A code for trading session hours for a given date

gpwr

#1

5/25/2009 5:36 PM

I have an intraday strategy that sometimes exits at the close of a trading session. Typically, it is 15:59. But, on days before the US holidays, it can be 12:59. I would like to find a code that would tell me the closing time of a session, both for the past and future dates. Thanks in advance.

gpwr

#2

5/25/2009 6:14 PM

Got it working. The code

Cone

#3

5/26/2009 3:01 AM

You can make this quite a bit more robust by reading Application.UserAppDataPath + @"\Data\Markets.xml" to get the special hours info.

kazuna

#4

5/26/2009 10:20 AM

Do you know why the day before July 4th isn't special hours but only 2009?

Cone

#5

5/26/2009 10:44 AM

Not really, but my guess is that it's because the 4th, normally a market holiday, is on a Saturday this year.

gpwr

#6

5/27/2009 12:05 AM

Thanks, but I did not understand. I am still learning WL5 scripting language and would appreciate if you explain what you mean by <<reading Application.UserAppDataPath + @"\Data\Markets.xml">>. If it is not too much trouble, can you please show a working code of getting the special hours info. Thanks in advance.

Eugene

#7

5/27/2009 4:14 AM

This programming subject requires a little knowledge of XML processing in C#. Here's an example for you that will highlight shortened session dates. But firstly, make sure to click "References" and having checked "System.Xml" in the dialog. You'll need to do that for every strategy where you'd like this code to be used.

Size:

Color:

This programming subject requires a little knowledge of XML processing in C#. Here's an example for you that will highlight shortened session dates. But firstly, make sure to click "References" and having checked "[b]System.Xml[/b]" in the dialog. You'll need to do that for every strategy where you'd like this code to be used.
[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

// required
using System.Windows.Forms;
using System.Xml;

namespace WealthLab.Strategies
{
	// a class to hold the extracted date, open and close times of a shortened session
	class Shortened
	{
		public DateTime date;
		public DateTime open;
		public DateTime close;
	}
	
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			// path to Markets.xml containing special hours definitions
			String MarketInfo = Application.UserAppDataPath + @"\Data\Markets.xml";
			if( MarketInfo == null ) return;
			
			// Read the XML file
			XmlDocument doc = new XmlDocument();
			doc.Load(MarketInfo);

// Let's work with MarketSpecialHours
			XmlNodeList sessionList = doc.GetElementsByTagName("MarketSpecialHours");
			PrintDebug( "Shortened session count: " + sessionList.Count + "\r\n" );

// Create a list of objects that will hold our special dates
			List<Shortened> ssl = new List<Shortened>();
			
			// Parse XML element by element
			foreach (XmlNode session in sessionList)
			{
				XmlElement element = (XmlElement)session;
 
				// Get date, open time and closing time of a shortened session
				string[] date = element.GetElementsByTagName("Date")[0].InnerText.Split('T');
				string[] open = element.GetElementsByTagName("OpenTimeNative")[0].InnerText.Split('T');
				string[] close = element.GetElementsByTagName("CloseTimeNative")[0].InnerText.Split('T');
				
				// Create an instance of the class and convert strings into DateTime
				Shortened shortSession = new Shortened();
				shortSession.date = DateTime.Parse( date[0] );
				shortSession.open = DateTime.Parse( open[1] );
				shortSession.close = DateTime.Parse( close[1] );				
				ssl.Add( shortSession );
			}

// Some debug printing
			foreach (Shortened ses in ssl)
				PrintDebug( ses.date.ToShortDateString() + ", " + ses.open.ToString("t") + ", " + ses.close.ToString("t") );
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				/* Highlight bars that fall on shortened sessions */
				foreach (Shortened ses in ssl)
				{
					if( Bars.Date[bar] == ses.date )
						SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) );
				}				
			}
		}
	}
}
[/CODE]

gpwr

#8

5/27/2009 10:06 PM

Great! Thanks a lot!

Eugene

#9

6/2/2009 7:35 AM

An updated and revised version of the code is being included in Community.Components.

pigo

#10

8/8/2009 7:55 AM

And how to modify this code, to get info about Holidays from Markets.xml file?

Eugene

#11

8/8/2009 9:09 AM

Have you already tried and came up with something that we could correct?

pigo

#12

8/8/2009 9:14 AM

Size:

Color:

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

// required
using System.Windows.Forms;
using System.Xml;

namespace WealthLab.Strategies
{
	// a class to hold the extracted date of a holidays days
	class Holidays
	{
		public DateTime date;
	}
	
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			// path to Markets.xml containing special hours definitions
			String MarketInfo = Application.UserAppDataPath + @"\Data\Markets.xml";
			if( MarketInfo == null ) return;
			
			// Read the XML file
			XmlDocument doc = new XmlDocument();
			doc.Load(MarketInfo);

// Let's work with Holidays
			XmlNodeList sessionList = doc.GetElementsByTagName("Holidays");
			//PrintDebug( "Holidays session count: " + sessionList.Count + "\r\n" );

// Create a list of objects that will hold our special dates
			List<Holidays> ssl = new List<Holidays>();
			
			// Parse XML element by element
			foreach (XmlNode session in sessionList)
			{
				XmlElement element = (XmlElement)session;
 
				// Get date of a Holidays session
				string[] date = element.GetElementsByTagName("Date")[0].InnerText.Split('T');
								
				// Create an instance of the class and convert strings into DateTime
				Holidays holiday = new Holidays();
				holiday.date = DateTime.Parse( date[0] );
				ssl.Add( holiday );
			}

// Some debug printing
			foreach (Holidays ses in ssl)
				PrintDebug( ses.date.ToString() );
			
			for(int bar = 1; bar < Bars.Count; bar++)
			{
				/* Highlight bars that fall on Holidays sessions */
				foreach (Holidays ses in ssl)
				{
					if( Bars.Date[bar] == ses.date )
						SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) );
				}				
			}
		}
	}
}[/CODE]

Eugene

#13

8/8/2009 10:16 AM

Nice attempt. Especially considering that your trial has expired in May, and even a 'replacement' trial that you took under the name 'misirlou' - which we consider to be an unfair, cheater practice - has also expired in June.

Change this:

To:

And then, replace this line:

With this one:

Enjoy.

pigo

#14

8/8/2009 10:28 AM

Thanks.

And is there a way to check if current day is short term session?

P.S.: I want to buy a license, as soon as I will be sure, that I can use it 100%.

Eugene

#15

8/8/2009 10:41 AM

This is just what this line of code does:

Since "Today" stands for Bars.Count-1, you'll need to add a check for bar == Bars.Count-1.

As you understand, it applies to code in my message from 5/27/2009 4:14 AM (or in Community.Components).