Created
January 16, 2018 16:54
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Trading hours parsing
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using TimeZoneConverter; // https://www.nuget.org/packages/TimeZoneConverter/ | |
public void contractDetails(int reqId, ContractDetails contractDetails) | |
{ | |
// Parse trading hours | |
List<DateRange> tradingHours = new List<DateRange>(); | |
if (contractDetails.LiquidHours != null) | |
foreach (string dateStr in contractDetails.LiquidHours.Split(new char[] { ';' }, StringSplitOptions.RemoveEmptyEntries)) | |
{ | |
// Skip if it is closed this date | |
if (dateStr.Substring(9) == "CLOSED") | |
continue; | |
// Check length | |
if (dateStr.Length != 18) | |
throw new Exception("Unknown liquid hours datetime format."); | |
// Parse, example: 20170515:0930-1600 | |
int year = int.Parse(dateStr.Substring(0, 4)); | |
int month = int.Parse(dateStr.Substring(4, 2)); | |
int day = int.Parse(dateStr.Substring(6, 2)); | |
int hourFrom = int.Parse(dateStr.Substring(9, 2)); | |
int minutesFrom = int.Parse(dateStr.Substring(11, 2)); | |
int hourTo = int.Parse(dateStr.Substring(14, 2)); | |
int minutesTo = int.Parse(dateStr.Substring(16, 2)); | |
// Is it today? | |
DateTime from = new DateTime(year, month, day, hourFrom, minutesFrom, 0); | |
DateTime to = new DateTime(year, month, day, hourTo, minutesTo, 0); | |
// Convert to UTC | |
TimeZoneInfo sourceTimeZone = TimeZoneInfo.FindSystemTimeZoneById(TZConvert.IanaToWindows(contractDetails.TimeZoneId)); | |
from = TimeZoneInfo.ConvertTimeToUtc(from, sourceTimeZone); | |
to = TimeZoneInfo.ConvertTimeToUtc(to, sourceTimeZone); | |
// Save | |
tradingHours.Add(new DateRange() | |
{ | |
From = from, | |
To = to | |
}); | |
} | |
} |
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