wehub-resource-sync
55 lines
2.4 KiB
C#
55 lines
2.4 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.Linq;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Logging;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
|
|
{
|
|
/// <summary>
|
|
/// Delisting event provider implementation which will source the delisting date based on new map files
|
|
/// </summary>
|
|
public class LiveDelistingEventProvider : DelistingEventProvider
|
|
{
|
|
/// <summary>
|
|
/// Check for delistings
|
|
/// </summary>
|
|
/// <param name="eventArgs">The new tradable day event arguments</param>
|
|
/// <returns>New delisting event if any</returns>
|
|
public override IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
|
|
{
|
|
var currentInstance = MapFile;
|
|
// refresh map file instance
|
|
InitializeMapFile();
|
|
var newInstance = MapFile;
|
|
|
|
if (currentInstance?.LastOrDefault()?.Date != newInstance?.LastOrDefault()?.Date)
|
|
{
|
|
// All future and option contracts sharing the same canonical symbol, share the same configuration too. Thus, in
|
|
// order to reduce logs, we log the configuration using the canonical symbol. See the optional parameter
|
|
// "overrideMessageFloodProtection" in Log.Trace() method for more information
|
|
var symbol = Config.Symbol.HasCanonical() ? Config.Symbol.Canonical.Value : Config.Symbol.Value;
|
|
Log.Trace($"LiveDelistingEventProvider({Config.ToString(symbol)}): new tradable date {eventArgs.Date:yyyyMMdd}. " +
|
|
$"MapFile.LastDate Old: {currentInstance?.LastOrDefault()?.Date:yyyyMMdd} New: {newInstance?.LastOrDefault()?.Date:yyyyMMdd}");
|
|
}
|
|
|
|
return base.GetEvents(eventArgs);
|
|
}
|
|
}
|
|
}
|