MarketClearingTimespan getClearingTimespanIfMarketSuspended(DateTime dateTimeServer)
{
MarketClearingTimespan ret = null;
if (this.ClearingTimespans == null)
{
return(ret);
}
foreach (MarketClearingTimespan clearingTimespan in this.ClearingTimespans)
{
if (clearingTimespan.SuspendServerTimeOfDay == DateTime.MinValue)
{
continue;
}
if (clearingTimespan.ResumeServerTimeOfDay == DateTime.MinValue)
{
continue;
}
if (clearingTimespan.ClearingHappensOnDayOfWeek(dateTimeServer.DayOfWeek) == false)
{
ret = null;
break;
}
bool afterSuspend = dateTimeServer.TimeOfDay >= clearingTimespan.SuspendServerTimeOfDay.TimeOfDay;
bool beforeResume = dateTimeServer.TimeOfDay < clearingTimespan.ResumeServerTimeOfDay.TimeOfDay;
if (afterSuspend && beforeResume)
{
ret = clearingTimespan;
break;
}
}
return(ret);
}
public DateTime AdvanceToWhenClearingResumes(DateTime dateTimeServer, MarketClearingTimespan clearingTimespan)
{
DateTime ret = new DateTime(dateTimeServer.Year, dateTimeServer.Month, dateTimeServer.Day,
clearingTimespan.ResumeServerTimeOfDay.Hour, clearingTimespan.ResumeServerTimeOfDay.Minute, clearingTimespan.ResumeServerTimeOfDay.Second);
if (ret.TimeOfDay < dateTimeServer.TimeOfDay)
{
ret = ret.AddDays(1);
}
return(ret);
}
public DateTime AdvanceToWhenClearingResumes(DateTime dateTimeServer, MarketClearingTimespan clearingTimespan) {
DateTime ret = new DateTime(dateTimeServer.Year, dateTimeServer.Month, dateTimeServer.Day,
clearingTimespan.ResumeServerTimeOfDay.Hour, clearingTimespan.ResumeServerTimeOfDay.Minute, clearingTimespan.ResumeServerTimeOfDay.Second);
if (ret.TimeOfDay < dateTimeServer.TimeOfDay) {
ret = ret.AddDays(1);
}
return ret;
}
public DateTime GetNextMarketServerTimeStamp(DateTime serverDateTime, BarScaleInterval scale,
out MarketClearingTimespan clearingTimespan) {
if (serverDateTime == DateTime.MinValue) {
throw new Exception("IRefuse: NextTimeStamp for DateTime.MinValue");
//serverDateTime = this.ConvertLocalTimeToServer(DateTime.Now);
}
DateTime ret = serverDateTime;
bool addNextRank = false;
int year = ret.Year;
int nextMonth = ret.Month + 1;
int intervalsCeiled = 0;
int valueCeiled = 0;
//MarketClearingTimespan
clearingTimespan = null;
switch (scale.Scale) {
case BarScale.Tick:
throw new ArgumentException("Tick scale is not supported");
case BarScale.Second:
intervalsCeiled = (int)Math.Floor((double)(serverDateTime.Second / scale.Interval));
valueCeiled = (intervalsCeiled + 1) * scale.Interval;
if (valueCeiled >= 60) {
addNextRank = true;
valueCeiled -= 60;
}
ret = new DateTime(serverDateTime.Year, serverDateTime.Month, serverDateTime.Day,
serverDateTime.Hour, serverDateTime.Minute, valueCeiled);
if (addNextRank) ret = ret.AddMinutes(1);
clearingTimespan = getClearingTimespanIfMarketSuspended(ret);
if (clearingTimespan != null) {
ret = this.AdvanceToWhenClearingResumes(ret, clearingTimespan);
//ret = ret.AddSeconds((double)scale.Interval);
}
if (this.isMarketAfterCloseServerTime(ret)) {
ret = this.AdvanceToNextDayOpen(ret);
//ret = ret.AddSeconds((double)scale.Interval);
}
break;
case BarScale.Minute:
intervalsCeiled = (int)Math.Floor((double)(serverDateTime.Minute / scale.Interval));
valueCeiled = (intervalsCeiled + 1) * scale.Interval;
if (valueCeiled >= 60) {
addNextRank = true;
valueCeiled -= 60;
}
ret = new DateTime(serverDateTime.Year, serverDateTime.Month, serverDateTime.Day,
serverDateTime.Hour, valueCeiled, 0);
if (addNextRank) ret = ret.AddHours(1);
clearingTimespan = getClearingTimespanIfMarketSuspended(ret);
if (clearingTimespan != null) {
ret = this.AdvanceToWhenClearingResumes(ret, clearingTimespan);
//ret = ret.AddMinutes((double)scale.Interval);
}
bool afterClose = this.isMarketAfterCloseServerTime(ret);
bool beforeOpen = this.isMarketBeforeOpenServerTime(ret);
if (beforeOpen) {
ret = this.AdvanceToThisDayOpen(ret);
} else {
if (afterClose) {
ret = this.AdvanceToNextDayOpen(ret);
}
}
break;
case BarScale.Hour:
intervalsCeiled = (int)Math.Floor((double)(serverDateTime.Minute / scale.Interval));
valueCeiled = (intervalsCeiled + 1) * scale.Interval;
if (valueCeiled >= 24) {
addNextRank = true;
valueCeiled -= 24;
}
ret = new DateTime(serverDateTime.Year, serverDateTime.Month, serverDateTime.Day,
serverDateTime.Hour, valueCeiled, 0);
if (addNextRank) ret = ret.AddDays(1);
clearingTimespan = getClearingTimespanIfMarketSuspended(ret);
if (clearingTimespan != null) {
ret = this.AdvanceToWhenClearingResumes(ret, clearingTimespan);
//ret = ret.AddHours((double)scale.Interval);
}
if (this.isMarketAfterCloseServerTime(ret)) {
ret = this.AdvanceToNextDayOpen(ret);
//ret = ret.AddHours((double)scale.Interval);
}
break;
case BarScale.Daily:
ret = this.AdvanceToNextDayOpen(ret);
break;
case BarScale.Weekly:
ret = this.AdvanceToNextDayOpen(ret);
while (ret.DayOfWeek != DayOfWeek.Friday) {
ret = ret.AddDays(1.0);
}
if (this.IsTradeableDayServerTime(ret) == false) {
if (ret.Day == serverDateTime.Day - 1) {
ret = ret.AddDays(7.0);
if (!this.IsTradeableDayServerTime(ret)) {
ret = ret.AddDays(-1.0);
}
} else {
ret = ret.AddDays(-1.0);
}
}
break;
case BarScale.Monthly:
if (nextMonth == 13) {
nextMonth = 1;
year++;
}
ret = new DateTime(year, nextMonth, 1, 0, 0, 0);
ret = this.AdvanceToNextDayOpen(ret);
ret = ret.AddDays(-1.0);
while (!this.IsTradeableDayServerTime(ret)) {
ret = ret.AddDays(-1.0);
}
break;
case BarScale.Quarterly:
if (nextMonth == 13) {
year++;
nextMonth = 1;
} else {
nextMonth = ((int)Math.Floor((double)ret.Month / 3)) * 3;
}
ret = new DateTime(year, nextMonth, 28);
do {
ret = ret.AddDays(1.0);
} while (ret.Month == nextMonth);
ret = ret.AddDays(-1.0);
ret = this.AdvanceToNextDayOpen(ret);
while (!this.IsTradeableDayServerTime(ret)) {
ret = ret.AddDays(-1.0);
}
break;
case BarScale.Yearly:
ret = new DateTime(ret.Year + 1, 12, 31);
ret = this.AdvanceToNextDayOpen(ret);
while (!this.IsTradeableDayServerTime(ret)) {
ret = ret.AddDays(-1.0);
}
break;
}
return ret;
}
bool isMarketSuspendedForClearing(DateTime dateTimeServer)
{
MarketClearingTimespan suspendedNow = getClearingTimespanIfMarketSuspended(dateTimeServer);
return((suspendedNow != null) ? true : false);
}
public DateTime GetNextMarketServerTimeStamp(DateTime serverDateTime, BarScaleInterval scale,
out MarketClearingTimespan clearingTimespan)
{
if (serverDateTime == DateTime.MinValue)
{
throw new Exception("IRefuse: NextTimeStamp for DateTime.MinValue");
//serverDateTime = this.ConvertLocalTimeToServer(DateTime.Now);
}
DateTime ret = serverDateTime;
bool addNextRank = false;
int year = ret.Year;
int nextMonth = ret.Month + 1;
int intervalsCeiled = 0;
int valueCeiled = 0;
//MarketClearingTimespan
clearingTimespan = null;
switch (scale.Scale)
{
case BarScale.Tick:
throw new ArgumentException("Tick scale is not supported");
case BarScale.Second:
intervalsCeiled = (int)Math.Floor((double)(serverDateTime.Second / scale.Interval));
valueCeiled = (intervalsCeiled + 1) * scale.Interval;
if (valueCeiled >= 60)
{
addNextRank = true;
valueCeiled -= 60;
}
ret = new DateTime(serverDateTime.Year, serverDateTime.Month, serverDateTime.Day,
serverDateTime.Hour, serverDateTime.Minute, valueCeiled);
if (addNextRank)
{
ret = ret.AddMinutes(1);
}
clearingTimespan = getClearingTimespanIfMarketSuspended(ret);
if (clearingTimespan != null)
{
ret = this.AdvanceToWhenClearingResumes(ret, clearingTimespan);
//ret = ret.AddSeconds((double)scale.Interval);
}
if (this.isMarketAfterCloseServerTime(ret))
{
ret = this.AdvanceToNextDayOpen(ret);
//ret = ret.AddSeconds((double)scale.Interval);
}
break;
case BarScale.Minute:
intervalsCeiled = (int)Math.Floor((double)(serverDateTime.Minute / scale.Interval));
valueCeiled = (intervalsCeiled + 1) * scale.Interval;
if (valueCeiled >= 60)
{
addNextRank = true;
valueCeiled -= 60;
}
ret = new DateTime(serverDateTime.Year, serverDateTime.Month, serverDateTime.Day,
serverDateTime.Hour, valueCeiled, 0);
if (addNextRank)
{
ret = ret.AddHours(1);
}
clearingTimespan = getClearingTimespanIfMarketSuspended(ret);
if (clearingTimespan != null)
{
ret = this.AdvanceToWhenClearingResumes(ret, clearingTimespan);
//ret = ret.AddMinutes((double)scale.Interval);
}
bool afterClose = this.isMarketAfterCloseServerTime(ret);
bool beforeOpen = this.isMarketBeforeOpenServerTime(ret);
if (beforeOpen)
{
ret = this.AdvanceToThisDayOpen(ret);
}
else
{
if (afterClose)
{
ret = this.AdvanceToNextDayOpen(ret);
}
}
break;
case BarScale.Hour:
intervalsCeiled = (int)Math.Floor((double)(serverDateTime.Minute / scale.Interval));
valueCeiled = (intervalsCeiled + 1) * scale.Interval;
if (valueCeiled >= 24)
{
addNextRank = true;
valueCeiled -= 24;
}
ret = new DateTime(serverDateTime.Year, serverDateTime.Month, serverDateTime.Day,
serverDateTime.Hour, valueCeiled, 0);
if (addNextRank)
{
ret = ret.AddDays(1);
}
clearingTimespan = getClearingTimespanIfMarketSuspended(ret);
if (clearingTimespan != null)
{
ret = this.AdvanceToWhenClearingResumes(ret, clearingTimespan);
//ret = ret.AddHours((double)scale.Interval);
}
if (this.isMarketAfterCloseServerTime(ret))
{
ret = this.AdvanceToNextDayOpen(ret);
//ret = ret.AddHours((double)scale.Interval);
}
break;
case BarScale.Daily:
ret = this.AdvanceToNextDayOpen(ret);
break;
case BarScale.Weekly:
ret = this.AdvanceToNextDayOpen(ret);
while (ret.DayOfWeek != DayOfWeek.Friday)
{
ret = ret.AddDays(1.0);
}
if (this.IsTradeableDayServerTime(ret) == false)
{
if (ret.Day == serverDateTime.Day - 1)
{
ret = ret.AddDays(7.0);
if (!this.IsTradeableDayServerTime(ret))
{
ret = ret.AddDays(-1.0);
}
}
else
{
ret = ret.AddDays(-1.0);
}
}
break;
case BarScale.Monthly:
if (nextMonth == 13)
{
nextMonth = 1;
year++;
}
ret = new DateTime(year, nextMonth, 1, 0, 0, 0);
ret = this.AdvanceToNextDayOpen(ret);
ret = ret.AddDays(-1.0);
while (!this.IsTradeableDayServerTime(ret))
{
ret = ret.AddDays(-1.0);
}
break;
case BarScale.Quarterly:
if (nextMonth == 13)
{
year++;
nextMonth = 1;
}
else
{
nextMonth = ((int)Math.Floor((double)ret.Month / 3)) * 3;
}
ret = new DateTime(year, nextMonth, 28);
do
{
ret = ret.AddDays(1.0);
} while (ret.Month == nextMonth);
ret = ret.AddDays(-1.0);
ret = this.AdvanceToNextDayOpen(ret);
while (!this.IsTradeableDayServerTime(ret))
{
ret = ret.AddDays(-1.0);
}
break;
case BarScale.Yearly:
ret = new DateTime(ret.Year + 1, 12, 31);
ret = this.AdvanceToNextDayOpen(ret);
while (!this.IsTradeableDayServerTime(ret))
{
ret = ret.AddDays(-1.0);
}
break;
}
return(ret);
}
