chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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 Newtonsoft.Json;
+using ProtoBuf;
+using static QuantConnect.StringExtensions;
+
+namespace QuantConnect.Data.Market
+{
+    /// <summary>
+    /// Split event from a security
+    /// </summary>
+    [ProtoContract(SkipConstructor = true)]
+    public class Split : BaseData
+    {
+        /// <summary>
+        ///Gets the type of split event, warning or split.
+        /// </summary>
+        [JsonProperty]
+        [ProtoMember(10)]
+        public SplitType Type
+        {
+            get; private set;
+        }
+
+        /// <summary>
+        /// Gets the split factor
+        /// </summary>
+        [JsonProperty]
+        [ProtoMember(11)]
+        public decimal SplitFactor
+        {
+            get; set;
+        }
+
+        /// <summary>
+        /// Gets the price at which the split occurred
+        /// This is typically the previous day's closing price
+        /// </summary>
+        [ProtoMember(12)]
+        public decimal ReferencePrice
+        {
+            get { return Value; }
+            set { Value = value; }
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the Split class
+        /// </summary>
+        public Split()
+        {
+            Type = SplitType.SplitOccurred;
+            DataType = MarketDataType.Auxiliary;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the Split class
+        /// </summary>
+        /// <param name="symbol">The symbol</param>
+        /// <param name="date">The date</param>
+        /// <param name="price">The price at the time of the split</param>
+        /// <param name="splitFactor">The split factor to be applied to current holdings</param>
+        /// <param name="type">The type of split event, warning or split occurred</param>
+        public Split(Symbol symbol, DateTime date, decimal price, decimal splitFactor, SplitType type)
+             : this()
+        {
+            Type = type;
+            Time = date;
+            Symbol = symbol;
+            ReferencePrice = price;
+            SplitFactor = splitFactor;
+        }
+
+        /// <summary>
+        /// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
+        /// each time it is called.
+        /// </summary>
+        /// <param name="config">Subscription data config setup object</param>
+        /// <param name="line">Line of the source document</param>
+        /// <param name="date">Date of the requested data</param>
+        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
+        /// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
+        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+        {
+            // this is implemented in the SubscriptionDataReader.CheckForSplit
+            throw new NotImplementedException("This method is not supposed to be called on the Split type.");
+        }
+
+        /// <summary>
+        /// Return the URL string source of the file. This will be converted to a stream
+        /// </summary>
+        /// <param name="config">Configuration object</param>
+        /// <param name="date">Date of this source file</param>
+        /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
+        /// <returns>String URL of source file.</returns>
+        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+        {
+            // this data is derived from map files and factor files in backtesting
+            return null;
+        }
+
+        /// <summary>
+        /// Formats a string with the symbol and value.
+        /// </summary>
+        /// <returns>string - a string formatted as SPY: 167.753</returns>
+        public override string ToString()
+        {
+            var type = Type == SplitType.Warning ? "Split Warning" : "Split";
+            return Invariant($"{type}: {Symbol}: {SplitFactor} | {ReferencePrice}");
+        }
+
+        /// <summary>
+        /// Return a new instance clone of this object, used in fill forward
+        /// </summary>
+        /// <remarks>
+        /// This base implementation uses reflection to copy all public fields and properties
+        /// </remarks>
+        /// <returns>A clone of the current object</returns>
+        public override BaseData Clone()
+        {
+            return new Split(Symbol, Time, Price, SplitFactor, Type);
+        }
+    }
+}