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
@@ -0,0 +1,118 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Util;
+using QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Data.Auxiliary;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+    /// <summary>
+    /// Event provider who will emit <see cref="Delisting"/> events
+    /// </summary>
+    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 IMapFileProvider _mapFileProvider;
+
+        /// <summary>
+        /// The delisting date
+        /// </summary>
+        protected ReferenceWrapper<DateTime> DelistingDate { get; set; }
+
+        /// <summary>
+        /// The current instance being used
+        /// </summary>
+        protected MapFile MapFile { get; private set; }
+
+        /// <summary>
+        /// The associated configuration
+        /// </summary>
+        protected SubscriptionDataConfig Config { get; private set; }
+
+        /// <summary>
+        /// Initializes this instance
+        /// </summary>
+        /// <param name="config">The <see cref="SubscriptionDataConfig"/></param>
+        /// <param name="factorFileProvider">The factor file provider to use</param>
+        /// <param name="mapFileProvider">The <see cref="Data.Auxiliary.MapFile"/> provider to use</param>
+        /// <param name="startTime">Start date for the data request</param>
+        public virtual void Initialize(
+            SubscriptionDataConfig config,
+            IFactorFileProvider factorFileProvider,
+            IMapFileProvider mapFileProvider,
+            DateTime startTime)
+        {
+            Config = config;
+            _mapFileProvider = mapFileProvider;
+
+            InitializeMapFile();
+        }
+
+        /// <summary>
+        /// Check for delistings
+        /// </summary>
+        /// <param name="eventArgs">The new tradable day event arguments</param>
+        /// <returns>New delisting event if any</returns>
+        public virtual IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
+        {
+            if (Config.Symbol == eventArgs.Symbol)
+            {
+                // we send the delisting warning when we reach the delisting date, here we make sure we compare using the date component
+                // of the delisting date since for example some futures can trade a few hours in their delisting date, else we would skip on
+                // emitting the delisting warning, which triggers us to handle liquidation once delisted
+                if (!_delistedWarning && eventArgs.Date >= DelistingDate.Value.Date)
+                {
+                    _delistedWarning = true;
+                    var price = eventArgs.LastBaseData?.Price ?? 0;
+                    yield return new Delisting(
+                        eventArgs.Symbol,
+                        DelistingDate.Value.Date,
+                        price,
+                        DelistingType.Warning);
+                }
+                if (!_delisted && eventArgs.Date > DelistingDate.Value)
+                {
+                    _delisted = true;
+                    var price = eventArgs.LastBaseData?.Price ?? 0;
+                    // delisted at EOD
+                    yield return new Delisting(
+                        eventArgs.Symbol,
+                        DelistingDate.Value.AddDays(1),
+                        price,
+                        DelistingType.Delisted);
+                }
+            }
+        }
+
+        /// <summary>
+        /// Initializes the factor file to use
+        /// </summary>
+        protected void InitializeMapFile()
+        {
+            MapFile = _mapFileProvider.ResolveMapFile(Config);
+            DelistingDate = new ReferenceWrapper<DateTime>(Config.Symbol.GetDelistingDate(MapFile));
+        }
+    }
+}