Template for Intraday Market Close Time including Special Hours

Author: KGo

Creation Date: 4/5/2018 6:59 PM

Wealth Lab » WealthScript (.NET) » Template for Intraday Market Close Time including Special Hours

KGo

4/5/2018 6:59 PM

Here is a design template to know the market close time each day including special hours days. It will accept special hours for any market via a text string and uses built in MarketInfo.SpecialHours for US markets. The last tradeable bar is at preCloseTime using bar+1 notation.

Eugene, Please make a WLD adjustment if recommended.

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Eugene, Please make a WLD adjustment if recommended.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		public Dictionary<DateTime, int> LoadEarlyCloseDic( string earlyCloseDateTimeString = "" )
		{
			// Load early close dates and time into dictionary from string and/or Markets.xml file
			
			// Use String if dates are not in Markets.xml
			// Use parsable comma separated format like "7/3/2018 13:00,11/23/2018 13:00,12/24/2018 13:00"
			
			Dictionary<DateTime, int> earlyCloseDic = new Dictionary<DateTime, int>() ;
			if( earlyCloseDateTimeString != "" )
			{
				// Load each to dictionary
				string[] earlyCloseTokens = earlyCloseDateTimeString.Split(',');
				DateTime[] earlyCloseArray = Array.ConvertAll<string, DateTime>(earlyCloseTokens, DateTime.Parse) ;
				foreach (DateTime closeDateTime in earlyCloseArray)
					earlyCloseDic.Add( closeDateTime.Date, closeDateTime.Hour*100 + closeDateTime.Minute ) ;
			}
			
			// From Markets.xml file in C:\Program Files\Fidelity Investments\Wealth-Lab Pro 6\Data
			foreach ( MarketSpecialHours sh in Bars.MarketInfo.SpecialHours )
				earlyCloseDic.Add( sh.Date, sh.CloseTimeNative.Hour*100 + sh.CloseTimeNative.Minute ) ;
			
			return earlyCloseDic ;
		}
		
		public int UpdateCloseTime( int bar, int typCloseTime, Dictionary<DateTime, int> earlyCloseDic )
		{
			// Set market close time and pre close time to cover early market close days
			int mktCloseTime = 0 ;
			DateTime barDate = Bars.Date[bar].Date ; // The ].Date sets the time to 0:0:0 (midnight) as though there is no time
			
			if ( !earlyCloseDic.TryGetValue( barDate, out mktCloseTime )) // Trade times from input string
				mktCloseTime = typCloseTime ;
					
			return mktCloseTime ;
		}
		
		
		
		protected override void Execute()
		{
			int typCloseTime = 1600 ; // Typical close time when special hours are not applied
			int mktCloseTime = 0 ;    // Market close time determined each day
			int preCloseTime = 0 ;    // Time of last bar before market close set each day
			Dictionary<DateTime, int> earlyCloseDic = LoadEarlyCloseDic(  ) ;// Load the early close dates and times into dictionary
			// Or 
			//string earlyCloseDateTimeString = "7/3/2018 13:00,11/23/2018 13:00,12/24/2018 13:00" ;
			//Dictionary<DateTime, int> earlyCloseDic = LoadEarlyCloseDic( earlyCloseDateTimeString ) ;// Load the early close dates and times into dictionary
			
			for(int bar = 0; bar < Bars.Count; bar++)
			{
				// Get market close and pre close times for each new day
				if ( Bars.IntradayBarNumber( bar ) == 0 ) // update close times on first bar of each day.
				{
					mktCloseTime = UpdateCloseTime( bar, typCloseTime, earlyCloseDic ) ;
					preCloseTime = mktCloseTime.AddIntegerTime( -Bars.BarInterval) ;
					if( mktCloseTime != typCloseTime ) 
						PrintDebug( String.Format( "{0:MM/dd/yyyy h:mm}\t{1}\t{2}\tSpecial Close Time", Date[bar], mktCloseTime, preCloseTime ) ) ;
				}
				
				
				if (IsLastPositionActive)
				{
					//code your exit rules here
				}
				else
				{
					//code your entry rules here
				}
			}
		}
	}
}[/code]

Wealth Lab » WealthScript (.NET) » Template for Intraday Market Close Time including Special Hours