How to calculate Exchange Opening Time?

January 11th, 2011, 04:20 PM

sam028

Why are you using in variables instead of DateTime variables ?
You want to manipulate "the opening times of all exchanges", so it will be much easier to manipulate DateTime than int, as you have all the needed classes and methods to play with timezones.
See TimeZoneInfo class, ConvertTime, DateTimeOffset, ...
You know in which timezone are NY, Tokyo, ..., so you're also able to convert any date from a timezone to another one. And as these classes are "DST aware", I don't see where could be the problem to do what you want to do.

The conversion from different timezones does not work for .Net 2.0 / NinjaTrader 6.5. However, .Net 3.5 / NinjaTrader 7.0 are capable of doing the conversion. the session manager of Ninjatrader 7.0 uses this timezone conversion capability.

These are the steps to convert between different timezones:

(1) Define TimeZoneInfo variables which contain the timezoneinfo information. Here is an example to create a timezoneinfo variable for the Asian session (Tokyo time)

Code

private TimeZoneInfo tstZone // TST stands for Tokyo Standard Time
try
{
tstZone = TimeZoneInfo.FindSystemTimeZoneById("Tokyo Standard Time"); 
}
catch (TimeZoneNotFoundException ex2)
{
throw new TimeZoneNotFoundException( String.Format("The time zone '{0}'cannot be found.", "Tokyo Standard Time"), ex);
}

(2) Next use the TimeZoneInfo variables for conversion. Let us assume that you have defined four variables tstZone, cetZone, gmtZone, estZone and that they contain the correct information collected from the class library. Now you also need your local timezone and the timezone of your session template:

Local timezone can be found as: TimeZoneInfo.Local
Session template timezone can be found as: Bars.Session.TimeZoneInfo

(3) To convert, use TimeZoneInfo.ConvertTime

For example to convert from TST to local Time ->

Code

time = TimeZoneInfo.ConvertTime(time, tstZone, TimeZoneInfo.Local)

Or to convert from session template to local time ->

Code

time = TimeZoneInfo.ConvertTime(time, Bars.Session.TimeZoneInfo, TimeZoneInfo.Local)

You can now easily code an indicator that prints the market hours on your chart.

January 11th, 2011, 04:56 PM

Here you can find an example, how to apply this. The chart shows today's FOREX sessions:

Session template (in Eastern Time): 3 sessions, Asian, European and US session. The Asian session includes Sydney and Tokio. The European session starts at 2:00 AM Est, which is correct for 49 weeks out of 52 weeks per year. The US session starts at 8:00 AM EST, the Asian session starts at 5:00 PM Est.

European open and London open is collected from the session template. The Tokyo open is generated via indicator, as the session template does only use EST, and is not aware of TST.

The opening range indicator uses TST for the Asian pre-session and CET for the European pre-session.

Created by applying the indicator twice to display both European and US opening range. The indicator is available here:

Download: Opening Range V42

Exported using NT Version 7.0.1000.26 The indicator will only run on NT 7.0.1000.5 or later Discretionary traders: Please use the multi-timeframe version of the indicator for odd minute charts and charts built from ticks. https://www.bigmik …

Fat Tails

January 12th, 2011, 01:55 AM

Hi fat tails,
Thank you very much. I'll work with ETC conversion.
You are very helpful.

Baruch

January 12th, 2011, 06:08 AM

sam028

Why are you using in variables instead of DateTime variables ?
You want to manipulate "the opening times of all exchanges", so it will be much easier to manipulate DateTime than int, as you have all the needed classes and methods to play with timezones.
See TimeZoneInfo class, ConvertTime, DateTimeOffset, ...
You know in which timezone are NY, Tokyo, ..., so you're also able to convert any date from a timezone to another one. And as these classes are "DST aware", I don't see where could be the problem to do what you want to do.

Interestingly I saw the source code for trading platform that did a similar thing, and it was billed as a performance enhancement (math on ints being less expensive than math on DateTimes, I guess), but I wonder if it merely code that originated back during .NET 2.0. Interesting factoid, Fat Tails. Thanks.

How to calculate Exchange Opening Time?

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How to calculate Exchange Opening Time?