Revert "Market-hours aware intraday consolidation (#9516)"

This reverts commit 9b89c16.

Author: Martin-Molinero

Algorithm.CSharp/MarketHourAwareIntradayConsolidationRegressionAlgorithm.cs

@@ -68,7 +68,6 @@
 from QuantConnect.Securities.Equity import *
 from QuantConnect.Securities.Future import *
 from QuantConnect.Data.Consolidators import *
-from QuantConnect.Data.Common import *
 from QuantConnect.Orders.TimeInForces import *
 from QuantConnect.Algorithm.Framework import *
 from QuantConnect.Algorithm.Selection import *

Algorithm.Python/MarketHourAwareIntradayConsolidationRegressionAlgorithm.py

@@ -89,36 +89,6 @@ public MarketHourAwareConsolidator(bool dailyStrictEndTimeEnabled, Resolution re
             Consolidator.DataConsolidated += ForwardConsolidatedBar;
         }
 
-        /// <summary>
-        /// Initializes a new instance of the <see cref="MarketHourAwareConsolidator"/> class for an arbitrary period.
-        /// Intraday periods are anchored to the market open without extending past the close.
-        /// </summary>
-        /// <param name="dailyStrictEndTimeEnabled">True if daily strict end times should be enabled</param>
-        /// <param name="period">The consolidation period</param>
-        /// <param name="dataType">The target data type</param>
-        /// <param name="tickType">The target tick type</param>
-        /// <param name="extendedMarketHours">True if extended market hours should be consolidated</param>
-        public MarketHourAwareConsolidator(bool dailyStrictEndTimeEnabled, TimeSpan period, Type dataType, TickType tickType, bool extendedMarketHours)
-        {
-            _dailyStrictEndTimeEnabled = dailyStrictEndTimeEnabled;
-            Period = period;
-            _extendedMarketHours = extendedMarketHours;
-
-            // when the period exactly matches a standard resolution, reuse the resolution based consolidation so its
-            // well-tested behavior is preserved; only arbitrary periods need the market-open anchored intraday calendar
-            var resolution = period.ToHigherResolutionEquivalent(false);
-            if (resolution.ToTimeSpan() == period)
-            {
-                Consolidator = CreateConsolidator(resolution, dataType, tickType);
-            }
-            else
-            {
-                Func<DateTime, CalendarInfo> calendar = period < Time.OneDay ? IntradayCalendar : DailyStrictEndTime;
-                Consolidator = CreateConsolidator(calendar, dataType, tickType);
-            }
-            Consolidator.DataConsolidated += ForwardConsolidatedBar;
-        }
-
         /// <summary>
         /// Creates the inner consolidator that produces the requested <paramref name="dataType"/> output.
         /// </summary>
@@ -151,28 +121,6 @@ protected virtual IDataConsolidator CreateConsolidator(Resolution resolution, Ty
             throw new ArgumentNullException(nameof(dataType), $"{dataType.Name} not supported");
         }
 
-        /// <summary>
-        /// Creates the underlying calendar based consolidator for the given data type, used for arbitrary periods
-        /// </summary>
-        protected virtual IDataConsolidator CreateConsolidator(Func<DateTime, CalendarInfo> calendar, Type dataType, TickType tickType)
-        {
-            if (dataType == typeof(Tick))
-            {
-                return tickType == TickType.Trade
-                    ? new TickConsolidator(calendar)
-                    : new TickQuoteBarConsolidator(calendar);
-            }
-            if (dataType == typeof(TradeBar))
-            {
-                return new TradeBarConsolidator(calendar);
-            }
-            if (dataType == typeof(QuoteBar))
-            {
-                return new QuoteBarConsolidator(calendar);
-            }
-            throw new ArgumentNullException(nameof(dataType), $"{dataType.Name} not supported");
-        }
-
         /// <summary>
         /// Event handler that fires when a new piece of data is produced
         /// </summary>
@@ -247,27 +195,13 @@ protected void Initialize(IBaseData data)
         /// </summary>
         protected virtual CalendarInfo DailyStrictEndTime(DateTime dateTime)
         {
-            // strict end times describe a single daily bar, so periods larger than a day fall back to standard period consolidation
-            if (!_useStrictEndTime || Period > Time.OneDay)
+            if (!_useStrictEndTime)
             {
                 return new(Period > Time.OneDay ? dateTime : dateTime.RoundDown(Period), Period);
             }
             return LeanData.GetDailyCalendar(dateTime, ExchangeHours, _extendedMarketHours);
         }
 
-        /// <summary>
-        /// Determines a bar start time and period for intraday consolidation, anchored to the market open
-        /// without extending past the market close so a bar never spans across closed market hours
-        /// </summary>
-        protected virtual CalendarInfo IntradayCalendar(DateTime dateTime)
-        {
-            if (ExchangeHours == null || ExchangeHours.IsMarketAlwaysOpen)
-            {
-                return new(dateTime.RoundDown(Period), Period);
-            }
-            return LeanData.GetIntradayCalendar(dateTime, Period, ExchangeHours, _extendedMarketHours);
-        }
-
         /// <summary>
         /// Useful for testing
         /// </summary>

Common/AlgorithmImports.py

@@ -1476,33 +1476,6 @@ public static CalendarInfo GetDailyCalendar(DateTime exchangeTimeZoneDate, Secur
             return new CalendarInfo(startTime, period);
         }
 
-        /// <summary>
-        /// Helper method to return the intraday bar start time and period, anchored to the market open, without extending past the close
-        /// </summary>
-        /// <param name="exchangeTimeZoneDate">The point in time we want to get the bar information about</param>
-        /// <param name="period">The intraday consolidation period</param>
-        /// <param name="exchangeHours">The associated exchange hours</param>
-        /// <param name="extendedMarketHours">True if extended market hours should be taken into consideration</param>
-        /// <returns>The calendar information that holds a start time and a period</returns>
-        public static CalendarInfo GetIntradayCalendar(DateTime exchangeTimeZoneDate, TimeSpan period, SecurityExchangeHours exchangeHours, bool extendedMarketHours)
-        {
-            var marketOpen = exchangeHours.IsOpen(exchangeTimeZoneDate, extendedMarketHours)
-                ? exchangeHours.GetPreviousMarketOpen(exchangeTimeZoneDate.AddTicks(1), extendedMarketHours)
-                : exchangeHours.GetPreviousMarketOpen(exchangeTimeZoneDate, extendedMarketHours);
-
-            var intervalsPassed = (long)Math.Floor((exchangeTimeZoneDate - marketOpen).Ticks / (double)period.Ticks);
-            var startTime = marketOpen.AddTicks(intervalsPassed * period.Ticks);
-
-            // keep the last bar from extending past the market close
-            var endTime = startTime + period;
-            var marketClose = exchangeHours.GetNextMarketClose(marketOpen, extendedMarketHours);
-            if (endTime > marketClose)
-            {
-                endTime = marketClose;
-            }
-            return new CalendarInfo(startTime, endTime - startTime);
-        }
-
         /// <summary>
         /// Helper method to get the next daily end time, taking into account strict end times if appropriate
         /// </summary>