DotQuant.Exchanges 0.2.0

DotQuant.Exchanges

The canonical exchange registry for the DotQuant platform — trading hours, timezones and asset-class index routing for every venue, computed locally with no API call and no database. One row per exchange drives everything: market open/close, session windows, timezone, and the prices-* / news-* index a bar or article belongs to.

This package replaces the hand-duplicated ExchangeSchedule / ExchangeMetadata copies that used to live in DotQuant.Pricing, DotQuant.ProcessManagers and DotQuant.Trading.Api. It is the single source of truth: change a venue here, cut a release, bump the package in the consumers.

Why a package and not a runtime API? This is static, build-time-known reference data on hot paths (per-bar index routing, per-tick market-state). A NuGet package keeps it deterministic and dependency-free — no network hop, no coupling of write-side availability to the query API, and no return to the silent-fallback fragility that came from sourcing exchange metadata out of a mutable store.

Install

dotnet add package DotQuant.Exchanges

Usage

using DotQuant.Exchanges;

// Market state right now (open/close detection — used by the pricing process manager)
var (isOpen, closeUtc, nextOpenUtc) = ExchangeSchedule.GetState("NASDAQ", DateTime.UtcNow);

// Which Elasticsearch index a bar/article routes to (used by the Pricing component)
string index = ExchangeSchedule.GetIndex("XSTU");            // "prices-equities-emea"
string news  = ExchangeSchedule.GetIndex("NASDAQ", "news");  // "news-equities-americas"

// Session window for a specific date (UTC), or (null, null) for weekends / unknown venues
var (openUtc, sessionCloseUtc) = ExchangeSchedule.GetSessionForDate("LSE", new DateOnly(2025, 6, 2));

// Read/UI side (used by the Trading API): market-strip region, default chart feed, quote currency
string? region = ExchangeSchedule.GetRegion("LSE");          // "Europe"
string defChart = ExchangeSchedule.RegionDefaults["US"];     // "NYSE-SPX"
string? ccy = ExchangeSchedule.GetCurrency("XETRA");         // "EUR" (null for crypto/forex)

// Other helpers
string? tz = ExchangeSchedule.GetTimezoneId("TSE");          // "Asia/Tokyo"
DateOnly prev = ExchangeSchedule.PreviousTradingDay(DateOnly.FromDateTime(DateTime.UtcNow));

Unknown / no-hours venues (crypto, forex, indices) are treated as always open and route to {prefix}-unknown when the asset class can't be placed — an unrecognised code never blocks polling or silently drops data.

Cutting a release

Use the helper script — it finds the last tag, bumps it, and pushes; you don't type a git command or look up the version:

./scripts/release.sh           # bump minor (default):  v0.3.4 → v0.4.0
./scripts/release.sh patch     # bump patch:            v0.3.4 → v0.3.5
./scripts/release.sh major     # bump major:            v0.3.4 → v1.0.0
./scripts/release.sh v0.5.0    # exact version

(On Windows, run it from Git Bash.) It refuses to run on a dirty tree or an existing tag.

The CI/CD pipeline builds + tests on every push to main, and on the v* tag the script pushes it packs that version and publishes to NuGet.org (via the organization-level NUGET_API_KEY secret). SemVer: a venue add/edit is a patch or minor bump.

After releasing, bump DotQuant.Exchanges in the consumers (DotQuant.Pricing, DotQuant.ProcessManagers, DotQuant.Trading.Api).

Consuming

It's a normal public NuGet.org package — dotnet add package DotQuant.Exchanges. No nuget.config, no auth, no Docker build args; restores anonymously in CI, Docker builds, and local dev.

Maintaining the registry

To add or change a venue you edit src/ExchangeSchedule/ExchangeSchedule.cs once and add a test — see .github/instructions/general.instructions.md for the field reference, the asset-class/region rules, and the consumer-migration notes.

Run locally

dotnet build src/DotQuant.Exchanges.slnx
dotnet test  src/DotQuant.Exchanges.slnx