MarketHours.TimeTillClose DST bug?

PanagiotisCharalampous
07 Jan 2020, 08:58

Hi bishbashbosh,

Can you provide us with a cBot that will allow us to reproduce the problem?

Best Regards,

Panagiotis 

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bishbashbosh
21 Jan 2020, 12:38 ( Updated at: 21 Dec 2023, 09:21 )

using System;
using System.Collections.Generic;
using System.Linq;
using cAlgo.API;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class TimeTillCloseDemo : Robot
    {
        private readonly Dictionary<DateTime, TimeSpan> _timesTillClose;
        private static readonly TimeSpan Hours12 = TimeSpan.FromHours(12);

        public TimeTillCloseDemo()
        {
            _timesTillClose = new Dictionary<DateTime, TimeSpan>();
        }

        protected override void OnTick()
        {
            var date = MarketSeries.OpenTime.LastValue.Date;
            var timeTillClose = Symbol.MarketHours.TimeTillClose();
            if (timeTillClose < Hours12)
            {
                _timesTillClose[date] = timeTillClose;
            }
        }

        protected override void OnStop()
        {
            const int top = 10;
            Print("Top {0} TimeTillClose values upon last tick of the day follow...", top);
            var ordered = _timesTillClose.OrderByDescending(kvp => kvp.Value);
            foreach (var keyValuePair in ordered.Take(top))
            {
                Print("{0:t} on {1:dddd, d MMMM}", keyValuePair.Value, keyValuePair.Key);
            }
        }
    }
}

Running against the entirety of 2019 on EURUSD 3h gives for me:

PanagiotisCharalampous
05 Feb 2020, 14:12

Hi bishbashbosh,

The issue results from the fact that we do not save historical market hours therefore we just use the current setting of the broker. So it might cause this discrepancy during periods with a different DST setting.

Best Regards,

Panagiotis 

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