chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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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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using QuantConnect.Data;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.Market;
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using System;
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using System.Collections.Generic;
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using System.Collections.ObjectModel;
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using System.IO;
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using System.IO.Compression;
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using System.Linq;
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namespace QuantConnect.ToolBox
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{
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/// <summary>
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/// Generates a factor file from a list of splits and dividends for a specified equity
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/// </summary>
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public class FactorFileGenerator
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{
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/// <summary>
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/// Data for this equity at daily resolution
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/// </summary>
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private readonly List<TradeBar> _dailyDataForEquity;
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/// <summary>
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/// The last date in the _dailyEquityData
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/// </summary>
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private readonly DateTime _lastDateFromEquityData;
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/// <summary>
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/// The symbol for which the factor file is being generated
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/// </summary>
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public Symbol Symbol { get; set; }
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/// <summary>
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/// Constructor for the FactorFileGenerator
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/// </summary>
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/// <param name="symbol">The equity for which the factor file respresents</param>
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/// <param name="pathForDailyEquityData">The path to the daily data for the specified equity</param>
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public FactorFileGenerator(Symbol symbol, string pathForDailyEquityData)
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{
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Symbol = symbol;
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_dailyDataForEquity = ReadDailyEquityData(pathForDailyEquityData);
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_lastDateFromEquityData = _dailyDataForEquity.Last().Time;
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}
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/// <summary>
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/// Create FactorFile instance
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/// </summary>
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/// <param name="dividendSplitList">List of Dividends and Splits</param>
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/// <returns><see cref="FactorFile"/> instance</returns>
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public CorporateFactorProvider CreateFactorFile(List<BaseData> dividendSplitList)
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{
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var orderedDividendSplitQueue = new Queue<BaseData>(
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CombineIntraDayDividendSplits(dividendSplitList)
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.OrderByDescending(x => x.Time));
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var factorFileRows = new List<CorporateFactorRow>
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{
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// First Factor Row is set far into the future and by definition has 1 for both price and split factors
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new CorporateFactorRow(
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Time.EndOfTime,
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priceFactor: 1,
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splitFactor: 1
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)
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};
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return RecursivlyGenerateFactorFile(orderedDividendSplitQueue, factorFileRows);
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}
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/// <summary>
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/// If dividend and split occur on the same day,
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/// combine them into IntraDayDividendSplit object
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/// </summary>
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/// <param name="splitDividendList">List of split and dividends</param>
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/// <returns>A list of splits, dividends with intraday split and dividends combined into <see cref="IntraDayDividendSplit"/></returns>
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private static List<BaseData> CombineIntraDayDividendSplits(List<BaseData> splitDividendList)
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{
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var splitDividendCollection = new Collection<BaseData>(splitDividendList);
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var dateKeysLookup = splitDividendCollection.GroupBy(x => x.Time)
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.OrderByDescending(x => x.Key)
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.Select(group => group)
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.ToList();
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var baseDataList = new List<BaseData>();
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foreach (var kvpLookup in dateKeysLookup)
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{
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if (kvpLookup.Count() > 1)
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{
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// Intraday dividend split found
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var dividend = kvpLookup.First(x => x.GetType() == typeof(Dividend)) as Dividend;
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var split = kvpLookup.First(x => x.GetType() == typeof(Split)) as Split;
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baseDataList.Add(new IntraDayDividendSplit(split, dividend));
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}
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else
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{
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baseDataList.Add(kvpLookup.First());
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}
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}
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return baseDataList;
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}
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/// <summary>
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/// Recursively generate a <see cref="FactorFile"/>
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/// </summary>
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/// <param name="orderedDividendSplits">Queue of dividends and splits ordered by date</param>
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/// <param name="factorFileRows">The list of factor file rows</param>
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/// <returns><see cref="FactorFile"/> instance</returns>
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private CorporateFactorProvider RecursivlyGenerateFactorFile(Queue<BaseData> orderedDividendSplits, List<CorporateFactorRow> factorFileRows)
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{
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// If there is no more dividends or splits, return
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if (!orderedDividendSplits.Any())
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{
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factorFileRows.Add(CreateLastFactorFileRow(factorFileRows, _dailyDataForEquity.Last().Close));
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return new CorporateFactorProvider(Symbol.ID.Symbol, factorFileRows);
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}
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var nextEvent = orderedDividendSplits.Dequeue();
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// If there is no more daily equity data to use, return
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if (_lastDateFromEquityData > nextEvent.Time)
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{
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decimal initialReferencePrice = 1;
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factorFileRows.Add(CreateLastFactorFileRow(factorFileRows, initialReferencePrice));
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return new CorporateFactorProvider(Symbol.ID.Symbol, factorFileRows);
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}
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var nextFactorFileRow = CalculateNextFactorFileRow(factorFileRows, nextEvent);
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if (nextFactorFileRow != null)
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factorFileRows.Add(nextFactorFileRow);
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return RecursivlyGenerateFactorFile(orderedDividendSplits, factorFileRows);
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}
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/// <summary>
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/// Create the last FileFactorRow.
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/// Represents the earliest date that the daily equity data contains.
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/// </summary>
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/// <param name="factorFileRows">The list of factor file rows</param>
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/// <returns><see cref="CorporateFactorRow"/></returns>
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private CorporateFactorRow CreateLastFactorFileRow(List<CorporateFactorRow> factorFileRows, decimal referencePrice)
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{
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return new CorporateFactorRow(
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_dailyDataForEquity.Last().Time.Date,
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factorFileRows.Last().PriceFactor,
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factorFileRows.Last().SplitFactor,
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referencePrice
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);
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}
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/// <summary>
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/// Calculates the next <see cref="CorporateFactorRow"/>
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/// </summary>
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/// <param name="factorFileRows">The current list of factorFileRows</param>
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/// <param name="nextEvent">The next dividend, split or intradayDividendSplit</param>
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/// <returns>A single factor file row</returns>
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private CorporateFactorRow CalculateNextFactorFileRow(List<CorporateFactorRow> factorFileRows, BaseData nextEvent)
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{
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CorporateFactorRow nextCorporateFactorRow;
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var t = nextEvent.GetType();
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switch (t.Name)
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{
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case "Dividend":
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nextCorporateFactorRow = CalculateNextDividendFactor(nextEvent, factorFileRows.Last());
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break;
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case "Split":
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nextCorporateFactorRow = CalculateNextSplitFactor(nextEvent, factorFileRows.Last());
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break;
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case "IntraDayDividendSplit":
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nextCorporateFactorRow = CalculateIntradayDividendSplit((IntraDayDividendSplit)nextEvent, factorFileRows.Last());
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break;
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default:
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throw new ArgumentException("Unhandled BaseData type for FactorFileGenerator.");
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}
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return nextCorporateFactorRow;
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}
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/// <summary>
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/// Generates the <see cref="CorporateFactorRow"/> that represents a intraday dividend split.
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/// Applies the dividend first.
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/// </summary>
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/// <param name="intraDayDividendSplit"><see cref="IntraDayDividendSplit"/> instance that holds the intraday dividend and split information</param>
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/// <param name="last">The last <see cref="CorporateFactorRow"/> generated recursivly</param>
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/// <returns><see cref="CorporateFactorRow"/> that represents an intraday dividend and split</returns>
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private CorporateFactorRow CalculateIntradayDividendSplit(IntraDayDividendSplit intraDayDividendSplit, CorporateFactorRow last)
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{
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var row = CalculateNextDividendFactor(intraDayDividendSplit.Dividend, last);
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return CalculateNextSplitFactor(intraDayDividendSplit.Split, row);
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}
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/// <summary>
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/// Calculates the price factor of a <see cref="Dividend"/>
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/// </summary>
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/// <param name="dividend">The next dividend</param>
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/// <param name="previousCorporateFactorRow">The previous <see cref="CorporateFactorRow"/> generated</param>
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/// <returns><see cref="CorporateFactorRow"/> that represents the dividend event</returns>
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private CorporateFactorRow CalculateNextDividendFactor(BaseData dividend, CorporateFactorRow previousCorporateFactorRow)
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{
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var eventDayData = GetDailyDataForDate(dividend.Time);
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// If you don't have the equity data nothing can be calculated
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if (eventDayData == null)
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{
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return null;
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}
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TradeBar previousClosingPrice = FindPreviousTradableDayClosingPrice(eventDayData.Time);
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// adjust the dividend for both price and split factors (!)
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var priceFactor = previousCorporateFactorRow.PriceFactor *
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(1 - dividend.Value * previousCorporateFactorRow.SplitFactor / previousClosingPrice.Close);
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return new CorporateFactorRow(
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previousClosingPrice.Time,
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priceFactor.RoundToSignificantDigits(7),
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previousCorporateFactorRow.SplitFactor,
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previousClosingPrice.Close
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);
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}
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/// <summary>
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/// Calculates the split factor of a <see cref="Split"/>
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/// </summary>
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/// <param name="split">The next <see cref="Split"/></param>
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/// <param name="previousCorporateFactorRow">The previous <see cref="CorporateFactorRow"/> generated</param>
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/// <returns><see cref="CorporateFactorRow"/> that represents the split event</returns>
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private CorporateFactorRow CalculateNextSplitFactor(BaseData split, CorporateFactorRow previousCorporateFactorRow)
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{
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var eventDayData = GetDailyDataForDate(split.Time);
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// If you don't have the equity data nothing can be done
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if (eventDayData == null)
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{
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return null;
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}
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TradeBar previousClosingPrice = FindPreviousTradableDayClosingPrice(eventDayData.Time);
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return new CorporateFactorRow(
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previousClosingPrice.Time,
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previousCorporateFactorRow.PriceFactor,
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(previousCorporateFactorRow.SplitFactor / split.Value).RoundToSignificantDigits(6),
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previousClosingPrice.Close
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);
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}
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/// <summary>
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/// Gets the data for a specified date
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/// </summary>
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/// <param name="date">The current specified date</param>
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/// <returns><see cref="TradeBar"/>representing that date</returns>
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private TradeBar GetDailyDataForDate(DateTime date)
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{
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return _dailyDataForEquity.FirstOrDefault(x => x.Time.Date == date.Date);
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}
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/// <summary>
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/// Gets the data for the previous tradable day
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/// </summary>
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/// <param name="date">The current specified date</param>
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/// <returns>The last tradeble days data</returns>
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private TradeBar FindPreviousTradableDayClosingPrice(DateTime date)
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{
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TradeBar previousDayData = null;
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var lastDateforData = _dailyDataForEquity.Last();
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while (previousDayData == null && date > lastDateforData.EndTime)
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{
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previousDayData = _dailyDataForEquity.FirstOrDefault(x => x.Time == date.AddDays(-1));
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date = date.AddDays(-1);
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}
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return previousDayData;
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}
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/// <summary>
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/// Read the daily equity date from file
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/// </summary>
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/// <param name="pathForDailyEquityData">Path the the daily data</param>
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/// <returns>A list of <see cref="TradeBar"/> read from file</returns>
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private static List<TradeBar> ReadDailyEquityData(string pathForDailyEquityData)
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{
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var dataReader = new LeanDataReader(pathForDailyEquityData);
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var bars = dataReader.Parse();
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return bars.OrderByDescending(x => x.Time)
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.Select(x => (TradeBar)x)
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.ToList();
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}
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/// <summary>
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/// Pairs split and dividend data into one type
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/// </summary>
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private class IntraDayDividendSplit : BaseData
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{
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public Split Split { get; }
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public Dividend Dividend { get; }
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public IntraDayDividendSplit(Split split, Dividend dividend)
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{
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if (split == null)
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{
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throw new ArgumentNullException(nameof(split));
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}
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if (dividend == null)
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{
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throw new ArgumentNullException(nameof(dividend));
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}
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Split = split;
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Dividend = dividend;
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Time = Split.Time;
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}
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}
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}
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}
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