/*
* 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 System.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
{
///
/// Event provider who will emit events
///
public class SplitEventProvider : ITradableDateEventProvider
{
// we set the split factor when we encounter a split in the factor file
// and on the next trading day we use this data to produce the split instance
private decimal? _splitFactor;
private decimal _referencePrice;
private IFactorFileProvider _factorFileProvider;
private MapFile _mapFile;
///
/// The current instance being used
///
protected CorporateFactorProvider FactorFile { 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 void Initialize(
SubscriptionDataConfig config,
IFactorFileProvider factorFileProvider,
IMapFileProvider mapFileProvider,
DateTime startTime)
{
Config = config;
_factorFileProvider = factorFileProvider;
_mapFile = mapFileProvider.ResolveMapFile(Config);
InitializeFactorFile();
}
///
/// Check for new splits
///
/// The new tradable day event arguments
/// New split event if any
public virtual IEnumerable GetEvents(NewTradableDateEventArgs eventArgs)
{
if (Config.Symbol == eventArgs.Symbol
&& FactorFile != null
&& _mapFile.HasData(eventArgs.Date))
{
var factor = _splitFactor;
if (factor != null)
{
var close = _referencePrice;
if (close == 0)
{
throw new InvalidOperationException($"Zero reference price for {Config.Symbol} split at {eventArgs.Date}");
}
_splitFactor = null;
_referencePrice = 0;
yield return new Split(
eventArgs.Symbol,
eventArgs.Date,
close,
factor.Value,
SplitType.SplitOccurred);
}
decimal splitFactor;
decimal referencePrice;
if (FactorFile.HasSplitEventOnNextTradingDay(eventArgs.Date, out splitFactor, out referencePrice))
{
_splitFactor = splitFactor;
_referencePrice = referencePrice;
yield return new Split(
eventArgs.Symbol,
eventArgs.Date,
eventArgs.LastRawPrice ?? 0,
splitFactor,
SplitType.Warning);
}
}
}
///
/// Initializes the factor file to use
///
protected void InitializeFactorFile()
{
FactorFile = _factorFileProvider.Get(Config.Symbol) as CorporateFactorProvider;
}
}
}