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Sean Kessler
2024-02-23 06:53:16 -05:00
commit dbdccce727
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MarketDataLib/Utility/DateGenerator.cs Normal file
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using System;
using System.Collections;
using System.Collections.Generic;
using MarketData.Utils;
// Filename: DateGenerator.cs
// Author:Sean Kessler
namespace MarketData.Utils
{
/// <summary>DateGenerator - Generate Historical Dates</summary>
[Serializable]
public class DateGenerator
{
private Hashtable holidays=null;
public DateGenerator()
{
}
public DateTime GetPrevMonthStart(DateTime dateTime)
{
DateTime startDate = new DateTime(dateTime.Year, dateTime.Month, 1);
startDate = startDate.AddMonths(-1);
startDate = GetNextBusinessDay(startDate);
return startDate;
}
public DateTime GetCurrMonthStart(DateTime dateTime)
{
DateTime startDate = new DateTime(dateTime.Year, dateTime.Month, 1);
startDate = GetNextBusinessDay(startDate);
return startDate;
}
public DateGenerator(Hashtable holidays)
{
this.holidays=holidays;
}
public static int GetPrevMonth(int month)
{
if(1==month)return 12;
return month-1;
}
/// <summary>FindPrevBusinessDay - Finds previous business day</summary>
/// <returns>DateTime</returns>
public DateTime FindPrevBusinessDay(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(1,0,0,0);
asOf=asOf.Subtract(oneDay);
while(IsWeekend(asOf)||IsHoliday(asOf))asOf=asOf.Subtract(oneDay);
return asOf;
}
/// <summary>FindNextBusinessDays - Finds following business day</summary>
/// <returns>DateTime</returns>
public DateTime FindForwardBusinessDay(DateTime asOf,int daysForward)
{
for (int index = 0; index < daysForward; index++)
{
asOf = FindNextBusinessDay(asOf);
}
return asOf;
}
/// <summary>FindNextBusinessDay - Finds following business day</summary>
/// <returns>DateTime</returns>
public DateTime FindNextBusinessDay(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(1,0,0,0);
asOf=asOf.Add(oneDay);
while(IsWeekend(asOf)||IsHoliday(asOf))asOf=asOf.Add(oneDay);
return asOf;
}
/// <summary>GetPrevBusinessDay - Gets previous business day</summary>
/// <note>If the given date is a business day then this method will return the given date</note>
/// <returns>None</returns>
public DateTime GetPrevBusinessDay(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(1,0,0,0);
while(IsWeekend(asOf)||IsHoliday(asOf))asOf=asOf.Subtract(oneDay);
return asOf;
}
/// <summary>GetNextBusinessDay - Gets next business day</summary>
/// <note>If the given date is a business day then this method will return the given date</note>
/// <returns>None</returns>
public DateTime GetNextBusinessDay(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(1,0,0,0);
while(IsWeekend(asOf)||IsHoliday(asOf))asOf=asOf.Add(oneDay);
return asOf;
}
/// <summary>GetNextDay - Gets next business day</summary>
/// <note>If the given date is a business day then this method will return the given date</note>
/// <returns>None</returns>
public DateTime GetNextDay(DateTime asOf)
{
return asOf.Add(Utility.OneDay);
}
/// <summary>GetPrevFriday - Gets date of prior friday</summary>
/// <note>Get the date of the previous friday - if previous Friday is holiday will seek previous business day</note>
/// <returns>None</returns>
public DateTime GetPrevFriday(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(1,0,0,0);
List<DateTime> historicalDates=null;
int daysToFetch=7;
if(DayOfWeek.Friday==asOf.DayOfWeek)
{
asOf=asOf.Subtract(oneDay);
daysToFetch--;
}
historicalDates=GenerateHistoricalDates(asOf,daysToFetch);
for(int index=0;index<historicalDates.Count;index++)
{
DateTime date=(DateTime)historicalDates[index];
if(DayOfWeek.Friday==date.DayOfWeek)return GetPrevBusinessDay(date);
}
throw new Exception("The week no longer contains Friday?");
}
public DateTime GetCurrentMonthEnd(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(-1,0,0,0);
DateTime date=new DateTime(asOf.Year,asOf.Month,asOf.Day);
date=new DateTime(date.Year,date.Month,DateTime.DaysInMonth(asOf.Year,asOf.Month));
while(IsWeekend(date)||IsHoliday(asOf))date=date.Add(oneDay);
return date;
}
public DateTime GetNextMonthEnd(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(-1,0,0,0);
DateTime date=new DateTime(asOf.Year,asOf.Month,asOf.Day);
date=date.AddMonths(1);
date=new DateTime(date.Year,date.Month,DateTime.DaysInMonth(date.Year,date.Month));
while(IsWeekend(date)||IsHoliday(asOf))date=date.Add(oneDay);
return date;
}
public DateTime GetPrevMonthEnd(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(-1,0,0,0);
DateTime date=new DateTime(asOf.Year,asOf.Month,asOf.Day);
date=date.AddMonths(-1);
date=new DateTime(date.Year,date.Month,DateTime.DaysInMonth(date.Year,date.Month));
while(IsWeekend(date)||IsHoliday(asOf))date=date.Add(oneDay);
return date;
}
public DateTime GetPrevMonthEnd(DateTime asOf,int count)
{
for(int index=0;index<count;index++)
{
asOf=GetPrevMonthEnd(asOf);
}
return asOf;
}
public DateTime EnsureWeekday(DateTime asOf)
{
TimeSpan oneDay=new TimeSpan(1,0,0,0);
if(!IsWeekend(asOf))return asOf;
while(IsWeekend(asOf=asOf.Add(oneDay)));
return asOf;
}
public DateTime GenerateHistoricalDate(DateTime startDate,int dayCount)
{
DateTime histDate;
int datedDates=0;
TimeSpan singleDay;
startDate = startDate.Date;
histDate=startDate;
if(dayCount<0)singleDay=new TimeSpan(-1,0,0,0);
else singleDay=new TimeSpan(1,0,0,0);
dayCount=dayCount<0?-dayCount:dayCount;
while(datedDates<dayCount)
{
if(IsMarketOpen(ref histDate))datedDates++;
histDate=histDate.Subtract(singleDay);
}
return histDate.Add(singleDay);
}
// Does not account for weekends etc.,
public DateTime GenerateFutureDate(DateTime startDate,int dayCount)
{
DateTime futureDate;
int datedDates=0;
TimeSpan singleDay;
startDate = startDate.Date;
futureDate=startDate;
singleDay=new TimeSpan(1,0,0,0);
while(datedDates<dayCount)
{
futureDate=futureDate.Add(singleDay);
datedDates++;
}
return futureDate.Add(singleDay);
}
// Accounts for weekends
public DateTime GenerateFutureBusinessDate(DateTime startDate,int dayCount)
{
DateTime futureDate;
int datedDates=0;
TimeSpan singleDay;
startDate = startDate.Date;
futureDate=startDate;
singleDay=new TimeSpan(1,0,0,0);
while(datedDates<dayCount)
{
if(IsMarketOpen(ref futureDate))datedDates++;
futureDate=futureDate.Add(singleDay);
}
return futureDate.Add(singleDay);
}
public int DaysBetweenActual(DateTime historicalDate)
{
DateTime today = DateTime.Now;
TimeSpan timeSpan = historicalDate.Date - today;
return (int)timeSpan.TotalDays;
}
public int DaysBetweenActual(DateTime historicalDate,DateTime startingDate)
{
TimeSpan timeSpan = historicalDate.Date-startingDate;
int totalDays = (int)timeSpan.TotalDays;
if (historicalDate < startingDate) totalDays = (Math.Abs(totalDays) * -1);
else totalDays = Math.Abs(totalDays);
return totalDays;
}
public DateTime DaysAddActual(DateTime date, int daysActual)
{
TimeSpan days = new TimeSpan(daysActual, 0, 0, 0);
return date + days;
}
public int DaysBetween(DateTime startDate, DateTime endDate)
{
if (startDate > endDate)
{
TimeSpan timeSpan = startDate.Date - endDate.Date;
return (int)timeSpan.TotalDays;
}
else
{
TimeSpan timeSpan = endDate.Date - startDate.Date;
return (int)timeSpan.TotalDays;
}
}
public static List<int> GenerateHistoricalYear(int startYear,int years)
{
List<int> yearsList = new List<int>();
for (int index = 0; index < years; index++)
{
yearsList.Add(startYear);
startYear--;
}
return yearsList;
}
public List<DateTime> GenerateHistoricalDates(DateTime startDate, int dayCount)
{
List<DateTime> histDates=new List<DateTime>();
DateTime histDate;
TimeSpan singleDay;
startDate = startDate.Date;
histDate=startDate;
if(dayCount<0)singleDay=new TimeSpan(-1,0,0,0);
else singleDay=new TimeSpan(1,0,0,0);
dayCount=dayCount<0?-dayCount:dayCount;
while(histDates.Count<dayCount)
{
if(IsMarketOpen(ref histDate))histDates.Add(histDate);
histDate=histDate.Subtract(singleDay);
}
return histDates;
}
// The function will figure out which date is the most recent and which one is the historical date.
// Generally, make startDate the most recent and endDate the historical date.
public List<DateTime> GenerateHistoricalDates(DateTime startDate,DateTime endDate)
{
if (Utility.Epoch.Equals(startDate)||Utility.Epoch.Equals(endDate)) return null;
startDate = startDate.Date;
endDate = endDate.Date;
List<DateTime> histDates = new List<DateTime>();
DateTime histDate;
TimeSpan singleDay;
bool reverse = false;
if (endDate > startDate)
{
reverse = true;
DateTime swap = endDate;
endDate = startDate;
startDate = swap;
}
histDate=startDate;
singleDay=new TimeSpan(1,0,0,0);
while(histDate>=endDate)
{
if(IsMarketOpen(ref histDate))histDates.Add(histDate);
histDate=histDate.Subtract(singleDay);
}
if (reverse) histDates.Reverse();
return histDates;
}
// The function will figure out which date is the most recent and which one is the historical date.
// Generally, make startDate the most recent and endDate the historical date.
public List<DateTime> GenerateHistoricalDatesActual(DateTime startDate, DateTime endDate)
{
if (Utility.Epoch.Equals(startDate) || Utility.Epoch.Equals(endDate)) return null;
startDate = startDate.Date;
endDate = endDate.Date;
List<DateTime> histDates = new List<DateTime>();
DateTime histDate;
TimeSpan singleDay;
bool reverse = false;
if (endDate > startDate)
{
reverse = true;
DateTime swap = endDate;
endDate = startDate;
startDate = swap;
}
histDate = startDate;
singleDay = new TimeSpan(1, 0, 0, 0);
while (histDate >= endDate)
{
histDates.Add(histDate);
histDate = histDate.Subtract(singleDay);
}
if (reverse) histDates.Reverse();
return histDates;
}
private bool IsMarketOpen(ref DateTime dateTime)
{
if(IsWeekend(dateTime)||IsHoliday(dateTime))return false;
return true;
}
public bool IsWeekend(DateTime dateTime)
{
if(DayOfWeek.Sunday==dateTime.DayOfWeek || DayOfWeek.Saturday==dateTime.DayOfWeek)return true;
return false;
}
public bool IsHoliday(DateTime dateTime)
{
if(null==holidays)return false;
return holidays.Contains(dateTime.Date);
}
}
}