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 System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Auxiliary;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+    /// <summary>
+    /// Event provider who will emit <see cref="Split"/> events
+    /// </summary>
+    public class SplitEventProvider : ITradableDateEventProvider
+    {
+        // we set the split factor when we encounter a split in the factor file
+        // and on the next trading day we use this data to produce the split instance
+        private decimal? _splitFactor;
+        private decimal _referencePrice;
+        private IFactorFileProvider _factorFileProvider;
+        private MapFile _mapFile;
+
+        /// <summary>
+        /// The current instance being used
+        /// </summary>
+        protected CorporateFactorProvider FactorFile { 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 void Initialize(
+            SubscriptionDataConfig config,
+            IFactorFileProvider factorFileProvider,
+            IMapFileProvider mapFileProvider,
+            DateTime startTime)
+        {
+            Config = config;
+            _factorFileProvider = factorFileProvider;
+            _mapFile = mapFileProvider.ResolveMapFile(Config);
+            InitializeFactorFile();
+        }
+
+        /// <summary>
+        /// Check for new splits
+        /// </summary>
+        /// <param name="eventArgs">The new tradable day event arguments</param>
+        /// <returns>New split event if any</returns>
+        public virtual IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
+        {
+            if (Config.Symbol == eventArgs.Symbol
+                && FactorFile != null
+                && _mapFile.HasData(eventArgs.Date))
+            {
+                var factor = _splitFactor;
+                if (factor != null)
+                {
+                    var close = _referencePrice;
+                    if (close == 0)
+                    {
+                        throw new InvalidOperationException($"Zero reference price for {Config.Symbol} split at {eventArgs.Date}");
+                    }
+
+                    _splitFactor = null;
+                    _referencePrice = 0;
+                    yield return new Split(
+                        eventArgs.Symbol,
+                        eventArgs.Date,
+                        close,
+                        factor.Value,
+                        SplitType.SplitOccurred);
+                }
+
+                decimal splitFactor;
+                decimal referencePrice;
+                if (FactorFile.HasSplitEventOnNextTradingDay(eventArgs.Date, out splitFactor, out referencePrice))
+                {
+                    _splitFactor = splitFactor;
+                    _referencePrice = referencePrice;
+                    yield return new Split(
+                        eventArgs.Symbol,
+                        eventArgs.Date,
+                        eventArgs.LastRawPrice ?? 0,
+                        splitFactor,
+                        SplitType.Warning);
+                }
+            }
+        }
+
+        /// <summary>
+        /// Initializes the factor file to use
+        /// </summary>
+        protected void InitializeFactorFile()
+        {
+            FactorFile = _factorFileProvider.Get(Config.Symbol) as CorporateFactorProvider;
+        }
+    }
+}