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QuickFIX/J is a full featured messaging engine for the FIX protocol. - This is the official project repository.
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Configuring `StartTime` and `EndTime` on different timezones results in wrong schedule calculation #486

Closed sregueiroqb closed 2 months ago

sregueiroqb commented 2 years ago

Describe the bug We are connecting to an FX market that has an opening time on the Madrid timezone (at 00:00) and close time on the New York timezone (at 17:00), Monday to Friday, due to fixing reasons. The local time is UTC, the application runs in kubernetes. To avoid having to change the config when daylight savings changes, we setup the session the following way:

StartTime=23:55:00 Europe/Madrid
EndTime=17:05:00 America/New_York
Weekdays=Sun,Mon,Tue,Wed,Thu

We want to connect 5 minutes before the session opens and disconnect 5 minutes after.

Using this configuration, results on the session connecting at 23:55 Madrid (21:55 UTC) and disconnecting at 00:00 Madrid (22:00 UTC), reconnecting again at 06:00 Madrid (04:00 UTC)

The issue is found in DefaultSessionSchedule. theMostRecentIntervalBefore calculates the wrong interval when changing days and the close time is before open time.

The log shows the correct schedule [FIX.5.0:SENDER->TARGET] sunday, monday, tuesday, wednesday, thursday, 21:55:00-UTC - 21:05:00-UTC (sunday, monday, tuesday, wednesday, thursday, 23:55:00-MESZ - 17:05:00-EDT)

To Reproduce

package quickfix;

import static org.junit.Assert.assertEquals;

import java.io.ByteArrayInputStream;
import java.util.Calendar;
import java.util.GregorianCalendar;
import java.util.Locale;
import java.util.TimeZone;

import org.junit.After;
import org.junit.Before;
import org.junit.Test;

import quickfix.ConfigError;
import quickfix.DefaultSessionSchedule;
import quickfix.SessionID;
import quickfix.SessionSchedule;
import quickfix.SessionSettings;
import quickfix.SystemTime;

import java.text.DateFormat;
import java.text.DateFormatSymbols;
import java.text.ParseException;
import java.text.SimpleDateFormat;
import java.util.Date;

import quickfix.field.converter.UtcTimeOnlyConverter;

public class WrongFixSessionScheduleTest {

    private MockSystemTimeSource mockSystemTimeSource;
    private Locale defaultLocale;

    @Before
    public void setUp() throws Exception {
        mockSystemTimeSource = new MockSystemTimeSource();
        SystemTime.setTimeSource(mockSystemTimeSource);
        defaultLocale = Locale.getDefault();
        Locale.setDefault(Locale.GERMANY);
    }

    @After
    public void tearDown() throws Exception {
        SystemTime.setTimeSource(null);
        Locale.setDefault(defaultLocale);
    }

    @Test
    public void testSessionTimeEndBeforeStartUsingWeekdays() throws Exception {
        SessionSchedule schedule = newSessionSchedule();
        // Schedule should be (assuming daylight savings time):
        // 23:55 Sunday Madrid to 17:05 Monday NY // 21:55 Sunday UTC to 21:05 Monday UTC
        // 23:55 Monday Madrid to 17:05 Tuesday NY // 21:55 Monday UTC to 21:05 Tuesday UTC
        // 23:55 Tuesday Madrid to 17:05 Wednesday NY // 21:55 Tuesday UTC to 21:05 Wednesday UTC
        // 23:55 Wednesday Madrid to 17:05 Thursday NY // 21:55 Wednesday UTC to 21:05 Thursday UTC
        // 23:55 Thursday Madrid to 17:05 Friday NY // 21:55 Thursday UTC to 21:05 Friday UTC

        // Saturday
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 16, 21, 0, 0); // 23:00 Madrid
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 16, 22, 0, 0); // 00:00 Madrid next day
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 16, 22, 1, 0); // 00:01 Madrid next day
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 16, 23, 0, 0); // 01:00 Madrid next day

        // Sunday
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 17, 0, 1, 0); // 19:01 Madrid
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 17, 21, 54, 59);// 23:54 Madrid
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 17, 21, 55, 00); // 23:55 Madrid. Correct opening time
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 17, 21, 57, 0); // 23:57 Madrid
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 17, 22, 00, 0); // 00:00 Madrid next day. Wrong, should be in session
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 17, 23, 57, 0); // 01:57 Madrid next day. Wrong, should be in session

        // Monday
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 0, 1, 0); // 02:01 Madrid. Wrong, should be in session
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 3, 0, 1); // 05:00 Madrid. Wrong, should be in session
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 3, 59, 59); // 05:59 Madrid. Wrong, should be in session
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 18, 4, 00, 59); // 06:00 Madrid.
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 18, 17, 00, 59); // 19:00 Madrid.
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 18, 21, 00, 00); // 23:00 Madrid / 17:00 NY
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 18, 21, 4, 59); // 23:04:59 Madrid / 17:04:59 NY
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 18, 21, 5, 0); // 23:05:00 Madrid / 17:05 NY
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 21, 5, 1); // 23:05:01 Madrid / 17:05:01 NY. Correct close time
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 21, 54, 0); // 23:54:00 Madrid.
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 18, 21, 55, 00); // 23:55 Madrid. Correct opening time
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 18, 21, 57, 0); // 23:57 Madrid
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 22, 56, 0); // Wrong, should be in session
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 23, 6, 0); // Wrong, should be in session
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 23, 54, 0); // Wrong, should be in session
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 18, 23, 56, 0); // Wrong, should be in session
        // Tuesday
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 19, 0, 1, 0); // Wrong, should be in session
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 19, 3, 0, 1); // Wrong, should be in session
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 19, 17, 00, 59);
        doIsSessionTimeTest(schedule, true, 2022, Calendar.APRIL, 19, 21, 00, 00);
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 19, 21, 6, 0);
        doIsSessionTimeTest(schedule, false, 2022, Calendar.APRIL, 19, 21, 54, 0);

        // Failures repeat through Friday

    }

    private String settingsFile() {
        StringBuilder settings = new StringBuilder();
        settings.append("[default]\n");
        settings.append("StartTime=23:55:00 Europe/Madrid\n");
        settings.append("EndTime=17:05:00 America/New_York\n");
        settings.append("Weekdays=Sun,Mon,Tue,Wed,Thu\n");
        return settings.toString();
    }

    private SessionSettings loadSettings() throws ConfigError {
        SessionSettings settings = new SessionSettings(new ByteArrayInputStream(settingsFile().getBytes()));
        return settings;
    }

    private SessionSchedule newSessionSchedule() throws Exception {
        SessionSettings settings = loadSettings();
        SessionID sessionID = new SessionID("FIX.5.0", "SENDER", "TARGET");
        return new DefaultSessionSchedule(settings, sessionID);
    }

    private void doIsSessionTimeTest(SessionSchedule schedule, boolean expectedInSession, int year,
            int month, int day, int hour, int minute, int second) {
        doIsSessionTimeTest(schedule, expectedInSession, year, month, day, hour, minute, second,
                TimeZone.getTimeZone("UTC"));
    }

    private void doIsSessionTimeTest(SessionSchedule schedule, boolean expectedInSession, int year,
            int month, int day, int hour, int minute, int second, TimeZone timeZone) {
        mockSystemTimeSource
                .setTime(getTimeStamp(year, month, day, hour, minute, second, timeZone));
        assertEquals("in session expectation incorrect", expectedInSession, schedule
                .isSessionTime());
    }

    private Calendar getTimeStamp(int year, int month, int day, int hour, int minute, int second,
            TimeZone timeZone) {
        Calendar c = new GregorianCalendar(year, month, day, hour, minute, second);
        c.setTimeZone(timeZone);
        return c;
    }

}

Expected behavior The session connects and disconnects at the appropiate times.

system information:

AndreyNudko commented 1 year ago

I was working on unrelated changes in the area and I think there is a very small and simple fix @sregueiroqb would you mind reviewing the test in https://github.com/quickfix-j/quickfixj/pull/574 - I used reproducer from this issue, but had to make some changes to actually make it fail