public SettlementSession(IInstrument instrument, DateStamp sessionDate)
{
if (instrument is null)
{
throw new ArgumentNullException(nameof(instrument));
}
if (instrument.SettlementTime.TimeOfDay.TotalHours <= 0)
{
throw new ArgumentException("Settlement time of day with zero or negative time is not supported.");
}
if (instrument.SettlementTime.TimeOfDay.TotalHours > 24)
{
throw new ArgumentException("Settlement time of day in early morning of following day is not yet supported.");
}
if (!instrument.IsTradingDay(sessionDate))
{
throw new ArgumentException($"Unexpected sessionDate '{sessionDate}'. It should not be a valid trading day.");
}
Instrument = instrument;
SessionDate = sessionDate;
SessionEnd = new TimeStamp(SessionDate, instrument.SettlementTime.TimeOfDay, TimeZone);
var sessionStartDate = Instrument.ThisOrPreviousTradingDay(SessionDate.AddDays(-1));
SessionStart = new TimeStamp(sessionStartDate, instrument.SettlementTime.TimeOfDay, TimeZone);
}
public static DateStamp AddMarketDays(this IInstrument instrument, DateStamp date, int numMarketDays)
{
if (numMarketDays == 0)
{
return(date);
}
for (var i = 1; i <= numMarketDays; i++)
{
do
{
date = date.AddDays(1);
} while (!instrument.IsMarketDay(date));
}
for (var i = -1; i >= numMarketDays; i--)
{
do
{
date = date.AddDays(-1);
} while (!instrument.IsMarketDay(date));
}
return(date);
}
/// <param name="approximateFirstMoveUntilDate">
/// Provide the approximate date of the first <see
/// cref="MoveUntil(TimeStamp)"/> method call so that we can initialize the
/// iterator so that the first <see cref="MoveUntil(TimeStamp)"/> call will
/// result in the conditions specified in the commenting for <see
/// cref="ISessionIterator"/>.
/// </param>
public TradingSessionIterator(TradingSessions tradingHours, DateStamp approximateFirstMoveUntilDate)
{
_tradingHours = tradingHours;
var at = new TimeStamp(approximateFirstMoveUntilDate.AddDays(-12).DateTime.Ticks);
Current = _tradingHours.GetActualSessionAt(at);
Next = _tradingHours.GetActualSessionAt(Current.SessionEnd.AddTicks(1));
MoveNext();
MoveNext();
CurrentTime = Current.SessionStart.AddTicks(1);
IsInSession = true;
IsFirstTickOfSession = true;
IsNewSession = true;
}
/// <param name="approximateFirstMoveUntilDate">
/// Provide the approximate date of the first <see cref="MoveUntil(TimeStamp)"/> method call
/// so that we can initialize the iterator so that the first <see cref="MoveUntil(TimeStamp)"/> call will
/// result in the conditions specified in the commenting for <see cref="ISessionIterator"/>.
/// </param>
public SettlementSessionIterator(IInstrument instrument, DateStamp approximateFirstMoveUntilDate)
{
TimeZone = instrument.SettlementTime.TimeZone;
Current = new SettlementSession(instrument, instrument.ThisOrPreviousTradingDay(approximateFirstMoveUntilDate.AddDays(-10)));
Previous = Current.GetPrevious();
Next = Current.GetNext();
MoveUntil(Current.SessionStart.AddTicks(1));
}
