Welcome to the group.
Generally, the exact schedules for regular and extended trading hours are defined by the individual exchanges, so that you could implement a few functions for the exchanges you are interested in. On the other hand, a single strategy that works for any instrument is not that hard either.
The object for a given instrument (that you can and should lookup through ) gives you the native time zone for the instrument as well as the regular ("liquid") and extended trading hours for the next few days. Below a couple of examples ContractDetails objects from Thursday afternoon. Using this information has the advantage that exchange closures (regular during the weekend, for holidays, or emergency situations) are announced that way, too. It is a good practice that client applications make calls when they start or at least once a day for all instruments they deal with.
ESH5 ? timeZoneId ? ?"US/Central"
ESH5 ? tradingHours ?"20250312:1700-20250313:1600;20250313:1700-20250314:1600;20250315:CLOSED;20250316:1700-20250317:1600;20250317:1700-20250318:1600;20250318:1700-20250319:1600"
ESH5 ? liquidHours ? "20250313:0830-20250313:1600;20250314:0830-20250314:1600;20250315:CLOSED;20250316:CLOSED;20250317:0830-20250317:1600;20250318:0830-20250318:1600;20250318:1700-20250319:1600"
SPY ? ?timeZoneId ? ?"US/Eastern"
SPY ? ?tradingHours ?"20250313:0400-20250313:2000;20250314:0400-20250314:2000;20250315:CLOSED;20250316:CLOSED;20250317:0400-20250317:2000;20250318:0400-20250318:2000"
SPY ? ?liquidHours ? "20250313:0930-20250313:1600;20250314:0930-20250314:1600;20250315:CLOSED;20250316:CLOSED;20250317:0930-20250317:1600;20250318:0930-20250318:1600"
You can get the same information for days in the past as well. The data is requested via method with whatToShow "SCHEDULE" and delivered via method.? The session information looks like this and you can request regular and extended hour schedules separately.
refDate ? ??????????? "20240104"
startDateTime ? ?"20240103-17:00:00"
endDateTime ? ? "20240104-16:00:00"
Each programming language has built-in or library functions to parse and compare dates and times such as Java's or to convert the resulting time into an absolute timezone free representation (such as Java's ) They bring simple tests such as IsBefore, isAfter, isBetween, ... that you an use to determine from the above data, where a given point in time for a given intrument is within the regular trading hours or bot.
Hope this helps,
闯ü谤驳别苍
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On Wed, Mar 12, 2025 at 07:03 AM, <dubiousposition@...> wrote:
if I request Market data with `outsideRth=true`, I get the data for the whole pre-market, market, and after-hours market hours which is great.
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However, when I inspect each candle in the data, I get the candle's time (t) but, at this point I have no way of knowing whether that one candle sits in pre-market, market or after-hours market hour.
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So my question is, what would be the simplest way to establish whether a single candle sits in pre-market, market or after-hours market hour?
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Is executing date/time calculations for each candle's time (t) the only way of doing this? This could be quite complex as would need to take into account different time zones, time of year (daylight savings time), etc. when carrying out each calculation.
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One option in my head is to request the market data twice; once with `outsideRth=true` and a second time with `outsideRth=false` where I would then take the difference between one set and the other which would leave me with the outsideRth candles separated from the RTH candles but, the outsideRth candles would still include both pre-market and after-hours candles and therefore, I would still need to make calculations for each candle to know exactly which period any one candle belongs in (e.g. pre-market, market, after-hours).
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Thanks in advance for any answers to this question.
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PS: This is my first time posting here and I have tried searching to see if this has been asked before but I did not get any results back so, apologies if I am not using the search tool properly or not posting the question properly either.
