Add BeforeMarketOpen() and AfterMarketClose() date rules

Common/Scheduling/TimeRules.cs

@@ -153,6 +153,18 @@ public ITimeRule Every(TimeSpan interval)
             return new FuncTimeRule(name, applicator);
         }
 
+        /// <summary>
+        /// Specifies an event should fire at market open +- <paramref name="minutesBeforeOpen"/>
+        /// </summary>
+        /// <param name="symbol">The symbol whose market open we want an event for</param>
+        /// <param name="minutesBeforeOpen">The minutes before market open that the event should fire</param>
+        /// <param name="extendedMarketOpen">True to use extended market open, false to use regular market open</param>
+        /// <returns>A time rule that fires the specified number of minutes before the symbol's market open</returns>
+        public ITimeRule BeforeMarketOpen(Symbol symbol, double minutesBeforeOpen = 0, bool extendedMarketOpen = false)
+        {
+            return AfterMarketOpen(symbol, minutesBeforeOpen * (-1), extendedMarketOpen);
+        }
+
         /// <summary>
         /// Specifies an event should fire at market open +- <paramref name="minutesAfterOpen"/>
         /// </summary>
@@ -163,7 +175,8 @@ public ITimeRule Every(TimeSpan interval)
         public ITimeRule AfterMarketOpen(Symbol symbol, double minutesAfterOpen = 0, bool extendedMarketOpen = false)
         {
             var type = extendedMarketOpen ? "ExtendedMarketOpen" : "MarketOpen";
-            var name = Invariant($"{symbol}: {minutesAfterOpen:0.##} min after {type}");
+            var afterOrBefore = minutesAfterOpen > 0 ? "after" : "before";
+            var name = Invariant($"{symbol}: {Math.Abs(minutesAfterOpen):0.##} min {afterOrBefore} {type}");
             var exchangeHours = GetSecurityExchangeHours(symbol);
 
             var timeAfterOpen = TimeSpan.FromMinutes(minutesAfterOpen);
@@ -179,6 +192,18 @@ where exchangeHours.IsDateOpen(date, extendedMarketOpen) && marketOpen.Date == d
             return new FuncTimeRule(name, applicator);
         }
 
+        /// <summary>
+        /// Specifies an event should fire at the market close +- <paramref name="minutesAfterClose"/>
+        /// </summary>
+        /// <param name="symbol">The symbol whose market close we want an event for</param>
+        /// <param name="minutesAfterClose">The time after market close that the event should fire</param>
+        /// <param name="extendedMarketClose">True to use extended market close, false to use regular market close</param>
+        /// <returns>A time rule that fires the specified number of minutes after the symbol's market close</returns>
+        public ITimeRule AfterMarketClose(Symbol symbol, double minutesAfterClose = 0, bool extendedMarketClose = false)
+        {
+            return BeforeMarketClose(symbol, minutesAfterClose * (-1), extendedMarketClose);
+        }
+
         /// <summary>
         /// Specifies an event should fire at the market close +- <paramref name="minutesBeforeClose"/>
         /// </summary>
@@ -189,7 +214,8 @@ where exchangeHours.IsDateOpen(date, extendedMarketOpen) && marketOpen.Date == d
         public ITimeRule BeforeMarketClose(Symbol symbol, double minutesBeforeClose = 0, bool extendedMarketClose = false)
         {
             var type = extendedMarketClose ? "ExtendedMarketClose" : "MarketClose";
-            var name = Invariant($"{symbol}: {minutesBeforeClose:0.##} min before {type}");
+            var afterOrBefore = minutesBeforeClose > 0 ? "before" : "after";
+            var name = Invariant($"{symbol}: {Math.Abs(minutesBeforeClose):0.##} min {afterOrBefore} {type}");
             var exchangeHours = GetSecurityExchangeHours(symbol);
 
             var timeBeforeClose = TimeSpan.FromMinutes(minutesBeforeClose);

Tests/Common/Scheduling/TimeRulesTests.cs

@@ -177,6 +177,25 @@ public void ExtendedMarketOpenNoDeltaForContinuousSchedules()
             Assert.AreEqual(6, count);
         }
 
+        [TestCase(true, 9 - 0.5)]
+        [TestCase(false, 14.5 - 0.5)]
+        public void BeforeMarketOpenWithDelta(bool extendedMarketHours, double expectedHour)
+        {
+            var rules = GetTimeRules(TimeZones.Utc);
+            var rule = rules.BeforeMarketOpen(Symbols.SPY, 30, extendedMarketHours);
+            var times = rule.CreateUtcEventTimes(new[] { new DateTime(2000, 01, 03) });
+            var type = extendedMarketHours ? "ExtendedMarketOpen" : "MarketOpen";
+            Assert.AreEqual($"{Symbols.SPY}: 30 min before {type}", rule.Name);
+
+            int count = 0;
+            foreach (var time in times)
+            {
+                count++;
+                Assert.AreEqual(TimeSpan.FromHours(expectedHour), time.TimeOfDay);
+            }
+            Assert.AreEqual(1, count);
+        }
+
         [Test]
         public void ExtendedMarketCloseNoDeltaForContinuousSchedules()
         {
@@ -290,6 +309,25 @@ public void ExtendedMarketCloseWithDelta()
             Assert.AreEqual(1, count);
         }
 
+        [TestCase(true, (21 + 4 + .5) % 24)]
+        [TestCase(false, (21 + .5) % 24)]
+        public void AfterMarketCloseWithDelta(bool extendedMarketHours, double expectedHour)
+        {
+            var rules = GetTimeRules(TimeZones.Utc);
+            var rule = rules.AfterMarketClose(Symbols.SPY, 30, extendedMarketHours);
+            var times = rule.CreateUtcEventTimes(new[] { new DateTime(2000, 01, 03) });
+            var type = extendedMarketHours ? "ExtendedMarketClose" : "MarketClose";
+            Assert.AreEqual($"{Symbols.SPY}: 30 min after {type}", rule.Name);
+
+            int count = 0;
+            foreach (var time in times)
+            {
+                count++;
+                Assert.AreEqual(TimeSpan.FromHours(expectedHour), time.TimeOfDay);
+            }
+            Assert.AreEqual(1, count);
+        }
+
         [TestCase(0)]
         [TestCase(-1)]
         public void EveryValidatesTimeSpan(int timeSpanMinutes)