/* * 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.Collections.Generic; using QuantConnect.Data; using QuantConnect.Data.Auxiliary; using QuantConnect.Data.Market; namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators { /// /// Event provider who will emit events /// public class MappingEventProvider : ITradableDateEventProvider { private MapFile _mapFile; private SubscriptionDataConfig _config; /// /// Initializes this instance /// /// The /// The factor file to use /// The to use public void Initialize( SubscriptionDataConfig config, FactorFile factorFile, MapFile mapFile) { _mapFile = mapFile; _config = config; } /// /// Check for new mappings /// /// The new tradable day event arguments /// New mapping event if any public IEnumerable GetEvents(NewTradableDateEventArgs eventArgs) { if (_config.Symbol == eventArgs.Symbol && _mapFile.HasData(eventArgs.Date)) { // check to see if the symbol was remapped var newSymbol = _mapFile.GetMappedSymbol(eventArgs.Date, _config.MappedSymbol); if (newSymbol != _config.MappedSymbol) { var changed = new SymbolChangedEvent( _config.Symbol, eventArgs.Date, _config.MappedSymbol, newSymbol); _config.MappedSymbol = newSymbol; yield return changed; } } } } }