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Revert "Market-hours aware intraday consolidation" #9528

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Merged
Martin-Molinero merged 1 commit into from
Jun 12, 2026
Merged

Revert "Market-hours aware intraday consolidation" #9528

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147 changes: 0 additions & 147 deletions Algorithm.CSharp/MarketHourAwareIntradayConsolidationRegressionAlgorithm.cs
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58 changes: 0 additions & 58 deletions Algorithm.Python/MarketHourAwareIntradayConsolidationRegressionAlgorithm.py
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1 change: 0 additions & 1 deletion Common/AlgorithmImports.py
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Original file line number Diff line number Diff line change
Expand Up @@ -68,7 +68,6 @@
from QuantConnect.Securities.Equity import *
from QuantConnect.Securities.Future import *
from QuantConnect.Data.Consolidators import *
from QuantConnect.Data.Common import *
from QuantConnect.Orders.TimeInForces import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Selection import *
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68 changes: 1 addition & 67 deletions Common/Data/Consolidators/MarketHourAwareConsolidator.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -89,36 +89,6 @@ public MarketHourAwareConsolidator(bool dailyStrictEndTimeEnabled, Resolution re
Consolidator.DataConsolidated += ForwardConsolidatedBar;
}

/// <summary>
/// Initializes a new instance of the <see cref="MarketHourAwareConsolidator"/> class for an arbitrary period.
/// Intraday periods are anchored to the market open without extending past the close.
/// </summary>
/// <param name="dailyStrictEndTimeEnabled">True if daily strict end times should be enabled</param>
/// <param name="period">The consolidation period</param>
/// <param name="dataType">The target data type</param>
/// <param name="tickType">The target tick type</param>
/// <param name="extendedMarketHours">True if extended market hours should be consolidated</param>
public MarketHourAwareConsolidator(bool dailyStrictEndTimeEnabled, TimeSpan period, Type dataType, TickType tickType, bool extendedMarketHours)
{
_dailyStrictEndTimeEnabled = dailyStrictEndTimeEnabled;
Period = period;
_extendedMarketHours = extendedMarketHours;

// when the period exactly matches a standard resolution, reuse the resolution based consolidation so its
// well-tested behavior is preserved; only arbitrary periods need the market-open anchored intraday calendar
var resolution = period.ToHigherResolutionEquivalent(false);
if (resolution.ToTimeSpan() == period)
{
Consolidator = CreateConsolidator(resolution, dataType, tickType);
}
else
{
Func<DateTime, CalendarInfo> calendar = period < Time.OneDay ? IntradayCalendar : DailyStrictEndTime;
Consolidator = CreateConsolidator(calendar, dataType, tickType);
}
Consolidator.DataConsolidated += ForwardConsolidatedBar;
}

/// <summary>
/// Creates the inner consolidator that produces the requested <paramref name="dataType"/> output.
/// </summary>
Expand Down Expand Up @@ -151,28 +121,6 @@ protected virtual IDataConsolidator CreateConsolidator(Resolution resolution, Ty
throw new ArgumentNullException(nameof(dataType), $"{dataType.Name} not supported");
}

/// <summary>
/// Creates the underlying calendar based consolidator for the given data type, used for arbitrary periods
/// </summary>
protected virtual IDataConsolidator CreateConsolidator(Func<DateTime, CalendarInfo> calendar, Type dataType, TickType tickType)
{
if (dataType == typeof(Tick))
{
return tickType == TickType.Trade
? new TickConsolidator(calendar)
: new TickQuoteBarConsolidator(calendar);
}
if (dataType == typeof(TradeBar))
{
return new TradeBarConsolidator(calendar);
}
if (dataType == typeof(QuoteBar))
{
return new QuoteBarConsolidator(calendar);
}
throw new ArgumentNullException(nameof(dataType), $"{dataType.Name} not supported");
}

/// <summary>
/// Event handler that fires when a new piece of data is produced
/// </summary>
Expand Down Expand Up @@ -247,27 +195,13 @@ protected void Initialize(IBaseData data)
/// </summary>
protected virtual CalendarInfo DailyStrictEndTime(DateTime dateTime)
{
// strict end times describe a single daily bar, so periods larger than a day fall back to standard period consolidation
if (!_useStrictEndTime || Period > Time.OneDay)
if (!_useStrictEndTime)
{
return new(Period > Time.OneDay ? dateTime : dateTime.RoundDown(Period), Period);
}
return LeanData.GetDailyCalendar(dateTime, ExchangeHours, _extendedMarketHours);
}

/// <summary>
/// Determines a bar start time and period for intraday consolidation, anchored to the market open
/// without extending past the market close so a bar never spans across closed market hours
/// </summary>
protected virtual CalendarInfo IntradayCalendar(DateTime dateTime)
{
if (ExchangeHours == null || ExchangeHours.IsMarketAlwaysOpen)
{
return new(dateTime.RoundDown(Period), Period);
}
return LeanData.GetIntradayCalendar(dateTime, Period, ExchangeHours, _extendedMarketHours);
}

/// <summary>
/// Useful for testing
/// </summary>
Expand Down
27 changes: 0 additions & 27 deletions Common/Util/LeanData.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -1476,33 +1476,6 @@ public static CalendarInfo GetDailyCalendar(DateTime exchangeTimeZoneDate, Secur
return new CalendarInfo(startTime, period);
}

/// <summary>
/// Helper method to return the intraday bar start time and period, anchored to the market open, without extending past the close
/// </summary>
/// <param name="exchangeTimeZoneDate">The point in time we want to get the bar information about</param>
/// <param name="period">The intraday consolidation period</param>
/// <param name="exchangeHours">The associated exchange hours</param>
/// <param name="extendedMarketHours">True if extended market hours should be taken into consideration</param>
/// <returns>The calendar information that holds a start time and a period</returns>
public static CalendarInfo GetIntradayCalendar(DateTime exchangeTimeZoneDate, TimeSpan period, SecurityExchangeHours exchangeHours, bool extendedMarketHours)
{
var marketOpen = exchangeHours.IsOpen(exchangeTimeZoneDate, extendedMarketHours)
? exchangeHours.GetPreviousMarketOpen(exchangeTimeZoneDate.AddTicks(1), extendedMarketHours)
: exchangeHours.GetPreviousMarketOpen(exchangeTimeZoneDate, extendedMarketHours);

var intervalsPassed = (long)Math.Floor((exchangeTimeZoneDate - marketOpen).Ticks / (double)period.Ticks);
var startTime = marketOpen.AddTicks(intervalsPassed * period.Ticks);

// keep the last bar from extending past the market close
var endTime = startTime + period;
var marketClose = exchangeHours.GetNextMarketClose(marketOpen, extendedMarketHours);
if (endTime > marketClose)
{
endTime = marketClose;
}
return new CalendarInfo(startTime, endTime - startTime);
}

/// <summary>
/// Helper method to get the next daily end time, taking into account strict end times if appropriate
/// </summary>
Expand Down
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