Class to implement common functions used in FuturesExpiryFunctions More...

Static Public Member Functions
static DateTime	AddBusinessDays (DateTime time, int n, HashSet< DateTime > holidays)
	Method to retrieve n^th succeeding/preceding business day for a given day More...

static DateTime	AddBusinessDaysIfHoliday (DateTime time, int n, HashSet< DateTime > holidayList)
	Method to retrieve n^th succeeding/preceding business day for a given day if there was a holiday on that day More...

static DateTime	NthLastBusinessDay (DateTime time, int n, IEnumerable< DateTime > holidayList)
	Method to retrieve the n^th last business day of the delivery month. More...

static DateTime	NthBusinessDay (DateTime time, int nthBusinessDay, IEnumerable< DateTime > holidayList)
	Calculates the n^th business day of the month (includes checking for holidays) More...

static DateTime	SecondFriday (DateTime time)
	Method to retrieve the 2nd Friday of the given month More...

static DateTime	ThirdFriday (DateTime time)
	Method to retrieve the 3rd Friday of the given month More...

static DateTime	NthFriday (DateTime time, int n)
	Method to retrieve the Nth Friday of the given month More...

static DateTime	ThirdWednesday (DateTime time)
	Method to retrieve third Wednesday of the given month (usually Monday). More...

static DateTime	NthWeekday (DateTime time, int n, DayOfWeek dayOfWeek)
	Method to retrieve the Nth Weekday of the given month More...

static DateTime	LastWeekday (DateTime time, DayOfWeek dayOfWeek)
	Method to retrieve the last weekday of any month More...

static DateTime	LastThursday (DateTime time)
	Method to retrieve the last Thursday of any month More...

static DateTime	LastFriday (DateTime time)
	Method to retrieve the last Friday of any month More...

static bool	NotHoliday (DateTime time, IEnumerable< DateTime > holidayList)
	Method to check whether a given time is holiday or not More...

static bool	NotPrecededByHoliday (DateTime thursday, IEnumerable< DateTime > holidayList)
	This function takes Thursday as input and returns true if four weekdays preceding it are not Holidays More...

static DateTime	DairyLastTradeDate (DateTime time, IEnumerable< DateTime > holidayList, TimeSpan? lastTradeTime=null)
	Gets the last trade date corresponding to the contract month More...

static int	GetDeltaBetweenContractMonthAndContractExpiry (string underlying, DateTime? futureExpiryDate=null)
	Gets the number of months between the contract month and the expiry date. More...

static DateTime	GetGoodFriday (int year)
	Calculates the date of Good Friday for a given year. More...

Properties
static bool	BankHolidays `[get, set]`
	True to account for bank holidays which will adjust futures expiration dates More...

Detailed Description

Class to implement common functions used in FuturesExpiryFunctions

Definition at line 26 of file FuturesExpiryUtilityFunctions.cs.

Member Function Documentation

◆ AddBusinessDays()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.AddBusinessDays	(	DateTime	time,
		int	n,
		HashSet< DateTime >	holidays
	)

static

Method to retrieve n^th succeeding/preceding business day for a given day

Parameters

time	The current Time
n	Number of business days succeeding current time. Use negative value for preceding business days
holidays	Set of holidays to exclude. These should be sourced from the MarketHoursDatabase

Returns: The date-time after adding n business days

Definition at line 70 of file FuturesExpiryUtilityFunctions.cs.

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◆ AddBusinessDaysIfHoliday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.AddBusinessDaysIfHoliday	(	DateTime	time,
		int	n,
		HashSet< DateTime >	holidayList
	)

static

Method to retrieve n^th succeeding/preceding business day for a given day if there was a holiday on that day

Parameters

time	The current Time
n	Number of business days succeeding current time. Use negative value for preceding business days
holidayList	Enumerable of holidays to exclude. These should be sourced from the MarketHoursDatabase

Returns: The date-time after adding n business days

Definition at line 115 of file FuturesExpiryUtilityFunctions.cs.

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◆ NthLastBusinessDay()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.NthLastBusinessDay	(	DateTime	time,
		int	n,
		IEnumerable< DateTime >	holidayList
	)

static

Method to retrieve the n^th last business day of the delivery month.

Parameters

time	DateTime for delivery month
n	Number of days
holidayList	Holidays to use while calculating n^th business day. Useful for MHDB entries

Returns: Nth Last Business day of the month

Definition at line 134 of file FuturesExpiryUtilityFunctions.cs.

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◆ NthBusinessDay()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.NthBusinessDay	(	DateTime	time,
		int	nthBusinessDay,
		IEnumerable< DateTime >	holidayList
	)

static

Calculates the n^th business day of the month (includes checking for holidays)

Parameters

time	Month to calculate business day for
nthBusinessDay	n^th business day to get
holidayList	Holidays to not count as business days

Returns: Nth business day of the month

Definition at line 169 of file FuturesExpiryUtilityFunctions.cs.

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◆ SecondFriday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.SecondFriday ( DateTime time )

static

Method to retrieve the 2nd Friday of the given month

Parameters

time	Date from the given month

Returns: 2nd Friday of given month

◆ ThirdFriday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.ThirdFriday ( DateTime time )

static

Method to retrieve the 3rd Friday of the given month

Parameters

time	Date from the given month

Returns: 3rd Friday of given month

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◆ NthFriday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.NthFriday	(	DateTime	time,
		int	n
	)

static

Method to retrieve the Nth Friday of the given month

Parameters

time	Date from the given month
n	The order of the Friday in the period

Returns: Nth Friday of given month

◆ ThirdWednesday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.ThirdWednesday ( DateTime time )

static

Method to retrieve third Wednesday of the given month (usually Monday).

Parameters

time	Date from the given month

Returns: Third Wednesday of the given month

◆ NthWeekday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.NthWeekday	(	DateTime	time,
		int	n,
		DayOfWeek	dayOfWeek
	)

static

Method to retrieve the Nth Weekday of the given month

Parameters

time	Date from the given month
n	The order of the Weekday in the period
dayOfWeek	The day of the week

Returns: Nth Weekday of given month

Definition at line 264 of file FuturesExpiryUtilityFunctions.cs.

◆ LastWeekday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.LastWeekday	(	DateTime	time,
		DayOfWeek	dayOfWeek
	)

static

Method to retrieve the last weekday of any month

Parameters

time	Date from the given month
dayOfWeek	the last weekday to be found

Returns: Last day of the we

Definition at line 284 of file FuturesExpiryUtilityFunctions.cs.

◆ LastThursday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.LastThursday ( DateTime time )

static

Method to retrieve the last Thursday of any month

Parameters

time	Date from the given month

Returns: Last Thursday of the given month

◆ LastFriday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.LastFriday ( DateTime time )

static

Method to retrieve the last Friday of any month

Parameters

time	Date from the given month

Returns: Last Friday of the given month

◆ NotHoliday()

static bool QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.NotHoliday	(	DateTime	time,
		IEnumerable< DateTime >	holidayList
	)

static

Method to check whether a given time is holiday or not

Parameters

time	The DateTime for consideration
holidayList	Enumerable of holidays to exclude. These should be sourced from the MarketHoursDatabase

Returns: True if the time is not a holidays, otherwise returns false

Definition at line 313 of file FuturesExpiryUtilityFunctions.cs.

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◆ NotPrecededByHoliday()

static bool QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.NotPrecededByHoliday	(	DateTime	thursday,
		IEnumerable< DateTime >	holidayList
	)

static

This function takes Thursday as input and returns true if four weekdays preceding it are not Holidays

Parameters

thursday	DateTime of a given Thursday
holidayList	Enumerable of holidays to exclude. These should be sourced from the MarketHoursDatabase

Returns: False if DayOfWeek is not Thursday or is not preceded by four weekdays,Otherwise returns True

Definition at line 324 of file FuturesExpiryUtilityFunctions.cs.

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◆ DairyLastTradeDate()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.DairyLastTradeDate	(	DateTime	time,
		IEnumerable< DateTime >	holidayList,
		TimeSpan?	lastTradeTime = `null`
	)

static

Gets the last trade date corresponding to the contract month

Parameters

time	Contract month
holidayList	Enumerable of holidays to exclude. These should be sourced from the MarketHoursDatabase
lastTradeTime	Time at which the dairy future contract stops trading (usually should be on 17:10:00 UTC)

Returns

Definition at line 354 of file FuturesExpiryUtilityFunctions.cs.

◆ GetDeltaBetweenContractMonthAndContractExpiry()

static int QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.GetDeltaBetweenContractMonthAndContractExpiry	(	string	underlying,
		DateTime?	futureExpiryDate = `null`
	)

static

Gets the number of months between the contract month and the expiry date.

Parameters

underlying	The future symbol ticker
futureExpiryDate	Expiry date to use to look up contract month delta. Only used for dairy, since we need to lookup its contract month in a pre-defined table.

Returns: The number of months between the contract month and the contract expiry

Definition at line 386 of file FuturesExpiryUtilityFunctions.cs.

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◆ GetGoodFriday()

static DateTime QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.GetGoodFriday ( int year )

static

Calculates the date of Good Friday for a given year.

Parameters

year	Year to calculate Good Friday for

Returns: Date of Good Friday

Definition at line 410 of file FuturesExpiryUtilityFunctions.cs.

Property Documentation

◆ BankHolidays

bool QuantConnect.Securities.Future.FuturesExpiryUtilityFunctions.BankHolidays

staticgetset

True to account for bank holidays which will adjust futures expiration dates

Definition at line 44 of file FuturesExpiryUtilityFunctions.cs.

The documentation for this class was generated from the following file:

Common/Securities/Future/FuturesExpiryUtilityFunctions.cs

Static Public Member Functions

Properties

Detailed Description

Member Function Documentation

◆ AddBusinessDays()

◆ AddBusinessDaysIfHoliday()

◆ NthLastBusinessDay()

◆ NthBusinessDay()

◆ SecondFriday()

◆ ThirdFriday()

◆ NthFriday()

◆ ThirdWednesday()

◆ NthWeekday()

◆ LastWeekday()

◆ LastThursday()

◆ LastFriday()

◆ NotHoliday()

◆ NotPrecededByHoliday()

◆ DairyLastTradeDate()

◆ GetDeltaBetweenContractMonthAndContractExpiry()

◆ GetGoodFriday()

Property Documentation

◆ BankHolidays