/* * 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); } } } } }