/* * 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; } } }