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Adjust times to time zones in QuantBook Option/Future history #8680

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Merged
Martin-Molinero merged 1 commit into from
Apr 7, 2025
Merged

Adjust times to time zones in QuantBook Option/Future history #8680

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6 changes: 4 additions & 2 deletions Research/QuantBook.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -862,9 +862,11 @@ private IEnumerable<T> GetChainHistory<T>(Symbol canonicalSymbol, DateTime date,
{
// Use this GetEntry extension method since it's data type dependent, so we get the correct entry for the option universe
var marketHoursEntry = MarketHoursDatabase.GetEntry(canonicalSymbol, new[] { typeof(T) });
var start = QuantConnect.Time.GetStartTimeForTradeBars(marketHoursEntry.ExchangeHours, date, QuantConnect.Time.OneDay, 1,
var startInExchangeTz = QuantConnect.Time.GetStartTimeForTradeBars(marketHoursEntry.ExchangeHours, date, QuantConnect.Time.OneDay, 1,
extendedMarketHours: false, marketHoursEntry.DataTimeZone);
var universeData = History<T>(canonicalSymbol, start, date).SingleOrDefault();
var start = startInExchangeTz.ConvertTo(marketHoursEntry.ExchangeHours.TimeZone, TimeZone);
var end = date.ConvertTo(marketHoursEntry.ExchangeHours.TimeZone, TimeZone);
var universeData = History<T>(canonicalSymbol, start, end).SingleOrDefault();

if (universeData is not null)
{
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30 changes: 20 additions & 10 deletions Tests/Research/QuantBookHistoryTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -192,30 +192,40 @@ private static TestCaseData[] CanonicalOptionIntradayHistoryTestCases
var twx = Symbol.Create("TWX", SecurityType.Equity, Market.USA);
var twxOption = Symbol.CreateCanonicalOption(twx);

var spx = Symbol.Create("SPX", SecurityType.Index, Market.USA);
var spxwOption = Symbol.CreateCanonicalOption(spx, Market.USA, null);

return
[
new TestCaseData(twxOption, new DateTime(2014, 06, 05), (DateTime?)null),
new TestCaseData(twxOption, new DateTime(2014, 06, 05), new DateTime(2014, 06, 05)),
new TestCaseData(twxOption, new DateTime(2014, 06, 05), new DateTime(2014, 06, 06)),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 0, 0, 0), new DateTime(2014, 06, 05, 15, 0, 0)),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 10, 0, 0), new DateTime(2014, 06, 05, 15, 0, 0)),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 10, 0, 0), new DateTime(2014, 06, 06)),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 10, 0, 0), new DateTime(2014, 06, 06, 10, 0, 0)),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 10, 0, 0), new DateTime(2014, 06, 06, 15, 0, 0))
new TestCaseData(twxOption, new DateTime(2014, 06, 05), (DateTime?)null, Resolution.Minute),
new TestCaseData(twxOption, new DateTime(2014, 06, 05), new DateTime(2014, 06, 05), Resolution.Minute),
new TestCaseData(twxOption, new DateTime(2014, 06, 05), new DateTime(2014, 06, 06), Resolution.Minute),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 0, 0, 0), new DateTime(2014, 06, 05, 15, 0, 0), Resolution.Minute),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 10, 0, 0), new DateTime(2014, 06, 05, 15, 0, 0), Resolution.Minute),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 10, 0, 0), new DateTime(2014, 06, 06), Resolution.Minute),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 10, 0, 0), new DateTime(2014, 06, 06, 10, 0, 0), Resolution.Minute),
new TestCaseData(twxOption, new DateTime(2014, 06, 05, 10, 0, 0), new DateTime(2014, 06, 06, 15, 0, 0), Resolution.Minute),

new TestCaseData(spxwOption, new DateTime(2021, 01, 04), (DateTime?)null, Resolution.Hour),
new TestCaseData(spxwOption, new DateTime(2021, 01, 04), new DateTime(2021, 01, 04), Resolution.Hour),
new TestCaseData(spxwOption, new DateTime(2021, 01, 04), new DateTime(2021, 01, 05), Resolution.Hour),
new TestCaseData(spxwOption, new DateTime(2021, 01, 04, 10, 0, 0), new DateTime(2021, 01, 04, 15, 0, 0), Resolution.Hour),
new TestCaseData(spxwOption, new DateTime(2021, 01, 04, 10, 0, 0), new DateTime(2021, 01, 05, 15, 0, 0), Resolution.Hour),
new TestCaseData(spxwOption, new DateTime(2021, 01, 14, 10, 0, 0), new DateTime(2021, 01, 14, 15, 0, 0), Resolution.Hour),
];
}
}

[TestCaseSource(nameof(CanonicalOptionIntradayHistoryTestCases))]
public void CanonicalOptionIntradayQuantBookHistoryWithIntradayRange(Symbol canonicalOption, DateTime start, DateTime? end)
public void CanonicalOptionIntradayQuantBookHistoryWithIntradayRange(Symbol canonicalOption, DateTime start, DateTime? end, Resolution resolution)
{
var quantBook = new QuantBook();
var historyProvider = new TestHistoryProvider(quantBook.HistoryProvider);
quantBook.SetHistoryProvider(historyProvider);
quantBook.SetStartDate((end ?? start).Date.AddDays(1));

var option = quantBook.AddSecurity(canonicalOption);
var history = quantBook.OptionHistory(canonicalOption, start, end, Resolution.Minute);
var history = quantBook.OptionHistory(canonicalOption, start, end, resolution);

Assert.Greater(history.Count, 0);

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