Use Futures Bank Holidays For Expirations

QuantConnect · Feb 7, 2025 · cb62493 · cb62493
1 parent 9be02d7
commit cb62493
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Showing 3 changed files with 2 additions and 18 deletions.
diff --git a/Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs b/Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs
@@ -107,7 +107,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 4632655;
+        public virtual long DataPoints => 4632654;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Common/Securities/Future/FuturesExpiryUtilityFunctions.cs b/Common/Securities/Future/FuturesExpiryUtilityFunctions.cs
@@ -38,11 +38,6 @@ public static class FuturesExpiryUtilityFunctions
             "GNF"
         };
 
-        /// <summary>
-        /// True to account for bank holidays which will adjust futures expiration dates
-        /// </summary>
-        public static bool BankHolidays { get; set; }
-
         /// <summary>
         /// Get holiday list from the MHDB given the market and the symbol of the security
         /// </summary>
@@ -53,11 +48,7 @@ internal static HashSet<DateTime> GetExpirationHolidays(string market, string sy
             var exchangeHours = MarketHoursDatabase.FromDataFolder()
                         .GetEntry(market, symbol, SecurityType.Future)
                         .ExchangeHours;
-            if (BankHolidays)
-            {
-                return exchangeHours.Holidays.Concat(exchangeHours.BankHolidays).ToHashSet();
-            }
-            return exchangeHours.Holidays;
+            return exchangeHours.Holidays.Concat(exchangeHours.BankHolidays).ToHashSet();
         }
 
         /// <summary>

diff --git a/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs b/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs
@@ -61,7 +61,6 @@ public class FuturesExpiryFunctionsTests
         [OneTimeSetUp]
         public void Init()
         {
-            FuturesExpiryUtilityFunctions.BankHolidays = true;
             var path = Path.Combine("TestData", "FuturesExpiryFunctionsTestData.xml");
             using (var reader = XmlReader.Create(path))
             {
@@ -70,12 +69,6 @@ public void Init()
             }
         }
 
-        [OneTimeTearDown]
-        public void TearDown()
-        {
-            FuturesExpiryUtilityFunctions.BankHolidays = false;
-        }
-
         // last day and previous are holidays
         [TestCase("20250101", "20250127")]
         // normal case