/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System;
using Newtonsoft.Json;
using ProtoBuf;
using static QuantConnect.StringExtensions;
namespace QuantConnect.Data.Market
{
///
/// Split event from a security
///
[ProtoContract(SkipConstructor = true)]
public class Split : BaseData
{
///
///Gets the type of split event, warning or split.
///
[JsonProperty]
[ProtoMember(10)]
public SplitType Type
{
get; private set;
}
///
/// Gets the split factor
///
[JsonProperty]
[ProtoMember(11)]
public decimal SplitFactor
{
get; set;
}
///
/// Gets the price at which the split occurred
/// This is typically the previous day's closing price
///
[ProtoMember(12)]
public decimal ReferencePrice
{
get { return Value; }
set { Value = value; }
}
///
/// Initializes a new instance of the Split class
///
public Split()
{
Type = SplitType.SplitOccurred;
DataType = MarketDataType.Auxiliary;
}
///
/// Initializes a new instance of the Split class
///
/// The symbol
/// The date
/// The price at the time of the split
/// The split factor to be applied to current holdings
/// The type of split event, warning or split occurred
public Split(Symbol symbol, DateTime date, decimal price, decimal splitFactor, SplitType type)
: this()
{
Type = type;
Time = date;
Symbol = symbol;
ReferencePrice = price;
SplitFactor = splitFactor;
}
///
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
///
/// Subscription data config setup object
/// Line of the source document
/// Date of the requested data
/// true if we're in live mode, false for backtesting mode
/// Instance of the T:BaseData object generated by this line of the CSV
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
// this is implemented in the SubscriptionDataReader.CheckForSplit
throw new NotImplementedException("This method is not supposed to be called on the Split type.");
}
///
/// Return the URL string source of the file. This will be converted to a stream
///
/// Configuration object
/// Date of this source file
/// true if we're in live mode, false for backtesting mode
/// String URL of source file.
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
// this data is derived from map files and factor files in backtesting
return null;
}
///
/// Formats a string with the symbol and value.
///
/// string - a string formatted as SPY: 167.753
public override string ToString()
{
var type = Type == SplitType.Warning ? "Split Warning" : "Split";
return Invariant($"{type}: {Symbol}: {SplitFactor} | {ReferencePrice}");
}
///
/// Return a new instance clone of this object, used in fill forward
///
///
/// This base implementation uses reflection to copy all public fields and properties
///
/// A clone of the current object
public override BaseData Clone()
{
return new Split(Symbol, Time, Price, SplitFactor, Type);
}
}
}