/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using System.Collections.Generic;
using Newtonsoft.Json;
namespace QuantConnect.Securities
{
///
/// Represents the state of an exchange during a specified time range
///
[JsonObject(MemberSerialization.OptIn)]
public class MarketHoursSegment
{
///
/// Gets the start time for this segment
///
[JsonProperty("start")]
public TimeSpan Start { get; private set; }
///
/// Gets the end time for this segment
///
[JsonProperty("end")]
public TimeSpan End { get; private set; }
///
/// Gets the market hours state for this segment
///
[JsonProperty("state")]
public MarketHoursState State { get; private set; }
///
/// Initializes a new instance of the class
///
/// The state of the market during the specified times
/// The start time of the segment
/// The end time of the segment
public MarketHoursSegment(MarketHoursState state, TimeSpan start, TimeSpan end)
{
Start = start;
End = end;
State = state;
}
///
/// Gets a new market hours segment representing being open all day
///
public static MarketHoursSegment OpenAllDay()
{
return new MarketHoursSegment(MarketHoursState.Market, TimeSpan.Zero, Time.OneDay);
}
///
/// Gets a new market hours segment representing being open all day
///
public static MarketHoursSegment ClosedAllDay()
{
return new MarketHoursSegment(MarketHoursState.Closed, TimeSpan.Zero, Time.OneDay);
}
///
/// Creates the market hours segments for the specified market open/close times
///
/// The extended market open time. If no pre market, set to market open
/// The regular market open time
/// The regular market close time
/// The extended market close time. If no post market, set to market close
/// An array of representing the specified market open/close times
public static MarketHoursSegment[] GetMarketHoursSegments(
TimeSpan extendedMarketOpen,
TimeSpan marketOpen,
TimeSpan marketClose,
TimeSpan extendedMarketClose
)
{
// perform some sanity checks
if (marketOpen < extendedMarketOpen)
{
throw new ArgumentException(Messages.MarketHoursSegment.InvalidExtendedMarketOpenTime);
}
if (marketClose < marketOpen)
{
throw new ArgumentException(Messages.MarketHoursSegment.InvalidMarketCloseTime);
}
if (extendedMarketClose < marketClose)
{
throw new ArgumentException(Messages.MarketHoursSegment.InvalidExtendedMarketCloseTime);
}
var segments = new List();
if (extendedMarketOpen != marketOpen)
{
segments.Add(new MarketHoursSegment(MarketHoursState.PreMarket, extendedMarketOpen, marketOpen));
}
if (marketOpen != TimeSpan.Zero || marketClose != TimeSpan.Zero)
{
segments.Add(new MarketHoursSegment(MarketHoursState.Market, marketOpen, marketClose));
}
if (marketClose != extendedMarketClose)
{
segments.Add(new MarketHoursSegment(MarketHoursState.PostMarket, marketClose, extendedMarketClose));
}
return segments.ToArray();
}
///
/// Determines whether or not the specified time is contained within this segment
///
/// The time to check
/// True if this segment contains the specified time, false otherwise
public bool Contains(TimeSpan time)
{
return time >= Start && time < End;
}
///
/// Determines whether or not the specified time range overlaps with this segment
///
/// The start of the range
/// The end of the range
/// True if the specified range overlaps this time segment, false otherwise
public bool Overlaps(TimeSpan start, TimeSpan end)
{
return Start < end && End > start;
}
///
/// Returns a string that represents the current object.
///
///
/// A string that represents the current object.
///
public override string ToString()
{
return Messages.MarketHoursSegment.ToString(this);
}
}
}