wehub-resource-sync
58 lines
2.6 KiB
C#
58 lines
2.6 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.Linq;
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using QuantConnect.Data;
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using QuantConnect.Logging;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
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{
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/// <summary>
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/// Event provider who will emit <see cref="SymbolChangedEvent"/> events
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/// </summary>
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/// <remarks>Only special behavior is that it will refresh factor file on each new tradable date event</remarks>
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public class LiveSplitEventProvider : SplitEventProvider
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{
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/// <summary>
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/// Check for dividends and returns them
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/// </summary>
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/// <param name="eventArgs">The new tradable day event arguments</param>
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/// <returns>New Dividend event if any</returns>
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public override IEnumerable<BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
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{
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var currentInstance = FactorFile;
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// refresh factor file instance
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InitializeFactorFile();
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var newInstance = FactorFile;
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if(currentInstance?.Count() != newInstance?.Count())
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{
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// All future and option contracts sharing the same canonical symbol, share the same configuration too. Thus, in
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// order to reduce logs, we log the configuration using the canonical symbol. See the optional parameter
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// "overrideMessageFloodProtection" in Log.Trace() method for more information
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var symbol = Config.Symbol.HasCanonical() ? Config.Symbol.Canonical.Value : Config.Symbol.Value;
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Log.Trace($"LiveSplitEventProvider({Config.ToString(symbol)}): new tradable date {eventArgs.Date:yyyyMMdd}. " +
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$"New FactorFile: {!ReferenceEquals(currentInstance, newInstance)}. " +
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$"FactorFile.Count Old: {currentInstance?.Count()} New: {newInstance?.Count()}");
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}
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return base.GetEvents(eventArgs);
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}
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}
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}
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