wehub-resource-sync
100 lines
4.0 KiB
C#
100 lines
4.0 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.Linq;
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using System.Collections.Generic;
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namespace QuantConnect.Data.Auxiliary
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{
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/// <summary>
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/// Mapping related factor provider. Factors based on price differences on mapping dates
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/// </summary>
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public class MappingContractFactorProvider : FactorFile<MappingContractFactorRow>
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{
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/// <summary>
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///Creates a new instance
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/// </summary>
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public MappingContractFactorProvider(string permtick, IEnumerable<MappingContractFactorRow> data, DateTime? factorFileMinimumDate = null)
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: base(permtick, data, factorFileMinimumDate)
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{
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}
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/// <summary>
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/// Gets the price scale factor for the specified search date
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/// </summary>
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public override decimal GetPriceFactor(DateTime searchDate, DataNormalizationMode dataNormalizationMode, DataMappingMode? dataMappingMode = null, uint contractOffset = 0)
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{
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if (dataNormalizationMode == DataNormalizationMode.Raw)
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{
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return 0;
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}
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var factor = 1m;
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if (dataNormalizationMode is DataNormalizationMode.BackwardsPanamaCanal or DataNormalizationMode.ForwardPanamaCanal)
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{
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// default value depends on the data mode
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factor = 0;
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}
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for (var i = 0; i < ReversedFactorFileDates.Count; i++)
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{
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var factorDate = ReversedFactorFileDates[i];
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if (factorDate.Date < searchDate.Date)
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{
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break;
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}
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var factorFileRow = SortedFactorFileData[factorDate];
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switch (dataNormalizationMode)
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{
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case DataNormalizationMode.BackwardsRatio:
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{
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var row = factorFileRow.FirstOrDefault(row => row.DataMappingMode == dataMappingMode);
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if (row != null && row.BackwardsRatioScale.Count > contractOffset)
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{
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factor = row.BackwardsRatioScale[(int)contractOffset];
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}
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break;
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}
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case DataNormalizationMode.BackwardsPanamaCanal:
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{
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var row = factorFileRow.FirstOrDefault(row => row.DataMappingMode == dataMappingMode);
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if (row != null && row.BackwardsPanamaCanalScale.Count > contractOffset)
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{
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factor = row.BackwardsPanamaCanalScale[(int)contractOffset];
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}
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break;
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}
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case DataNormalizationMode.ForwardPanamaCanal:
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{
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var row = factorFileRow.FirstOrDefault(row => row.DataMappingMode == dataMappingMode);
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if (row != null && row.ForwardPanamaCanalScale.Count > contractOffset)
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{
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factor = row.ForwardPanamaCanalScale[(int)contractOffset];
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}
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break;
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}
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default:
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throw new ArgumentOutOfRangeException(nameof(dataNormalizationMode));
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}
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}
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return factor;
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}
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}
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}
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