TSAIntraday.h

/*  ===================================================================
*
*                 T R A D I N G   S Y S T E M   A P I ™
*    Copyright © 1999 - 2014 by Peter Ritter ( TradingSystemAPI.com )
*                A L L   R I G H T S   R E S E R V E D
*
*     Consult your license regarding permissions and restrictions.
*             You may obtain a copy of the License at:
*     http://www.TradingSystemAPI.com/licenses/LICENSE-TSAPI-3.0.html
*
*  ====================================================================
*/

#ifndef TSA_INTRADAY__INCLUDED
#define TSA_INTRADAY__INCLUDED

#include <ctime>

#include "TSATypeDef.h"
#include "TSASupport.h"
#include "TSAVariant.h"
#include "TSATime.h"
#include "TSATypeDef.h"
#include "TSASeriesTemplate.h"
#include "TSAHolidayGroup.h"

namespace tsa {
    class date_time;
    class ExchangeHolidayList;

    /*
    ** ====================================================
    ** >>>         class time_point_stream              <<<
    ** ====================================================
    */

    class dll_export time_point_stream : public object {
    public:
        virtual uint64_t session_start_usec(void) = 0;

        virtual date_time next_timestamp(const date_time& current_timestamp) = 0;
    };

    /*
    ** ====================================================
    ** >>>        class time_point_stream_daily         <<<
    ** ====================================================
    */

    class dll_export time_point_stream_daily : public time_point_stream {
        tsa_declare_testable;
    public:
        virtual uint64_t session_start_usec(void){ return 0; }
    public:
        virtual date_time next_timestamp(const date_time& currentTimestamp) override;
    };

    /*
    ** ====================================================
    ** >>>          class platform_sequence             <<<
    ** ====================================================
    */

    class dll_export time_point_stream__platform : public time_point_stream {
        tsa_declare_testable;
        date_time m_next_timestamp;
    public:
        virtual uint64_t session_start_usec(void);
        void set_next_timestamp(const date_time& _dt);
    public:
        virtual date_time next_timestamp(const date_time& currentTimestamp) override;
    };

    /*
    ** ====================================================
    ** >>>      class auto_time_point_stream            <<<
    ** ====================================================
    */
    // Internal
    class dll_export auto_time_point_stream : public time_point_stream {
        tsa_declare_testable;
        friend class strategy_delegate;
        friend class instrument;
    private:
        int64_t m_session_start_usec;
        int64_t m_session_end_usec;
        int64_t m_interval_usec;
        duration m_interval_duration;
        bool m_start_at_end_of_first_ival;
        const holiday_list* m_holiday_list_ptr;
    public:
        auto_time_point_stream(void);
        virtual ~auto_time_point_stream(void);
    public:
        void session(const std::string& start_hhmm, const std::string& end_hhmm);
        void holidays(const holiday_list&);
        /* @brief Sets the interval length by setting the @a interval_type and
        @a interval_multiplier. For example, a 5 minute bar can be defined
        by setting the @a interval_type to tsa::minute and the @a interval_multiplier to 5.
        */
        void duration(tsa::duration);
        tsa::duration duration(void) const;
        void SetStartAtEndOfFirstInterval(bool flag);
    private:
        void next(date_time&, holiday_list&);
    public:
        virtual uint64_t session_start_usec(void){ return m_session_start_usec; }
        virtual date_time next_timestamp(const date_time& currentTimestamp) override;
    public:
        unsigned session_start_hhmm(void) const;
        unsigned session_end_hhmm(void) const;
    };


    // Internal 
    enum auto_schedule_ival_type {
        hour,        // strategy time_point is incremented by given number of @a hours
        minute,      // strategy time_point is incremented by given number of @a minutes
        second,      // strategy time_point is incremented by given number of @a seconds
        millisecond  // strategy time_point is incremented by given number of @a milliseconds
    };

    // internal
    class dll_export sequence_intra_OLD : public time_point_stream {
        tsa_declare_testable;
        friend class strategy_delegate;
        friend class instrument;
    private:
        unsigned m_nSessionStartMilSec;
        unsigned m_nSessionEndMilSec;
        unsigned m_nIntervalMilSec;
        bool m_bStartAtEndOfFirstInterval;
        holiday_list m_holidayList;
    public:
        sequence_intra_OLD(void);
        virtual ~sequence_intra_OLD(void);
    public:
        void session_start(
            unsigned HH,     
            unsigned MM,     
            unsigned SS = 0, 
            unsigned MMM = 0 
            );
        void session_end(
            unsigned HH,     
            unsigned MM,     
            unsigned SS = 0, 
            unsigned MMM = 0 
            );
        void interval(auto_schedule_ival_type interval_type, size_t interval_multiplier);
        unsigned GetIntervalInMilliSecs(void) const;
        void SetStartAtEndOfFirstInterval(bool flag);
    private:
        //returns millisecs since midnight
        virtual uint64_t session_start_usec(void){ return (uint64_t)GetStartTimeInMilliSecs() * 1000; }
        unsigned GetStartTimeInMilliSecs(void) const;
        //returns millisecs since midnight
        unsigned GetEndTimeInMilliSecs(void) const;
        void SetParameters(unsigned nStartMillisecs, unsigned nEndMillisecs,
            unsigned nIntervalMillisecs, bool startAtEndOfFirstInterval);
        void IncrementToNextInterval(date_time& _time, holiday_list&);
    public:
        virtual date_time next_timestamp(const date_time& currentTimestamp) override;
    public:
        unsigned GetStartDateTime(void) const;    //hhmmssmmm
        unsigned GetEndDateTime(void) const;    //hhmmssmmm
    };
}  //tsa

#endif