public void CorrectlyReadsOpenAllDayHours()
{
string file = Path.Combine("TestData", "SampleMarketHoursDatabase.csv");
var exchangeHours = GetMarketHoursDatabase(file);
var hours = exchangeHours.GetExchangeHours(Market.FXCM, null, SecurityType.Forex);
Assert.IsNotNull(hours);
Assert.AreEqual(LocalMarketHours.OpenAllDay(DayOfWeek.Monday), hours.MarketHours[DayOfWeek.Monday]);
}
public void CorrectlyReadsClosedAllDayHours()
{
string file = Path.Combine("TestData", "SampleMarketHoursDatabase.csv");
var exchangeHours = GetSecurityExchangeHoursProvider(file);
var hours = exchangeHours.GetExchangeHours("usa", null, SecurityType.Equity);
Assert.IsNotNull(hours);
Assert.AreEqual(LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday), hours.MarketHours[DayOfWeek.Saturday]);
}
public void Setup()
{
var sunday = new LocalMarketHours(DayOfWeek.Sunday, new TimeSpan(17, 0, 0), TimeSpan.FromTicks(Time.OneDay.Ticks - 1));
var monday = LocalMarketHours.OpenAllDay(DayOfWeek.Monday);
var tuesday = LocalMarketHours.OpenAllDay(DayOfWeek.Tuesday);
var wednesday = LocalMarketHours.OpenAllDay(DayOfWeek.Wednesday);
var thursday = LocalMarketHours.OpenAllDay(DayOfWeek.Thursday);
var friday = new LocalMarketHours(DayOfWeek.Friday, TimeSpan.Zero, new TimeSpan(17, 0, 0));
var earlyCloses = new Dictionary <DateTime, TimeSpan>();
var lateOpens = new Dictionary <DateTime, TimeSpan>();
_exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
_liveTradingDataFeed = new TestableLiveTradingDataFeed();
var jobPacket = new LiveNodePacket()
{
DeployId = "",
Brokerage = BrokerageName.OandaBrokerage.ToString(),
DataQueueHandler = "LiveDataQueue"
};
var algo = new TestAlgorithm();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataProvider = new DefaultDataProvider();
var dataManager = new DataManager(_liveTradingDataFeed,
new UniverseSelection(
algo,
new SecurityService(algo.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algo, RegisteredSecurityDataTypesProvider.Null, new SecurityCacheProvider(algo.Portfolio)),
dataPermissionManager,
dataProvider),
algo,
algo.TimeKeeper,
marketHoursDatabase,
true,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
algo.SubscriptionManager.SetDataManager(dataManager);
_liveSynchronizer = new LiveSynchronizer();
_liveSynchronizer.Initialize(algo, dataManager);
_liveTradingDataFeed.Initialize(algo, jobPacket, new LiveTradingResultHandler(), new LocalDiskMapFileProvider(),
null, dataProvider, dataManager, _liveSynchronizer, new DataChannelProvider());
algo.Initialize();
_config = SecurityTests.CreateTradeBarConfig();
}
private static SecurityExchangeHours CreateUsEquitySecurityExchangeHours()
{
var sunday = LocalMarketHours.ClosedAllDay(DayOfWeek.Sunday);
var monday = new LocalMarketHours(DayOfWeek.Monday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var tuesday = new LocalMarketHours(DayOfWeek.Tuesday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var wednesday = new LocalMarketHours(DayOfWeek.Wednesday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var thursday = new LocalMarketHours(DayOfWeek.Thursday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var friday = new LocalMarketHours(DayOfWeek.Friday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
return(new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday, saturday
}.ToDictionary(x => x.DayOfWeek)));
}
public void IsContinuousMarketOpenTests(string previousSegmentEndStr, string nextSegmentStartStr, bool expected)
{
TimeSpan?previousSegmentEnd = null;
TimeSpan?nextSegmentStart = null;
if (previousSegmentEndStr != null)
{
previousSegmentEnd = TimeSpan.ParseExact(previousSegmentEndStr, "d\\.hh\\:mm\\:ss", CultureInfo.InvariantCulture);
}
if (nextSegmentStartStr != null)
{
nextSegmentStart = TimeSpan.ParseExact(nextSegmentStartStr, "hh\\:mm\\:ss", CultureInfo.InvariantCulture);
}
Assert.AreEqual(expected, LocalMarketHours.IsContinuousMarketOpen(previousSegmentEnd, nextSegmentStart));
}
private static SecurityExchangeHours CreateUsEquitySecurityExchangeHours()
{
var sunday = LocalMarketHours.ClosedAllDay(DayOfWeek.Sunday);
var monday = new LocalMarketHours(DayOfWeek.Monday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
var tuesday = new LocalMarketHours(DayOfWeek.Tuesday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
var wednesday = new LocalMarketHours(DayOfWeek.Wednesday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
var thursday = new LocalMarketHours(DayOfWeek.Thursday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
var friday = new LocalMarketHours(DayOfWeek.Friday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
var earlyCloses = new Dictionary <DateTime, TimeSpan>();
return(new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday, saturday
}.ToDictionary(x => x.DayOfWeek), earlyCloses));
}
public static SecurityExchangeHours CreateUsFutureSecurityExchangeHours()
{
var sunday = LocalMarketHours.OpenAllDay(DayOfWeek.Sunday);
var monday = new LocalMarketHours(
DayOfWeek.Monday,
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(24, 0, 0))
);
var tuesday = new LocalMarketHours(
DayOfWeek.Tuesday,
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(24, 0, 0))
);
var wednesday = new LocalMarketHours(
DayOfWeek.Wednesday,
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(24, 0, 0))
);
var thursday = new LocalMarketHours(
DayOfWeek.Thursday,
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(18, 0, 0), new TimeSpan(24, 0, 0))
);
var friday = new LocalMarketHours(
DayOfWeek.Friday,
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(0, 0, 0), new TimeSpan(16, 15, 0)),
new MarketHoursSegment(MarketHoursState.Market, new TimeSpan(16, 30, 0), new TimeSpan(17, 0, 0))
);
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
var earlyCloses = new Dictionary <DateTime, TimeSpan> {
{ new DateTime(2013, 11, 28), new TimeSpan(10, 30, 0) },
{ new DateTime(2013, 11, 29), new TimeSpan(12, 15, 0) }
};
var lateOpens = new Dictionary <DateTime, TimeSpan>();
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday, saturday
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
return(exchangeHours);
}
public static SecurityExchangeHours CreateForexSecurityExchangeHours()
{
var sunday = new LocalMarketHours(DayOfWeek.Sunday, new TimeSpan(17, 0, 0), TimeSpan.FromTicks(Time.OneDay.Ticks - 1));
var monday = LocalMarketHours.OpenAllDay(DayOfWeek.Monday);
var tuesday = LocalMarketHours.OpenAllDay(DayOfWeek.Tuesday);
var wednesday = LocalMarketHours.OpenAllDay(DayOfWeek.Wednesday);
var thursday = LocalMarketHours.OpenAllDay(DayOfWeek.Thursday);
var friday = new LocalMarketHours(DayOfWeek.Friday, TimeSpan.Zero, new TimeSpan(17, 0, 0));
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday//, saturday
}.ToDictionary(x => x.DayOfWeek));
return(exchangeHours);
}
public static SecurityExchangeHours CreateUsEquitySecurityExchangeHours()
{
var sunday = LocalMarketHours.ClosedAllDay(DayOfWeek.Sunday);
var monday = new LocalMarketHours(DayOfWeek.Monday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var tuesday = new LocalMarketHours(DayOfWeek.Tuesday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var wednesday = new LocalMarketHours(DayOfWeek.Wednesday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var thursday = new LocalMarketHours(DayOfWeek.Thursday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var friday = new LocalMarketHours(DayOfWeek.Friday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
var earlyCloses = new Dictionary <DateTime, TimeSpan> {
{ new DateTime(2016, 11, 25), new TimeSpan(13, 0, 0) }
};
var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday, saturday
}.ToDictionary(x => x.DayOfWeek), earlyCloses);
return(exchangeHours);
}
public void CorrectlyReadsUsEquityMarketHours()
{
string file = Path.Combine("TestData", "SampleMarketHoursDatabase.csv");
var exchangeHours = GetMarketHoursDatabase(file);
var equityHours = exchangeHours.GetExchangeHours(Market.USA, null, SecurityType.Equity);
foreach (var day in equityHours.MarketHours.Keys)
{
var marketHours = equityHours.MarketHours[day];
if (day == DayOfWeek.Saturday || day == DayOfWeek.Sunday)
{
Assert.AreEqual(LocalMarketHours.ClosedAllDay(day), marketHours);
continue;
}
Assert.AreEqual(new TimeSpan(4, 0, 0), marketHours.ExtendedMarketOpen);
Assert.AreEqual(new TimeSpan(9, 30, 0), marketHours.MarketOpen);
Assert.AreEqual(new TimeSpan(16, 0, 0), marketHours.MarketClose);
Assert.AreEqual(new TimeSpan(20, 0, 0), marketHours.ExtendedMarketClose);
}
}
