Schedule class provides API to retrieve and explore trading schedules of different exchanges and different classes of financial instruments. More...

#include <Schedule.hpp>

Public Types
using	Ptr = std::shared_ptr<Schedule>
	The alias to a type of shared pointer to the Schedule object.

using	Unique = std::unique_ptr<Schedule>
	The alias to a type of unique pointer to the Schedule object.

Public Member Functions
Session::Ptr	getSessionByTime (std::int64_t time) const noexcept
	Returns session that contains specified time.

Day::Ptr	getDayByTime (std::int64_t time) const noexcept
	Returns day that contains specified time.

Day::Ptr	getDayById (std::int32_t dayId) const noexcept
	Returns day for specified day identifier.

Day::Ptr	getDayByYearMonthDay (std::int32_t yearMonthDay) const noexcept
	Returns day for specified year, month and day numbers.

Session::Ptr	getNearestSessionByTime (std::int64_t time, const SessionFilter &filter) const noexcept
	Returns session that is nearest to the specified time and that is accepted by specified filter.

Session::Ptr	findNearestSessionByTime (std::int64_t time, const SessionFilter &filter) const noexcept
	Returns session that is nearest to the specified time and that is accepted by specified filter.

std::string	getName () const noexcept
	Returns name of this schedule.

std::string	getTimeZoneDisplayName () const noexcept
	Returns time zone display name in which this schedule is defined.

std::string	getTimeZoneId () const noexcept
	Returns time zone id in which this schedule is defined.

Static Public Member Functions
static Schedule::Ptr	getInstance (std::shared_ptr< InstrumentProfile > profile)
	Returns default schedule instance for specified instrument profile.

static Schedule::Ptr	getInstance (const std::string &scheduleDefinition)
	Returns default schedule instance for specified schedule definition.

static Schedule::Ptr	getInstance (std::shared_ptr< InstrumentProfile > profile, const std::string &venue)
	Returns schedule instance for specified instrument profile and trading venue.

static std::vector< std::string >	getTradingVenues (std::shared_ptr< InstrumentProfile > profile)
	Returns trading venues for specified instrument profile.

static void	downloadDefaults (const std::string &downloadConfig) noexcept
	Downloads defaults using specified download config and optionally start periodic download.

static bool	setDefaults (const std::vector< char > &data) noexcept
	Sets shared defaults that are used by individual schedule instances.

Friends
struct	Day

Detailed Description

Schedule class provides API to retrieve and explore trading schedules of different exchanges and different classes of financial instruments.

Each instance of schedule covers separate trading schedule of some class of instruments, i.e. NYSE stock trading schedule or CME corn futures trading schedule. Each schedule splits entire time scale into separate days that are aligned to the specific trading hours of covered trading schedule.

Member Function Documentation

◆ downloadDefaults()

void Schedule::downloadDefaults ( const std::string & downloadConfig )

staticnoexcept

Downloads defaults using specified download config and optionally start periodic download.

The specified config can be one of the following:

"" - stop periodic download
URL - download once from specified URL and stop periodic download
URL,period - start periodic download from specified URL
"auto" - start periodic download from default location

Parameters

downloadConfig download config

◆ findNearestSessionByTime()

Session::Ptr Schedule::findNearestSessionByTime	(	std::int64_t	time,
		const SessionFilter &	filter ) const

noexcept

Returns session that is nearest to the specified time and that is accepted by specified filter.

This method will return Session::Ptr{nullptr} (std::shared_ptr<Session>{nullptr}) if specified time falls outside of valid date range from 0001-01-02 to 9999-12-30. If no sessions acceptable by specified filter are found within one year this method will return Session::Ptr{nullptr} (std::shared_ptr<Session>{nullptr}).

To find nearest trading session of any type use this code:

session = schedule->findNearestSessionByTime(time, SessionFilter::TRADING);

To find nearest regular trading session use this code:

session = schedule->findNearestSessionByTime(time, SessionFilter::REGULAR);

Parameters

time	The time to search for
filter	The filter to test sessions

Returns: The session that is nearest to the specified time and that is accepted by specified filter or Session::Ptr{nullptr} (std::shared_ptr<Session>{nullptr}) if specified time falls outside of valid date range

◆ getDayById()

Day::Ptr Schedule::getDayById ( std::int32_t dayId ) const

noexcept

Returns day for specified day identifier.

This method will return Day::Ptr{nullptr} (std::shared_ptr<Day>{nullptr}) if specified day identifier falls outside of valid date range from 0001-01-02 to 9999-12-30.

Parameters

dayId The day identifier to search for

Returns: The day for specified day identifier or Day::Ptr{nullptr} (std::shared_ptr<Day>{nullptr}) if specified day identifier falls outside of valid date range

See also: Day::getDayId()

◆ getDayByTime()

Day::Ptr Schedule::getDayByTime ( std::int64_t time ) const

noexcept

Returns day that contains specified time.

This method will return Day::Ptr{nullptr} (std::shared_ptr<Day>{nullptr}) if specified time falls outside of valid date range from 0001-01-02 to 9999-12-30.

Parameters

time	The time to search for

Returns: The day that contains specified time or Day::Ptr{nullptr} (std::shared_ptr<Day>{nullptr}) if specified time falls outside of valid date range

◆ getDayByYearMonthDay()

Day::Ptr Schedule::getDayByYearMonthDay ( std::int32_t yearMonthDay ) const

noexcept

Returns day for specified year, month and day numbers.

Year, month, and day numbers shall be packed in the following way:

YearMonthDay = year * 10000 + month * 100 + day

For example, September 28, 1977 has value 19770928.

If specified day does not exist then this method returns day with the lowest valid YearMonthDay that is greater than specified one. This method will return Day::Ptr{nullptr} (std::shared_ptr<Day>{nullptr}) if specified year, month and day numbers fall outside of valid date range from 0001-01-02 to 9999-12-30.

Parameters

yearMonthDay The year, month and day numbers to search for

Returns: The day for specified year, month and day numbers or Day::Ptr{nullptr} (std::shared_ptr<Day>{nullptr}) if specified year, month and day numbers fall outside of valid date range

See also: Day::getYearMonthDay()

◆ getInstance() [1/3]

Schedule::Ptr Schedule::getInstance ( const std::string & scheduleDefinition )

staticnoexcept

Returns default schedule instance for specified schedule definition.

Parameters

scheduleDefinition The schedule definition of requested schedule

Returns: The default schedule instance for specified schedule definition

◆ getInstance() [2/3]

Schedule::Ptr Schedule::getInstance ( std::shared_ptr< InstrumentProfile > profile )

static

Returns default schedule instance for specified instrument profile.

Parameters

profile The instrument profile those schedule is requested

Returns: The default schedule instance for specified instrument profile

◆ getInstance() [3/3]

Schedule::Ptr Schedule::getInstance	(	std::shared_ptr< InstrumentProfile >	profile,
		const std::string &	venue )

static

Returns schedule instance for specified instrument profile and trading venue.

Parameters

profile	The instrument profile those schedule is requested
venue	The trading venue those schedule is requested

Returns: The schedule instance for specified instrument profile and trading venue

◆ getName()

std::string Schedule::getName ( ) const

noexcept

Returns name of this schedule.

Returns: The name of this schedule

◆ getNearestSessionByTime()

Session::Ptr Schedule::getNearestSessionByTime	(	std::int64_t	time,
		const SessionFilter &	filter ) const

noexcept

Returns session that is nearest to the specified time and that is accepted by specified filter.

This method will return Session::Ptr{nullptr} (std::shared_ptr<Session>{nullptr}) if specified time falls outside of valid date range from 0001-01-02 to 9999-12-30 or if no sessions acceptable by specified filter are found within one year this method

To find nearest trading session of any type use this code:

session = schedule->getNearestSessionByTime(time, SessionFilter::TRADING);

To find nearest regular trading session use this code:

session = schedule->getNearestSessionByTime(time, SessionFilter::REGULAR);

Parameters

time	The time to search for
filter	the filter to test sessions

Returns: session that is nearest to the specified time and that is accepted by specified filter or Session::Ptr{nullptr} (std::shared_ptr<Session>{nullptr}) if specified time falls outside of valid date range or if no such day was found within one year

◆ getSessionByTime()

Session::Ptr Schedule::getSessionByTime ( std::int64_t time ) const

noexcept

Returns session that contains specified time.

This method will return Session::Ptr{nullptr} if specified time falls outside of valid date range from 0001-01-02 to 9999-12-30.

Parameters

time	the time to search for

Returns: session that contains specified time or Session::Ptr{nullptr} if specified time falls outside of valid date range from 0001-01-02 to 9999-12-30.

◆ getTimeZoneDisplayName()

std::string Schedule::getTimeZoneDisplayName ( ) const

noexcept

Returns time zone display name in which this schedule is defined.

Returns: time zone display name in which this schedule is defined

◆ getTimeZoneId()

std::string Schedule::getTimeZoneId ( ) const

noexcept

Returns time zone id in which this schedule is defined.

Returns: time zone id in which this schedule is defined

◆ getTradingVenues()

std::vector< std::string > Schedule::getTradingVenues ( std::shared_ptr< InstrumentProfile > profile )

staticnoexcept

Returns trading venues for specified instrument profile.

Parameters

profile The instrument profile those trading venues are requested

Returns: trading venues for specified instrument profile

◆ setDefaults()

bool Schedule::setDefaults ( const std::vector< char > & data )

staticnoexcept

Sets shared defaults that are used by individual schedule instances.

Parameters

data	The content of default data

Returns: true if OK

Public Types

Public Member Functions

Static Public Member Functions

Friends

Detailed Description

Member Function Documentation

◆ downloadDefaults()

◆ findNearestSessionByTime()

◆ getDayById()

◆ getDayByTime()

◆ getDayByYearMonthDay()

◆ getInstance() [1/3]

◆ getInstance() [2/3]

◆ getInstance() [3/3]

◆ getName()

◆ getNearestSessionByTime()

◆ getSessionByTime()

◆ getTimeZoneDisplayName()

◆ getTimeZoneId()

◆ getTradingVenues()

◆ setDefaults()