, false).ConvertToUtc(exchangeHours.TimeZone);
return(insight);
}
private Alpha SetGeneratedAndClosedTimes(Alpha alpha)
{
alpha.GeneratedTimeUtc = UtcTime;
TimeSpan barSize;
Security security;
SecurityExchangeHours exchangeHours;
if (Securities.TryGetValue(alpha.Symbol, out security))
{
exchangeHours = security.Exchange.Hours;
barSize = security.Resolution.ToTimeSpan();
}
else
{
barSize = alpha.Period.ToHigherResolutionEquivalent(false).ToTimeSpan();
exchangeHours = MarketHoursDatabase.GetExchangeHours(alpha.Symbol.ID.Market, alpha.Symbol, alpha.Symbol.SecurityType);
}
var localStart = UtcTime.ConvertFromUtc(exchangeHours.TimeZone);
barSize = QuantConnect.Time.Max(barSize, QuantConnect.Time.OneMinute);
var barCount = (int)(alpha.Period.Ticks / barSize.Ticks);
alpha.CloseTimeUtc = QuantConnect.Time.GetEndTimeForTradeBars(exchangeHours, localStart, barSize, barCount, false).ConvertToUtc(exchangeHours.TimeZone);
return(alpha);
}
/// <summary>
/// Determines if the exchange for the specified symbol is open at the current time.
/// </summary>
/// <param name="symbol">The symbol</param>
/// <returns>True if the exchange is considered open at the current time, false otherwise</returns>
public bool IsMarketOpen(Symbol symbol)
{
var exchangeHours = MarketHoursDatabase
.FromDataFolder()
.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
var time = UtcTime.ConvertFromUtc(exchangeHours.TimeZone);
return exchangeHours.IsOpen(time, false);
}
/// <summary>
/// Gets the history requests required for provide warm up data for the algorithm
/// </summary>
/// <returns></returns>
public IEnumerable <HistoryRequest> GetWarmupHistoryRequests()
{
if (_warmupBarCount.HasValue)
{
return(CreateBarCountHistoryRequests(Securities.Keys, _warmupBarCount.Value, _warmupResolution));
}
if (_warmupTimeSpan.HasValue)
{
var end = UtcTime.ConvertFromUtc(TimeZone);
return(CreateDateRangeHistoryRequests(Securities.Keys, end - _warmupTimeSpan.Value, end, _warmupResolution));
}
// if not warmup requested return nothing
return(Enumerable.Empty <HistoryRequest>());
}
/// <summary>
/// Gets the start time required for the specified bar count for a security in terms of the algorithm's time zone
/// Used when the security has not yet been subscribed to
/// </summary>
private DateTime GetStartTimeAlgoTzForSecurity(SecurityExchange securityExchange,
int periods,
Resolution resolution,
bool isExtendedMarketHours)
{
var timeSpan = resolution.ToTimeSpan();
// make this a minimum of one second
timeSpan = timeSpan < QuantConnect.Time.OneSecond ? QuantConnect.Time.OneSecond : timeSpan;
var localStartTime = QuantConnect.Time.GetStartTimeForTradeBars(
securityExchange.Hours,
UtcTime.ConvertFromUtc(securityExchange.TimeZone),
timeSpan,
periods,
isExtendedMarketHours);
return(localStartTime.ConvertTo(securityExchange.TimeZone, TimeZone));
}
/// <summary>
/// Gets the start time required for the specified bar count in terms of the algorithm's time zone
/// </summary>
private DateTime GetStartTimeAlgoTz(Symbol symbol, int periods, Resolution?resolution = null)
{
var security = Securities[symbol];
var timeSpan = (resolution ?? security.Resolution).ToTimeSpan();
// make this a minimum of one second
timeSpan = timeSpan < QuantConnect.Time.OneSecond ? QuantConnect.Time.OneSecond : timeSpan;
var localStartTime = QuantConnect.Time.GetStartTimeForTradeBars(security.Exchange.Hours, UtcTime.ConvertFromUtc(security.Exchange.TimeZone), timeSpan, periods, security.IsExtendedMarketHours);
return(localStartTime.ConvertTo(security.Exchange.TimeZone, TimeZone));
}
/// <summary>
/// Gets the start time required for the specified bar count in terms of the algorithm's time zone
/// </summary>
private DateTime GetStartTimeAlgoTz(Symbol symbol, int periods, Resolution?resolution = null)
{
Security security;
resolution = GetResolution(symbol, resolution);
var exchange = GetExchangeHours(symbol);
var isExtendedMarketHours = Securities.TryGetValue(symbol, out security) ? security.IsExtendedMarketHours : false;
var timeSpan = resolution.Value.ToTimeSpan();
// make this a minimum of one second
timeSpan = timeSpan < QuantConnect.Time.OneSecond ? QuantConnect.Time.OneSecond : timeSpan;
var localStartTime = QuantConnect.Time.GetStartTimeForTradeBars(exchange, UtcTime.ConvertFromUtc(exchange.TimeZone), timeSpan, periods, isExtendedMarketHours);
return(localStartTime.ConvertTo(exchange.TimeZone, TimeZone));
}
