/*
* 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;
}
}
}
}
}