/// <summary>
/// Gets the "opening" session's opening time, one for each day of the week.
/// Session could potentially be on a previous day.
/// </summary>
/// <returns>
/// A dictionary with keys corresponding to DayOfTheWeek,
/// and values of the opening session for that day.
/// </returns>
public static Dictionary <int, InstrumentSession> SessionStartTimesByDay(this Instrument instrument)
{
var sessionStartTimes = new Dictionary <int, InstrumentSession>();
if (instrument.Sessions == null)
{
return(sessionStartTimes);
}
var dotwValues = MyUtils.GetEnumValues <DayOfTheWeek>();
var sessions = instrument.Sessions.OrderBy(x => x.OpeningTime).ToList();
foreach (DayOfTheWeek d in dotwValues)
{
if (sessions.Any(x => x.ClosingDay == d))
{
//if there's a session starting on a different day,
//that's the earliest one no matter the time
InstrumentSession prevDaySession = sessions.FirstOrDefault(x => x.ClosingDay == d && x.OpeningDay != d);
if (prevDaySession != null)
{
sessionStartTimes.Add((int)d, prevDaySession);
}
else
{
var session = sessions.First(x => x.ClosingDay == d);
sessionStartTimes.Add((int)d, session);
}
}
}
return(sessionStartTimes);
}
public void OverlapsReturnsTrueForIntradayOverlappingPeriods()
{
var m10To12 = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(10,0,0),
ClosingDay = DayOfTheWeek.Monday,
ClosingTime = new TimeSpan(12, 0, 0),
};
var m8To14 = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingDay = DayOfTheWeek.Monday,
ClosingTime = new TimeSpan(14, 0, 0),
};
var m12To16 = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(12, 0, 0),
ClosingDay = DayOfTheWeek.Monday,
ClosingTime = new TimeSpan(16, 0, 0),
};
var m12ToT12 = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(12, 0, 0),
ClosingDay = DayOfTheWeek.Tuesday,
ClosingTime = new TimeSpan(12, 0, 0),
};
var s20ToM12 = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Sunday,
OpeningTime = new TimeSpan(20, 0, 0),
ClosingDay = DayOfTheWeek.Monday,
ClosingTime = new TimeSpan(12, 0, 0),
};
//one contains the other
Assert.IsTrue(m10To12.Overlaps(m8To14));
Assert.IsTrue(m8To14.Overlaps(m10To12));
//simple overlap
Assert.IsTrue(m12To16.Overlaps(m8To14));
Assert.IsTrue(m8To14.Overlaps(m12To16));
//across days
Assert.IsTrue(m12ToT12.Overlaps(m8To14));
Assert.IsTrue(m8To14.Overlaps(m12ToT12));
//across days and weeks
Assert.IsTrue(s20ToM12.Overlaps(m8To14));
Assert.IsTrue(m8To14.Overlaps(s20ToM12));
}
public static InstrumentSession ToInstrumentSession(this ISession session)
{
var result = new InstrumentSession();
result.OpeningDay = session.OpeningDay;
result.OpeningTime = TimeSpan.FromSeconds(session.OpeningTime.TotalSeconds);
result.ClosingDay = session.ClosingDay;
result.ClosingTime = TimeSpan.FromSeconds(session.ClosingTime.TotalSeconds);
result.IsSessionEnd = session.IsSessionEnd;
return result;
}
public static InstrumentSession ToInstrumentSession(this ISession session)
{
var result = new InstrumentSession();
result.OpeningDay = session.OpeningDay;
result.OpeningTime = TimeSpan.FromSeconds(session.OpeningTime.TotalSeconds);
result.ClosingDay = session.ClosingDay;
result.ClosingTime = TimeSpan.FromSeconds(session.ClosingTime.TotalSeconds);
result.IsSessionEnd = session.IsSessionEnd;
return(result);
}
public void OverlapsReturnsFalseForNonOverlappingDailyPeriods()
{
var sundayToMonday = new InstrumentSession { OpeningDay = DayOfTheWeek.Sunday, ClosingDay = DayOfTheWeek.Monday };
var mondayToTuesday = new InstrumentSession { OpeningDay = DayOfTheWeek.Monday, ClosingDay = DayOfTheWeek.Tuesday };
var wednesdayToSaturday = new InstrumentSession { OpeningDay = DayOfTheWeek.Wednesday, ClosingDay = DayOfTheWeek.Saturday };
//intraweek
Assert.IsFalse(wednesdayToSaturday.Overlaps(mondayToTuesday));
Assert.IsFalse(mondayToTuesday.Overlaps(wednesdayToSaturday));
//Across weeks
Assert.IsFalse(sundayToMonday.Overlaps(wednesdayToSaturday));
Assert.IsFalse(wednesdayToSaturday.Overlaps(sundayToMonday));
}
/// <summary>
/// Creates a new object that is a copy of the current instance.
/// </summary>
/// <returns>
/// A new object that is a copy of this instance.
/// </returns>
public object Clone()
{
var clone = new InstrumentSession
{
ID = ID,
OpeningTime = TimeSpan.FromSeconds(OpeningTime.TotalSeconds),
ClosingTime = TimeSpan.FromSeconds(ClosingTime.TotalSeconds),
InstrumentID = InstrumentID,
IsSessionEnd = IsSessionEnd,
OpeningDay = OpeningDay,
ClosingDay = ClosingDay
};
return(clone);
}
public void OverlapsReturnsTrueForDailyOverlaps()
{
var sundayToWednesday = new InstrumentSession { OpeningDay = DayOfTheWeek.Sunday, ClosingDay = DayOfTheWeek.Wednesday };
var mondayToTuesday = new InstrumentSession { OpeningDay = DayOfTheWeek.Monday, ClosingDay = DayOfTheWeek.Tuesday };
var tuesdayToThursday = new InstrumentSession { OpeningDay = DayOfTheWeek.Tuesday, ClosingDay = DayOfTheWeek.Thursday };
var mondayToFriday = new InstrumentSession { OpeningDay = DayOfTheWeek.Monday, ClosingDay = DayOfTheWeek.Friday };
var wednesdayToSaturday = new InstrumentSession { OpeningDay = DayOfTheWeek.Wednesday, ClosingDay = DayOfTheWeek.Saturday };
//completely covered, across weeks
Assert.IsTrue(sundayToWednesday.Overlaps(mondayToTuesday));
Assert.IsTrue(mondayToTuesday.Overlaps(sundayToWednesday));
//completely covered, intraweek
Assert.IsTrue(tuesdayToThursday.Overlaps(mondayToFriday));
Assert.IsTrue(mondayToFriday.Overlaps(tuesdayToThursday));
//partially covered, across weeks
Assert.IsTrue(sundayToWednesday.Overlaps(tuesdayToThursday));
Assert.IsTrue(tuesdayToThursday.Overlaps(sundayToWednesday));
//partially covered, intraweek
Assert.IsTrue(wednesdayToSaturday.Overlaps(tuesdayToThursday));
Assert.IsTrue(tuesdayToThursday.Overlaps(wednesdayToSaturday));
}
public void InSessionReturnsTrueWhenInsideMultiDaySession()
{
var session = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Tuesday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(15, 0, 0)
};
//Tuesday, April 1
var dt = new DateTime(2014, 4, 1, 7, 0, 0);
Assert.IsTrue(dt.InSession(session));
}
public void InSessionReturnsFalseWhenAfterOneDaySessionOnNextDay()
{
var session = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(15, 0, 0)
};
//Tuesday, April 1
var dt = new DateTime(2014, 4, 1, 12, 30, 5);
Assert.IsFalse(dt.InSession(session));
}
public void InSessionReturnsFalseWhenAfterOneDaySessionOnSameDay()
{
var session = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(15, 0, 0)
};
//Monday, March 31
var dt = new DateTime(2014, 3, 31, 16, 30, 5);
Assert.IsFalse(dt.InSession(session));
}
private void AddSessionItemBtn_Click(object sender, RoutedEventArgs e)
{
var toAdd = new InstrumentSession { IsSessionEnd = true };
if (SelectedSessions.Count == 0)
{
toAdd.OpeningDay = DayOfTheWeek.Monday;
toAdd.ClosingDay = DayOfTheWeek.Monday;
}
else
{
DayOfTheWeek maxDay = (DayOfTheWeek)Math.Min(6, SelectedSessions.Max(x => (int)x.OpeningDay) + 1);
toAdd.OpeningDay = maxDay;
toAdd.ClosingDay = maxDay;
}
SelectedSessions.Add(toAdd);
}
/// <summary>
/// Determine if a datetime falls inside a given session or not.
/// </summary>
public static bool InSession(this DateTime dt, InstrumentSession session)
{
int dotw = dt.DayOfWeek.ToInt();
if (session.OpeningDay > session.ClosingDay)
{
//the session spans multiple weeks
if (dotw > (int)session.OpeningDay || dotw < (int)session.ClosingDay)
{
return true;
}
if (dotw == (int)session.OpeningDay && dt.TimeOfDay > session.OpeningTime)
{
return true;
}
if (dotw == (int)session.ClosingDay && dt.TimeOfDay <= session.ClosingTime)
{
return true;
}
}
else
{
//session is intraweek
if (dotw < (int)session.OpeningDay || dotw > (int)session.ClosingDay)
{
return false;
}
if (dotw == (int)session.OpeningDay && dt.TimeOfDay <= session.OpeningTime)
{
return false;
}
if (dotw == (int)session.ClosingDay && dt.TimeOfDay > session.ClosingTime)
{
return false;
}
return true;
}
return false;
}
public void InSessionReturnsFalseWhenAfterWeekSpanningDaySession()
{
var session = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Sunday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(15, 0, 0),
ClosingTime = new TimeSpan(15, 0, 0)
};
//Tuesday, April 2
var dt = new DateTime(2014, 4, 2, 13, 0, 0);
Assert.IsFalse(dt.InSession(session));
}
/// <summary>
/// Creates a new object that is a copy of the current instance.
/// </summary>
/// <returns>
/// A new object that is a copy of this instance.
/// </returns>
public object Clone()
{
var clone = new InstrumentSession
{
ID = ID,
OpeningTime = TimeSpan.FromSeconds(OpeningTime.TotalSeconds),
ClosingTime = TimeSpan.FromSeconds(ClosingTime.TotalSeconds),
InstrumentID = InstrumentID,
IsSessionEnd = IsSessionEnd,
OpeningDay = OpeningDay,
ClosingDay = ClosingDay
};
return clone;
}
public void OverlapsReturnsFalseForNonOverlappingIntradayPeriods()
{
var m10To12 = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(10, 0, 0),
ClosingDay = DayOfTheWeek.Monday,
ClosingTime = new TimeSpan(12, 0, 0),
};
var m14To16 = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(14, 0, 0),
ClosingDay = DayOfTheWeek.Monday,
ClosingTime = new TimeSpan(16, 0, 0),
};
var m14ToT11 = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(14, 0, 0),
ClosingDay = DayOfTheWeek.Tuesday,
ClosingTime = new TimeSpan(11, 0, 0),
};
Assert.IsFalse(m10To12.Overlaps(m14To16));
Assert.IsFalse(m14To16.Overlaps(m10To12));
Assert.IsFalse(m10To12.Overlaps(m14ToT11));
Assert.IsFalse(m14ToT11.Overlaps(m10To12));
}
public void InSessionReturnsFalseWhenBeforeMultiDaySession()
{
var session = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Tuesday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(15, 0, 0)
};
//Monday, March 31
var dt = new DateTime(2014, 3, 31, 7, 0, 0);
Assert.IsFalse(dt.InSession(session));
}
public void InSessionReturnsTrueWhenInsideWeekSpanningSessionInSecondWeek()
{
var session = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Sunday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(15, 0, 0),
ClosingTime = new TimeSpan(15, 0, 0)
};
//Monday, March 31
var dt = new DateTime(2014, 3, 31, 13, 0, 0);
Assert.IsTrue(dt.InSession(session));
}
/// <summary>
/// Given a DateTime, calculates the DateTime of the next open and close of a given session.
/// </summary>
private static void SessionToDT(DateTime startingPoint, InstrumentSession session, out DateTime startingDT, out DateTime endingDT)
{
startingDT = SessionToDT(startingPoint, session, false);
endingDT = SessionToDT(startingPoint, session, true);
}
public void InSessionReturnsFalseWhenBeforeWeekSpanningDaySession()
{
var session = new InstrumentSession
{
OpeningDay = DayOfTheWeek.Sunday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(15, 0, 0),
ClosingTime = new TimeSpan(15, 0, 0)
};
//Sunday, March 30
var dt = new DateTime(2014, 3, 30, 13, 0, 0);
Assert.IsFalse(dt.InSession(session));
}
private static DateTime SessionToDT(DateTime startingPoint, InstrumentSession session, bool closing)
{
DateTime currentDT = startingPoint;
int targetDay = closing ? (int)session.ClosingDay : (int)session.OpeningDay;
TimeSpan time = closing ? session.ClosingTime : session.OpeningTime;
if (currentDT.DayOfWeek.ToInt() == targetDay && currentDT.TimeOfDay > session.ClosingTime)
{
currentDT = currentDT.AddDays(7);
}
while (currentDT.DayOfWeek.ToInt() != targetDay)
{
currentDT = currentDT.AddDays(1);
}
return currentDT.Date + time;
}
