wehub-resource-sync
119 lines
4.6 KiB
C#
119 lines
4.6 KiB
C#
/*
|
|
* 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="Dividend"/> events
|
|
/// </summary>
|
|
public class DividendEventProvider : ITradableDateEventProvider
|
|
{
|
|
// we set the price factor ratio when we encounter a dividend in the factor file
|
|
// and on the next trading day we use this data to produce the dividend instance
|
|
private decimal? _priceFactorRatio;
|
|
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 dividends and returns them
|
|
/// </summary>
|
|
/// <param name="eventArgs">The new tradable day event arguments</param>
|
|
/// <returns>New Dividend event if any</returns>
|
|
public virtual IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
|
|
{
|
|
if (Config.Symbol == eventArgs.Symbol
|
|
&& FactorFile != null
|
|
&& _mapFile.HasData(eventArgs.Date))
|
|
{
|
|
if (_priceFactorRatio != null)
|
|
{
|
|
if (_referencePrice == 0)
|
|
{
|
|
throw new InvalidOperationException($"Zero reference price for {Config.Symbol} dividend at {eventArgs.Date}");
|
|
}
|
|
|
|
var baseData = Dividend.Create(
|
|
Config.Symbol,
|
|
eventArgs.Date,
|
|
_referencePrice,
|
|
_priceFactorRatio.Value
|
|
);
|
|
// let the config know about it for normalization
|
|
Config.SumOfDividends += baseData.Distribution;
|
|
_priceFactorRatio = null;
|
|
_referencePrice = 0;
|
|
|
|
yield return baseData;
|
|
}
|
|
|
|
// check the factor file to see if we have a dividend event tomorrow
|
|
decimal priceFactorRatio;
|
|
decimal referencePrice;
|
|
if (FactorFile.HasDividendEventOnNextTradingDay(eventArgs.Date, out priceFactorRatio, out referencePrice))
|
|
{
|
|
_priceFactorRatio = priceFactorRatio;
|
|
_referencePrice = referencePrice;
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes the factor file to use
|
|
/// </summary>
|
|
protected void InitializeFactorFile()
|
|
{
|
|
FactorFile = _factorFileProvider.Get(Config.Symbol) as CorporateFactorProvider;
|
|
}
|
|
}
|
|
}
|