public void DoesNotSetRunTimeErrorWhenReconnectMessageComesThrough()
{
var algorithm = new AlgorithmStub(equities: new List<string> { "SPY" });
var referenceTime = DateTime.UtcNow;
algorithm.SetDateTime(referenceTime);
var localReferencTime = referenceTime.ConvertFromUtc(TimeZones.NewYork);
var open = localReferencTime.AddSeconds(1).TimeOfDay;
var closed = TimeSpan.FromDays(1);
var marketHours = new MarketHoursSegment(MarketHoursState.Market, open, closed);
algorithm.Securities[Symbols.SPY].Exchange.SetMarketHours(new [] {marketHours}, localReferencTime.DayOfWeek);
var job = new LiveNodePacket();
var results = new TestResultHandler();//packet => Console.WriteLine(FieldsToString(packet)));
var api = new Api.Api();
var handler = new DefaultBrokerageMessageHandler(algorithm, job, results, api, TimeSpan.FromMinutes(15), TimeSpan.FromSeconds(.25));
Assert.IsNull(algorithm.RunTimeError);
handler.Handle(BrokerageMessageEvent.Disconnected("Disconnection!"));
Thread.Sleep(100);
handler.Handle(BrokerageMessageEvent.Reconnected("Reconnected!"));
Thread.Sleep(500);
Assert.IsNull(algorithm.RunTimeError);
results.Exit();
}
/// <summary>
/// Helper to access the market hours field based on the day of week
/// </summary>
/// <param name="localDateTime">The local date time to retrieve market hours for</param>
public LocalMarketHours GetMarketHours(DateTime localDateTime)
{
LocalMarketHours marketHours;
switch (localDateTime.DayOfWeek)
{
case DayOfWeek.Sunday:
marketHours = _sunday;
break;
case DayOfWeek.Monday:
marketHours = _monday;
break;
case DayOfWeek.Tuesday:
marketHours = _tuesday;
break;
case DayOfWeek.Wednesday:
marketHours = _wednesday;
break;
case DayOfWeek.Thursday:
marketHours = _thursday;
break;
case DayOfWeek.Friday:
marketHours = _friday;
break;
case DayOfWeek.Saturday:
marketHours = _saturday;
break;
default:
throw new ArgumentOutOfRangeException(nameof(localDateTime), localDateTime, null);
}
// If the earlyCloseTime is between a segment, change the close time with it
// and add it after the segments prior to the earlyCloseTime
// Otherwise, just take the segments prior to the earlyCloseTime
if (_earlyCloses.TryGetValue(localDateTime.Date, out var earlyCloseTime))
{
var index = marketHours.Segments.Count;
MarketHoursSegment newSegment = null;
for (var i = 0; i < marketHours.Segments.Count; i++)
{
var segment = marketHours.Segments[i];
if (segment.Start <= earlyCloseTime && earlyCloseTime <= segment.End)
{
newSegment = new MarketHoursSegment(segment.State, segment.Start, earlyCloseTime);
index = i;
break;
}
else if (earlyCloseTime < segment.Start)
{
// we will drop any remaining segment starting by this one
index = i - 1;
break;
}
}
var newSegments = new List <MarketHoursSegment>(marketHours.Segments.Take(index));
if (newSegment != null)
{
newSegments.Add(newSegment);
}
marketHours = new LocalMarketHours(localDateTime.DayOfWeek, newSegments);
}
// If the lateOpenTime is between a segment, change the start time with it
// and add it before the segments previous to the lateOpenTime
// Otherwise, just take the segments previous to the lateOpenTime
if (_lateOpens.TryGetValue(localDateTime.Date, out var lateOpenTime))
{
var index = 0;
var newSegments = new List <MarketHoursSegment>();
for (var i = 0; i < marketHours.Segments.Count; i++)
{
var segment = marketHours.Segments[i];
if (segment.Start <= lateOpenTime && lateOpenTime <= segment.End)
{
newSegments.Add(new (segment.State, lateOpenTime, segment.End));
index = i + 1;
break;
}
else if (lateOpenTime < segment.Start)
{
index = i;
break;
}
}
newSegments.AddRange(marketHours.Segments.TakeLast(marketHours.Segments.Count - index));
marketHours = new LocalMarketHours(localDateTime.DayOfWeek, newSegments);
}
return(marketHours);
}
/// <summary>
/// Initializes a new instance of the <see cref="LocalMarketHours"/> class from the specified open/close times
/// </summary>
/// <param name="day">The day of week these hours apply to</param>
/// <param name="extendedMarketOpen">The extended market open time</param>
/// <param name="marketOpen">The regular market open time, must be greater than or equal to the extended market open time</param>
/// <param name="marketClose">The regular market close time, must be greater than the regular market open time</param>
/// <param name="extendedMarketClose">The extended market close time, must be greater than or equal to the regular market close time</param>
public LocalMarketHours(DayOfWeek day, TimeSpan extendedMarketOpen, TimeSpan marketOpen, TimeSpan marketClose, TimeSpan extendedMarketClose)
: this(day, MarketHoursSegment.GetMarketHoursSegments(extendedMarketOpen, marketOpen, marketClose, extendedMarketClose))
{
}
