/*
* 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.Securities.Option;
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 DateTime _delistingDate;
private SubscriptionDataConfig _config;
///
/// Initializes this instance
///
/// The
/// The factor file to use
/// The to use
public void Initialize(
SubscriptionDataConfig config,
FactorFile factorFile,
MapFile mapFile)
{
_config = config;
// Estimate delisting date.
switch (config.Symbol.ID.SecurityType)
{
case SecurityType.Future:
_delistingDate = config.Symbol.ID.Date;
break;
case SecurityType.Option:
_delistingDate = OptionSymbol.GetLastDayOfTrading(
config.Symbol);
break;
default:
_delistingDate = mapFile.DelistingDate;
break;
}
}
///
/// Check for delistings
///
/// The new tradable day event arguments
/// New delisting event if any
public IEnumerable GetEvents(NewTradableDateEventArgs eventArgs)
{
if (_config.Symbol == eventArgs.Symbol)
{
if (!_delistedWarning && eventArgs.Date >= _delistingDate)
{
_delistedWarning = true;
var price = eventArgs.LastBaseData?.Price ?? 0;
yield return new Delisting(
eventArgs.Symbol,
eventArgs.Date,
price,
DelistingType.Warning);
}
if (!_delisted && eventArgs.Date > _delistingDate)
{
_delisted = true;
var price = eventArgs.LastBaseData?.Price ?? 0;
// delisted at EOD
yield return new Delisting(
eventArgs.Symbol,
_delistingDate.AddDays(1),
price,
DelistingType.Delisted);
}
}
}
}
}