/*
* 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));
}
}
}