/// <summary>
/// Helper to extract market hours from the <see cref="_openHoursByDay"/> dictionary, filling
/// in Closed instantes when not present
/// </summary>
private void SetMarketHoursForDay(DayOfWeek dayOfWeek, out LocalMarketHours localMarketHoursForDay)
{
if (!_openHoursByDay.TryGetValue(dayOfWeek, out localMarketHoursForDay))
{
// assign to our dictionary that we're closed this day, as well as our local field
_openHoursByDay[dayOfWeek] = localMarketHoursForDay = LocalMarketHours.ClosedAllDay(dayOfWeek);
}
}
/// <summary>
/// Check whether the market is always open or not
/// </summary>
/// <returns>True if the market is always open, false otherwise</returns>
private bool CheckIsMarketAlwaysOpen()
{
LocalMarketHours marketHours = null;
for (var i = 0; i < daysOfWeek.Count; i++)
{
var day = daysOfWeek[i];
switch (day)
{
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;
}
if (!marketHours.IsOpenAllDay)
{
return(false);
}
}
return(true);
}
/// <summary>
/// Sets the regular market hours for the specified days If no days are specified then
/// all days will be updated.
/// </summary>
/// <param name="marketHoursSegments">Specifies each segment of the market hours, such as premarket/market/postmark</param>
/// <param name="days">The days of the week to set these times for</param>
public void SetMarketHours(IEnumerable <MarketHoursSegment> marketHoursSegments, params DayOfWeek[] days)
{
if (days.IsNullOrEmpty())
{
days = Enum.GetValues(typeof(DayOfWeek)).OfType <DayOfWeek>().ToArray();
}
var marketHours = Hours.MarketHours.ToDictionary();
marketHoursSegments = marketHoursSegments as IList <MarketHoursSegment> ?? marketHoursSegments.ToList();
foreach (var day in days)
{
marketHours[day] = new LocalMarketHours(day, marketHoursSegments);
}
// create a new exchange hours instance for the new hours
Hours = new SecurityExchangeHours(Hours.TimeZone, Hours.Holidays, marketHours, Hours.EarlyCloses, Hours.LateOpens);
}
/// <summary>
/// Sets the regular market hours for the specified days If no days are specified then
/// all days will be updated.
/// </summary>
/// <param name="extendedMarketOpen">The time of day the pre market opens</param>
/// <param name="marketOpen">The time of day the market opens</param>
/// <param name="marketClose">The time of day the market closes</param>
/// <param name="extendedMarketClose">The time of day the post market opens</param>
/// <param name="days">The days of the week to set these times for</param>
public void SetMarketHours(TimeSpan extendedMarketOpen, TimeSpan marketOpen, TimeSpan marketClose, TimeSpan extendedMarketClose, params DayOfWeek[] days)
{
if (days.IsNullOrEmpty())
{
days = Enum.GetValues(typeof(DayOfWeek)).OfType <DayOfWeek>().ToArray();
}
// if we specify close as 1 tick before the day rolls over, the exchange is still
// considered to be open all day,so set it to one day and this impl will make it OpenAllDay
if (extendedMarketOpen == marketOpen && marketOpen == TimeSpan.Zero && extendedMarketClose == marketClose && marketClose.Ticks == Time.OneDay.Ticks - 1)
{
marketClose = Time.OneDay;
}
// make sure extended hours are outside of regular hours
extendedMarketOpen = TimeSpan.FromTicks(Math.Min(extendedMarketOpen.Ticks, marketOpen.Ticks));
extendedMarketClose = TimeSpan.FromTicks(Math.Max(extendedMarketClose.Ticks, marketClose.Ticks));
var marketHours = _exchangeHours.MarketHours.ToDictionary();
foreach (var day in days)
{
if (marketOpen == TimeSpan.Zero && marketClose == TimeSpan.Zero)
{
marketHours[day] = LocalMarketHours.ClosedAllDay(day);
}
else if (marketOpen == TimeSpan.Zero && marketClose == Time.OneDay)
{
marketHours[day] = LocalMarketHours.OpenAllDay(day);
}
else
{
marketHours[day] = new LocalMarketHours(day, extendedMarketOpen, marketOpen, marketClose, extendedMarketClose);
}
}
// create a new exchange hours instance for the new hours
_exchangeHours = new SecurityExchangeHours(_exchangeHours.TimeZone, _exchangeHours.Holidays, marketHours);
}
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 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 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;
}
/// <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>
/// Sets the regular market hours for the specified days If no days are specified then
/// all days will be updated.
/// </summary>
/// <param name="extendedMarketOpen">The time of day the pre market opens</param>
/// <param name="marketOpen">The time of day the market opens</param>
/// <param name="marketClose">The time of day the market closes</param>
/// <param name="extendedMarketClose">The time of day the post market opens</param>
/// <param name="days">The days of the week to set these times for</param>
public void SetMarketHours(TimeSpan extendedMarketOpen, TimeSpan marketOpen, TimeSpan marketClose, TimeSpan extendedMarketClose, params DayOfWeek[] days)
{
if (days.IsNullOrEmpty()) days = Enum.GetValues(typeof(DayOfWeek)).OfType<DayOfWeek>().ToArray();
// if we specify close as 1 tick before the day rolls over, the exchange is still
// considered to be open all day,so set it to one day and this impl will make it OpenAllDay
if (extendedMarketOpen == marketOpen && marketOpen == TimeSpan.Zero && extendedMarketClose == marketClose && marketClose.Ticks == Time.OneDay.Ticks - 1)
{
marketClose = Time.OneDay;
}
// make sure extended hours are outside of regular hours
extendedMarketOpen = TimeSpan.FromTicks(Math.Min(extendedMarketOpen.Ticks, marketOpen.Ticks));
extendedMarketClose = TimeSpan.FromTicks(Math.Max(extendedMarketClose.Ticks, marketClose.Ticks));
var marketHours = _exchangeHours.MarketHours.ToDictionary();
foreach (var day in days)
{
if (marketOpen == TimeSpan.Zero && marketClose == TimeSpan.Zero)
{
marketHours[day] = LocalMarketHours.ClosedAllDay(day);
}
else if (marketOpen == TimeSpan.Zero && marketClose == Time.OneDay)
{
marketHours[day] = LocalMarketHours.OpenAllDay(day);
}
else
{
marketHours[day] = new LocalMarketHours(day, extendedMarketOpen, marketOpen, marketClose, extendedMarketClose);
}
}
// create a new exchange hours instance for the new hours
_exchangeHours = new SecurityExchangeHours(_exchangeHours.TimeZone, _exchangeHours.Holidays, marketHours);
}
/// <summary>
/// Helper to extract market hours from the <see cref="_openHoursByDay"/> dictionary, filling
/// in Closed instantes when not present
/// </summary>
private void SetMarketHoursForDay(DayOfWeek dayOfWeek, out LocalMarketHours localMarketHoursForDay)
{
if (!_openHoursByDay.TryGetValue(dayOfWeek, out localMarketHoursForDay))
{
// assign to our dictionary that we're closed this day, as well as our local field
_openHoursByDay[dayOfWeek] = localMarketHoursForDay = LocalMarketHours.ClosedAllDay(dayOfWeek);
}
}
/// <summary>
/// Sets the regular market hours for the specified days If no days are specified then
/// all days will be updated.
/// </summary>
/// <param name="extendedMarketOpen">The time of day the pre market opens</param>
/// <param name="marketOpen">The time of day the market opens</param>
/// <param name="marketClose">The time of day the market closes</param>
/// <param name="extendedMarketClose">The time of day the post market opens</param>
/// <param name="days">The days of the week to set these times for</param>
public void SetMarketHours(TimeSpan extendedMarketOpen, TimeSpan marketOpen, TimeSpan marketClose, TimeSpan extendedMarketClose, params DayOfWeek[] days)
{
if (days.IsNullOrEmpty()) days = Enum.GetValues(typeof(DayOfWeek)).OfType<DayOfWeek>().ToArray();
// make sure extended hours are outside of regular hours
extendedMarketOpen = TimeSpan.FromTicks(Math.Min(extendedMarketOpen.Ticks, marketOpen.Ticks));
extendedMarketClose = TimeSpan.FromTicks(Math.Max(extendedMarketClose.Ticks, marketClose.Ticks));
var marketHours = _exchangeHours.MarketHours.ToDictionary();
foreach (var day in days)
{
if (marketOpen == TimeSpan.Zero && marketClose == TimeSpan.Zero)
{
marketHours[day] = LocalMarketHours.ClosedAllDay(day);
}
else if (marketOpen == TimeSpan.Zero && marketClose == Time.OneDay)
{
marketHours[day] = LocalMarketHours.OpenAllDay(day);
}
else
{
marketHours[day] = new LocalMarketHours(day, extendedMarketOpen, marketOpen, marketClose, extendedMarketClose);
}
}
// create a new exchange hours instance for the new hours
_exchangeHours = new SecurityExchangeHours(_exchangeHours.TimeZone, _exchangeHours.Holidays, marketHours);
}
/// <summary>
/// Sets the regular market hours for the specified days If no days are specified then
/// all days will be updated.
/// </summary>
/// <param name="marketHoursSegments">Specifies each segment of the market hours, such as premarket/market/postmark</param>
/// <param name="days">The days of the week to set these times for</param>
public void SetMarketHours(IEnumerable<MarketHoursSegment> marketHoursSegments, params DayOfWeek[] days)
{
if (days.IsNullOrEmpty()) days = Enum.GetValues(typeof(DayOfWeek)).OfType<DayOfWeek>().ToArray();
var marketHours = _exchangeHours.MarketHours.ToDictionary();
marketHoursSegments = marketHoursSegments as IList<MarketHoursSegment> ?? marketHoursSegments.ToList();
foreach (var day in days)
{
marketHours[day] = new LocalMarketHours(day, marketHoursSegments);
}
// create a new exchange hours instance for the new hours
_exchangeHours = new SecurityExchangeHours(_exchangeHours.TimeZone, _exchangeHours.Holidays, marketHours);
}
