MOEX shedule has been changed. Now it has 2 sessions:

1. Main Session 10:00:00 — 18:39:59 MSK
2. Additional (evening) Session 19:05:00 — 23:49:59 MSK

If I set up the seesion 10:00:00 — 23:49:59 MSK, I get "garbage" quotes and candles and send new orders on session break.

I tried to think how to resolve it. The best solution is to extend Market Manager to include session breaks to the original shedule. I know how Market Manager works and have skills to update it. But I think that WL can't accept the new Market Manager because of security.

Thank you Igor for the help you're trying to provide. If you're willing to commit your patch to the code (in private) then it could be reviewed and probably integrated in the weeks to go if we find it acceptable. At any rate we've been very busy these hot Summer days, so it's a low priority item.

On second thought, WL does not have the knowledge of multiple sessions. There can only be one pair of open and close times. While it's probably possible to achieve it in the MM there may be side effects.

My solution (FYI):

1. Make bool IsClearingTime(string symbol, DateTime timeStamp) check
2. Access it from Quote NewQuoteReceived(Quote quote) in StreamingDataProvider after MarketManager.IsFilteredQuote(quote, ProviderName) check
3. Access it from PlaceOrder(Order order), void OrderStatusUpdate(Order order), void CancelOrder(Order order) in BrokerProvider

It's not good from WL Market Manager concept, but it works and no need to bother you.

Hi Igor,

Kudos to you for publishing the solution. At this point of time it makes sense to apply the change to the data/broker providers affected. Unless that "split session" invention gets contracted by more exchanges in the world (I sincerely hope not!), it's more than fine to not make it a MM option.