/* * 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 QuantConnect.Data; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Data.Market; using System.Collections.Generic; using QuantConnect.Data.Auxiliary; namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators { /// /// Event provider who will emit events /// public class DelistingEventProvider : ITradableDateEventProvider { // we'll use these flags to denote we've already fired off the DelistingType.Warning // and a DelistedType.Delisted Delisting object, the _delistingType object is save here // since we need to wait for the next trading day before emitting private bool _delisted; private bool _delistedWarning; private IMapFileProvider _mapFileProvider; /// /// The delisting date /// protected ReferenceWrapper DelistingDate { get; set; } /// /// The current instance being used /// protected MapFile MapFile { get; private set; } /// /// The associated configuration /// protected SubscriptionDataConfig Config { get; private set; } /// /// Initializes this instance /// /// The /// The factor file provider to use /// The provider to use /// Start date for the data request public virtual void Initialize( SubscriptionDataConfig config, IFactorFileProvider factorFileProvider, IMapFileProvider mapFileProvider, DateTime startTime) { Config = config; _mapFileProvider = mapFileProvider; InitializeMapFile(); } /// /// Check for delistings /// /// The new tradable day event arguments /// New delisting event if any public virtual IEnumerable GetEvents(NewTradableDateEventArgs eventArgs) { if (Config.Symbol == eventArgs.Symbol) { // we send the delisting warning when we reach the delisting date, here we make sure we compare using the date component // of the delisting date since for example some futures can trade a few hours in their delisting date, else we would skip on // emitting the delisting warning, which triggers us to handle liquidation once delisted if (!_delistedWarning && eventArgs.Date >= DelistingDate.Value.Date) { _delistedWarning = true; var price = eventArgs.LastBaseData?.Price ?? 0; yield return new Delisting( eventArgs.Symbol, DelistingDate.Value.Date, price, DelistingType.Warning); } if (!_delisted && eventArgs.Date > DelistingDate.Value) { _delisted = true; var price = eventArgs.LastBaseData?.Price ?? 0; // delisted at EOD yield return new Delisting( eventArgs.Symbol, DelistingDate.Value.AddDays(1), price, DelistingType.Delisted); } } } /// /// Initializes the factor file to use /// protected void InitializeMapFile() { MapFile = _mapFileProvider.ResolveMapFile(Config); DelistingDate = new ReferenceWrapper(Config.Symbol.GetDelistingDate(MapFile)); } } }