Question

I’m having trouble figuring out which tradings session any particular time is in.

There are four possible sessions, show in this picture taken from ForexFactory.com

I have this method that I need to check is currentTime is during the specified trading session.

public bool IsTradingSession(TradingSession tradingSession, DateTime currentTime)
{
    //currentTime is in local time.


    //Regular session is 5PM - next day 5PM, this is the session in the picture.
    //Irregular sessions also occur for example late open (3AM - same day 5PM)  or early close (5PM - next day 11AM)
    DateTime sessionStart = Exchange.ToLocalTime(Exchange.CurrentSessionOpen);
    DateTime sessionEnd = Exchange.ToLocalTime(Exchange.CurrentSessionClose);

    if(tradingSession == TradingSession.Sydney)
        return ....... ? true : false;
    if(tradingSession == TradingSession.Tokyo)
        return ....... ? true : false;        
    if(tradingSession == TradingSession.London)
        return ....... ? true : false;
    if (tradingSession == TradingSession.NewYork)
        return ....... ? true : false;

    return false;
}

Use:

    bool isSydneySession = IsTradingSession(TradingSession.Sydney, CurrentTime);
    bool isTokyoSession = IsTradingSession(TradingSession.Tokyo, CurrentTime);
    bool isLondonSession = IsTradingSession(TradingSession.London, CurrentTime);
    bool isNewYorkSession = IsTradingSession(TradingSession.NewYork, CurrentTime);

Thank you

Answer 1

I’d suggest writing a simple function for each trading session, which takes a DateTime and returns a bool indicating if it’s open at that time.

var sydneyOpen = new TimeSpan(17, 0, 0);
var sydneyClose = new TimeSpan(2, 0, 0);
Func<DateTime, bool> isOpenInSydney = d => 
    (d.TimeOfDay > sydneyOpen || d.TimeOfDay < sydneyClose);

// same for other markets, write a function to check against two times

Then place these into a Dictionary<TradingSession, Func> like this for generic retrieval…

var marketHours = new Dictionary<TradingSession, Func<DateTime, bool>>();
marketHours.Add(TradingSession.Sydney, isOpenInSydney);
// add other markets...

And then your existing method simply selects the appropriate function for the given TradingSession and applies it

public bool IsTradingSession(TradingSession tradingSession, DateTime currentTime)
{
    var functionForSession = marketHours[tradingSession];
    return functionForSession(currentTime);
}

I don’t believe you need UTC time here as long as your application only runs in a single timezone, but daylight savings might cause problems.

---

A nice way to account for the problem of trading sessions which cover two days, as opposed to just one day, is to write a helper that precisely considers whether it’s a ‘cross-day’ trading session and applies a different rule for you:

private bool IsBetween(DateTime now, TimeSpan open, TimeSpan close)
{
    var nowTime = now.TimeOfDay;
    return (open < close
        // if open is before close, then now must be between them
        ? (nowTime > open && nowTime < close)
        // otherwise now must be *either* after open or before close
        : (nowTime > open || nowTime < close));
}

and then

var sydneyOpen = new TimeSpan(17, 0, 0);
var sydneyClose = new TimeSpan(2, 0, 0);
Func<DateTime, bool> isOpenInSydney = d => IsBetween(d, sydneyOpen, sydneyClose);