[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs, 1.9, 1.10
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[Quantproject-developers] QuantProject/b4_Business/a05_Timing HistoricalEndOfDayTimer.cs, 1.9, 1.10
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From: Glauco S. <gla...@us...> - 2008-09-29 21:22:46
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Update of /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv19614/b4_Business/a05_Timing Modified Files: HistoricalEndOfDayTimer.cs Log Message: The new revision moves toward an intraday enabled framework. EndOfDayDate time has been removed, DateTime is used now. The code has been changed accordingly. Index: HistoricalEndOfDayTimer.cs =================================================================== RCS file: /cvsroot/quantproject/QuantProject/b4_Business/a05_Timing/HistoricalEndOfDayTimer.cs,v retrieving revision 1.9 retrieving revision 1.10 diff -C2 -d -r1.9 -r1.10 *** HistoricalEndOfDayTimer.cs 7 Feb 2008 18:43:35 -0000 1.9 --- HistoricalEndOfDayTimer.cs 29 Sep 2008 21:22:23 -0000 1.10 *************** *** 2,7 **** QuantProject - Quantitative Finance Library ! HistoricalDataStreamer.cs ! Copyright (C) 2003 Glauco Siliprandi --- 2,7 ---- QuantProject - Quantitative Finance Library ! HistoricalEndOfDayTimer.cs ! Copyright (C) 2003 Glauco Siliprandi *************** *** 19,23 **** along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. ! */ using System; using System.Collections; --- 19,23 ---- along with this program; if not, write to the Free Software Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. ! */ using System; using System.Collections; *************** *** 31,46 **** /// </summary> [Serializable] ! public class HistoricalEndOfDayTimer : IEndOfDayTimer { - protected bool isActive; // true iff the timer is started and not stopped - protected Hashtable tickers; ! protected EndOfDayDateTime currentTime; ! ! protected EndOfDayDateTime startDateTime; // private EndOfDayDateTime endDateTime; ! public EndOfDayDateTime StartDateTime { get { return this.startDateTime; } --- 31,68 ---- /// </summary> [Serializable] ! public class HistoricalEndOfDayTimer : Timer { protected Hashtable tickers; ! protected DateTime startDateTime; // private EndOfDayDateTime endDateTime; + + private static DateTime timeForMarketOpen = + new DateTime( 1900 , 1 , 1 , 9 , 30 , 00 ); + private static DateTime timeForMarketClose = + new DateTime( 1900 , 1 , 1 , 16 , 00 , 00 ); + + /// <summary> + /// time when the market opens + /// </summary> + public static DateTime TimeForMarketOpen { + get { return HistoricalEndOfDayTimer.timeForMarketOpen; } + } + + /// <summary> + /// time when the market closes + /// </summary> + public static DateTime TimeForMarketClose { + get { return HistoricalEndOfDayTimer.timeForMarketClose; } + } ! /// <summary> ! /// time for one hour after market closes ! /// </summary> ! public static DateTime TimeForOneHourAfterMarketClose { ! get { return HistoricalEndOfDayTimer.TimeForMarketClose.AddHours( 1 ); } ! } ! ! public DateTime StartDateTime { get { return this.startDateTime; } *************** *** 53,125 **** // set { this.endDateTime = value; } // } - [field:NonSerialized] - public event MarketOpenEventHandler MarketOpen; - [field:NonSerialized] - public event FiveMinutesBeforeMarketCloseEventHandler FiveMinutesBeforeMarketClose; - [field:NonSerialized] - public event MarketCloseEventHandler MarketClose; - [field:NonSerialized] - public event OneHourAfterMarketCloseEventHandler OneHourAfterMarketClose; ! public HistoricalEndOfDayTimer( EndOfDayDateTime startDateTime ) { this.startDateTime = startDateTime; // this.endDateTime = EndDateTime; this.tickers = new Hashtable(); } ! ! protected void callEvents() ! { ! if ( ( this.MarketOpen != null ) && ( this.currentTime.EndOfDaySpecificTime == ! EndOfDaySpecificTime.MarketOpen ) ) ! this.MarketOpen( this , new EndOfDayTimingEventArgs( this.currentTime ) ); ! if ( ( this.FiveMinutesBeforeMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime == ! EndOfDaySpecificTime.FiveMinutesBeforeMarketClose ) ) ! this.FiveMinutesBeforeMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) ); ! if ( ( this.MarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime == ! EndOfDaySpecificTime.MarketClose ) ) ! this.MarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) ); ! if ( ( this.OneHourAfterMarketClose != null ) && ( this.currentTime.EndOfDaySpecificTime == ! EndOfDaySpecificTime.OneHourAfterMarketClose ) ) ! this.OneHourAfterMarketClose( this , new EndOfDayTimingEventArgs( this.currentTime ) ); ! } - protected virtual void moveNext() - { - this.currentTime.MoveNext(); - } - - protected virtual void activeTimer() - { - this.isActive = true; - this.currentTime = this.startDateTime.Copy(); - } /// <summary> ! /// Starts the time walking simulation /// </summary> ! public virtual void Start() { ! this.activeTimer(); ! while ( this.isActive ) { ! this.callEvents(); ! this.moveNext(); } } ! public EndOfDayDateTime GetCurrentTime() { ! if ( !this.isActive ) ! throw new Exception( "Start() has not been invoked yet!" + ! "GetCurrentTime() cannot be invoked before Start()" ); ! return this.currentTime; } /// <summary> ! /// Stops the timer /// </summary> ! public void Stop() { ! this.isActive = false; } } --- 75,321 ---- // set { this.endDateTime = value; } // } ! public HistoricalEndOfDayTimer( DateTime startDateTime ) { this.startDateTime = startDateTime; // this.endDateTime = EndDateTime; this.tickers = new Hashtable(); + + // HistoricalEndOfDayTimer.timeForMarketOpen = + // new DateTime( 1900 , 1 , 1 , 9 , 30 , 00 ); + // HistoricalEndOfDayTimer.timeForMarketClose = + // new DateTime( 1900 , 1 , 1 , 16 , 00 , 00 ); } ! ! protected override void initializeTimer() ! { ! this.currentDateTime = ! ExtendedDateTime.Copy( this.startDateTime ); ! } ! ! #region moveNext ! protected bool isBetweenMarketCloseAndOneHourAfterMarketClose() ! { ! bool isBetween = ! ( ( this.currentDateTime >= ! HistoricalEndOfDayTimer.GetMarketClose( this.currentDateTime ) ) ! && ! ( this.currentDateTime < ! HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( ! this.currentDateTime ) ) ); ! return isBetween; ! } ! protected override void moveNext() ! { ! if ( this.isBetweenMarketCloseAndOneHourAfterMarketClose() ) ! this.currentDateTime = ! HistoricalEndOfDayTimer.GetOneHourAfterMarketClose( ! this.currentDateTime ); ! else ! // current time is either before market close or >= one hour ! // after market close ! this.currentDateTime = ! HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( ! this.currentDateTime ); ! } ! #endregion moveNext /// <summary> ! /// true iif the argument is at market open /// </summary> ! /// <param name="dateTime"></param> ! /// <returns></returns> ! public static bool IsMarketOpen( DateTime dateTime ) { ! bool returnValue = ! ExtendedDateTime.HaveTheSameTime( ! dateTime , HistoricalEndOfDayTimer.TimeForMarketOpen ); ! return returnValue; ! } ! ! /// <summary> ! /// true iif the argument is at market close ! /// </summary> ! /// <param name="dateTime"></param> ! /// <returns></returns> ! public static bool IsMarketClose( DateTime dateTime ) ! { ! bool returnValue = ! ExtendedDateTime.HaveTheSameTime( ! dateTime , HistoricalEndOfDayTimer.TimeForMarketClose ); ! return returnValue; ! } ! ! /// <summary> ! /// true iif the argument is one our after market close ! /// </summary> ! /// <param name="dateTime"></param> ! /// <returns></returns> ! public static bool IsOneHourAfterMarketClose( DateTime dateTime ) ! { ! bool returnValue = ! ExtendedDateTime.HaveTheSameTime( ! dateTime , ! HistoricalEndOfDayTimer.TimeForOneHourAfterMarketClose ); ! return returnValue; ! } ! ! /// <summary> ! /// true iif the argument is an end of day relevant time ! /// </summary> ! /// <param name="dateTime"></param> ! /// <returns></returns> ! public static bool IsEndOfDayDateTime( DateTime dateTime ) ! { ! bool isEndOfDayDateTime = ! ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) || ! HistoricalEndOfDayTimer.IsMarketClose( dateTime ) || ! HistoricalEndOfDayTimer.IsOneHourAfterMarketClose( dateTime ) ); ! return isEndOfDayDateTime; ! } ! ! /// <summary> ! /// true iif the argument is either at market close or at market open ! /// </summary> ! /// <param name="dateTime"></param> ! /// <returns></returns> ! public static bool IsMarketStatusSwitch( DateTime dateTime ) ! { ! bool isEndOfDayDateTime = ! ( HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) || ! HistoricalEndOfDayTimer.IsMarketClose( dateTime ) ); ! return isEndOfDayDateTime; ! } ! ! #region GetNextMarketStatusSwitch ! // private void getNextMarketStatusSwitch_checkParameters( ! // DateTime dateTime) ! // { ! // if ( !HistoricalEndOfDayTimer.IsMarketOpen( dateTime ) && ! // !HistoricalEndOfDayTimer.IsMarketClose( dateTime ) ) ! // throw new Exception( "dateTime must be a ! // } ! /// <summary> ! /// Returns either the next market close or the next market open, ! /// whichever is the nearest (all days are considered as market ! /// days, week-ends included) ! /// We have a market status switch when the market opens and when ! /// the market closes ! /// </summary> ! /// <returns></returns> ! public static DateTime GetNextMarketStatusSwitch( ! DateTime dateTime) ! { ! // this.getNextMarketStatusSwitch_checkParameters( ! // dateTime ); ! DateTime nextMarketStatusSwitch; ! if ( ExtendedDateTime.IsFirstTimeLessThenSecondTime( ! dateTime , HistoricalEndOfDayTimer.TimeForMarketOpen ) ) ! // dateTime's time is before market open ! nextMarketStatusSwitch = new DateTime( ! dateTime.Year , dateTime.Month , dateTime.Day , ! HistoricalEndOfDayTimer.TimeForMarketOpen.Hour , ! HistoricalEndOfDayTimer.TimeForMarketOpen.Minute , ! HistoricalEndOfDayTimer.TimeForMarketOpen.Second ); ! else { ! // dateTime's time is equal or after the market open ! if ( ExtendedDateTime.IsFirstTimeLessThenSecondTime( ! dateTime , HistoricalEndOfDayTimer.TimeForMarketClose ) ) ! // dateTime's time is equal or after the market open ! // AND dateTime's time is before market close ! nextMarketStatusSwitch = new DateTime( ! dateTime.Year , dateTime.Month , dateTime.Day , ! HistoricalEndOfDayTimer.TimeForMarketClose.Hour , ! HistoricalEndOfDayTimer.TimeForMarketClose.Minute , ! HistoricalEndOfDayTimer.TimeForMarketClose.Second ); ! else ! // dateTime's time is equal or after the market close ! { ! DateTime nextDay = ! dateTime.AddDays( 1 ); ! nextMarketStatusSwitch = new DateTime( ! nextDay.Year , nextDay.Month , nextDay.Day , ! HistoricalEndOfDayTimer.TimeForMarketOpen.Hour , ! HistoricalEndOfDayTimer.TimeForMarketOpen.Minute , ! HistoricalEndOfDayTimer.TimeForMarketOpen.Second ); ! } } + + // + // if ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketOpen ) + // nextMarketStatusSwitch = new EndOfDayDateTime( + // this.DateTime , EndOfDaySpecificTime.MarketOpen ); + // else + // { + // // this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketOpen + // if ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketClose ) + // // ( this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketOpen ) + // // AND ( this.EndOfDaySpecificTime < EndOfDaySpecificTime.MarketClose ) + // nextMarketStatusSwitch = new EndOfDayDateTime( + // this.DateTime , EndOfDaySpecificTime.MarketClose ); + // else + // // ( this.EndOfDaySpecificTime >= EndOfDaySpecificTime.MarketClose ) + // nextMarketStatusSwitch = new EndOfDayDateTime( + // this.DateTime.AddDays( 1 ) , EndOfDaySpecificTime.MarketOpen ); + // } + return nextMarketStatusSwitch; + } + #endregion GetNextMarketStatusSwitch + + /// <summary> + /// Returns the market open time, for the date of the given dateTime + /// </summary> + /// <param name="dateTime"></param> + /// <returns></returns> + public static DateTime GetMarketOpen( DateTime dateTime ) + { + DateTime date = ExtendedDateTime.GetDate( dateTime ); + DateTime marketOpen = + HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( date ); + return marketOpen; + } + + /// <summary> + /// Returns the market close time, for the date of the given dateTime + /// </summary> + /// <param name="dateTime"></param> + /// <returns></returns> + public static DateTime GetMarketClose( DateTime dateTime ) + { + DateTime marketOpen = + HistoricalEndOfDayTimer.GetMarketOpen( dateTime ); + DateTime marketClose = + HistoricalEndOfDayTimer.GetNextMarketStatusSwitch( marketOpen ); + return marketClose; } ! ! /// <summary> ! /// Returns the one hour after market close time, for the ! /// date of the given dateTime ! /// </summary> ! /// <param name="dateTime"></param> ! /// <returns></returns> ! public static DateTime GetOneHourAfterMarketClose( DateTime dateTime ) { ! DateTime marketClose = ! HistoricalEndOfDayTimer.GetMarketClose( dateTime ); ! DateTime oneHourAfterMarketClose = marketClose.AddHours( 1 ); ! return oneHourAfterMarketClose; } /// <summary> ! /// Returns returns five minutes before market close time, for the ! /// date of the given dateTime /// </summary> ! /// <param name="dateTime"></param> ! /// <returns></returns> ! public static DateTime GetFiveMinutesBeforeMarketClose( DateTime dateTime ) { ! DateTime marketClose = ! HistoricalEndOfDayTimer.GetMarketClose( dateTime ); ! DateTime fiveMinutesBeforeMarketClose = marketClose.AddMinutes( -5 ); ! return fiveMinutesBeforeMarketClose; } } |
