Martin-Molinero
91e8393aac
* DividedEventProvider distribution computation - Update regression algorithm which was using a different reference price when calculating the dividend - Adjust divided event provider to compute distribution using factor file reference price, if not 0. Adding unit tests - For equities, only emit auxiliary data points for TradeBar configurations, not for QuoteBars, nor internal. * Address reviews - Split and Dividend event provider will throw an exception when there is no reference price available. Updating `wm` factor file which was missing references price and regression algorithms using WM. - Updating unit tests asserting new exception
102 lines
3.8 KiB
C#
102 lines
3.8 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
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{
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/// <summary>
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/// Event provider who will emit <see cref="Split"/> events
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/// </summary>
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public class SplitEventProvider : ITradableDateEventProvider
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{
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// we set the split factor when we encounter a split in the factor file
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// and on the next trading day we use this data to produce the split instance
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private decimal? _splitFactor;
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private decimal _referencePrice;
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private FactorFile _factorFile;
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private MapFile _mapFile;
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private SubscriptionDataConfig _config;
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/// <summary>
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/// Initializes this instance
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/// </summary>
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/// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
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/// <param name="factorFile">The factor file to use</param>
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/// <param name="mapFile">The <see cref="MapFile"/> to use</param>
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/// <param name="startTime">Start date for the data request</param>
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public void Initialize(
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SubscriptionDataConfig config,
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FactorFile factorFile,
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MapFile mapFile,
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DateTime startTime)
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{
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_mapFile = mapFile;
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_factorFile = factorFile;
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_config = config;
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}
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/// <summary>
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/// Check for new splits
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/// </summary>
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/// <param name="eventArgs">The new tradable day event arguments</param>
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/// <returns>New split event if any</returns>
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public IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
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{
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if (_config.Symbol == eventArgs.Symbol
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&& _mapFile.HasData(eventArgs.Date))
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{
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var factor = _splitFactor;
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if (factor != null)
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{
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var close = _referencePrice;
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if (close == 0)
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{
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throw new InvalidOperationException($"Zero reference price for {_config.Symbol} split at {eventArgs.Date}");
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}
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_splitFactor = null;
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_referencePrice = 0;
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yield return new Split(
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eventArgs.Symbol,
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eventArgs.Date,
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close,
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factor.Value,
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SplitType.SplitOccurred);
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}
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decimal splitFactor;
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decimal referencePrice;
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if (_factorFile.HasSplitEventOnNextTradingDay(eventArgs.Date, out splitFactor, out referencePrice))
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{
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_splitFactor = splitFactor;
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_referencePrice = referencePrice;
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yield return new Split(
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eventArgs.Symbol,
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eventArgs.Date,
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eventArgs.LastRawPrice ?? 0,
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splitFactor,
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SplitType.Warning);
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}
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}
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}
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}
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}
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