public void AppliesSplitWithPreviousTradingDateEqualToRowDate()
{
var row = new CorporateFactorRow(new DateTime(2018, 08, 23), 1m, 2m, 123m);
var dividend = new Split(Symbols.SPY, row.Date.AddDays(1), 123m, 2m, SplitType.SplitOccurred);
var updated = row.Apply(dividend, SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
Assert.AreEqual("20180823,1,4,123", updated.GetFileFormat());
}
public void ToCsv()
{
var row = new CorporateFactorRow(new DateTime(2000, 01, 01), 1m, 2m, 123m);
var actual = row.GetFileFormat("source");
var expected = "20000101,1,2,123,source";
Assert.AreEqual(expected, actual);
}
private static CorporateFactorProvider GetFactorFile_LODE20191127()
{
const string factorFileContents = @"
19980102,1,5,8.5,qq
20171109,1,5,0.12,qq
20501231,1,1,0,qq
";
DateTime? factorFileMinimumDate;
var reader = new StreamReader(factorFileContents.ToStream());
var enumerable = new StreamReaderEnumerable(reader).Where(line => line.Length > 0);
var factorFileRows = CorporateFactorRow.Parse(enumerable, out factorFileMinimumDate);
return(new CorporateFactorProvider("lode", factorFileRows, factorFileMinimumDate));
}
/// <summary>
/// Calculates the split factor of a <see cref="Split"/>
/// </summary>
/// <param name="split">The next <see cref="Split"/></param>
/// <param name="previousCorporateFactorRow">The previous <see cref="CorporateFactorRow"/> generated</param>
/// <returns><see cref="CorporateFactorRow"/> that represents the split event</returns>
private CorporateFactorRow CalculateNextSplitFactor(BaseData split, CorporateFactorRow previousCorporateFactorRow)
{
var eventDayData = GetDailyDataForDate(split.Time);
// If you don't have the equity data nothing can be done
if (eventDayData == null)
{
return(null);
}
TradeBar previousClosingPrice = FindPreviousTradableDayClosingPrice(eventDayData.Time);
return(new CorporateFactorRow(
previousClosingPrice.Time,
previousCorporateFactorRow.PriceFactor,
(previousCorporateFactorRow.SplitFactor / split.Value).RoundToSignificantDigits(6),
previousClosingPrice.Close
));
}
private static CorporateFactorProvider GetFactorFile_AAPL2018_05_11()
{
const string factorFileContents = @"
19980102,0.8893653,0.0357143,16.25
20000620,0.8893653,0.0357143,101
20050225,0.8893653,0.0714286,88.97
20120808,0.8893653,0.142857,619.85
20121106,0.8931837,0.142857,582.85
20130206,0.8972636,0.142857,457.285
20130508,0.9024937,0.142857,463.71
20130807,0.908469,0.142857,464.94
20131105,0.9144679,0.142857,525.58
20140205,0.9198056,0.142857,512.59
20140507,0.9253111,0.142857,592.34
20140606,0.9304792,0.142857,645.57
20140806,0.9304792,1,94.96
20141105,0.9351075,1,108.86
20150204,0.9391624,1,119.55
20150506,0.9428692,1,125.085
20150805,0.9468052,1,115.4
20151104,0.9510909,1,122.01
20160203,0.9551617,1,96.34
20160504,0.9603451,1,94.19
20160803,0.9661922,1,105.8
20161102,0.9714257,1,111.6
20170208,0.9764128,1,132.04
20170510,0.9806461,1,153.26
20170809,0.9846939,1,161.1
20171109,0.9885598,1,175.87
20180208,0.9921138,1,155.16
20180510,0.9961585,1,190.03
20501231,1,1,0
";
DateTime?factorFileMinimumDate;
var reader = new StreamReader(factorFileContents.ToStream());
var enumerable = new StreamReaderEnumerable(reader).Where(line => line.Length > 0);
var factorFileRows = CorporateFactorRow.Parse(enumerable, out factorFileMinimumDate);
return(new CorporateFactorProvider("aapl", factorFileRows, factorFileMinimumDate));
}
// AAPL experiences a 0.73 dividend distribution on 2018.05.11
private static CorporateFactorProvider GetFactorFile_AAPL2018_05_08()
{
const string factorFileContents = @"
19980102,0.8927948,0.0357143,16.25
20000620,0.8927948,0.0357143,101
20050225,0.8927948,0.0714286,88.97
20120808,0.8927948,0.142857,619.85
20121106,0.8966279,0.142857,582.85
20130206,0.9007235,0.142857,457.285
20130508,0.9059737,0.142857,463.71
20130807,0.9119721,0.142857,464.94
20131105,0.9179942,0.142857,525.58
20140205,0.9233525,0.142857,512.59
20140507,0.9288793,0.142857,592.34
20140606,0.9340673,0.142857,645.57
20140806,0.9340673,1,94.96
20141105,0.9387135,1,108.86
20150204,0.942784,1,119.55
20150506,0.9465051,1,125.085
20150805,0.9504563,1,115.4
20151104,0.9547586,1,122.01
20160203,0.9588451,1,96.34
20160504,0.9640485,1,94.19
20160803,0.9699181,1,105.8
20161102,0.9751718,1,111.6
20170208,0.9801781,1,132.04
20170510,0.9844278,1,153.26
20170809,0.9884911,1,161.1
20171109,0.992372,1,175.87
20180208,0.9959397,1,155.16
20501231,1,1,0
";
DateTime?factorFileMinimumDate;
var reader = new StreamReader(factorFileContents.ToStream());
var enumerable = new StreamReaderEnumerable(reader).Where(line => line.Length > 0);
var factorFileRows = CorporateFactorRow.Parse(enumerable, out factorFileMinimumDate);
return(new CorporateFactorProvider("aapl", factorFileRows, factorFileMinimumDate));
}
/// <summary>
/// Calculates the price factor of a <see cref="Dividend"/>
/// </summary>
/// <param name="dividend">The next dividend</param>
/// <param name="previousCorporateFactorRow">The previous <see cref="CorporateFactorRow"/> generated</param>
/// <returns><see cref="CorporateFactorRow"/> that represents the dividend event</returns>
private CorporateFactorRow CalculateNextDividendFactor(BaseData dividend, CorporateFactorRow previousCorporateFactorRow)
{
var eventDayData = GetDailyDataForDate(dividend.Time);
// If you don't have the equity data nothing can be calculated
if (eventDayData == null)
{
return(null);
}
TradeBar previousClosingPrice = FindPreviousTradableDayClosingPrice(eventDayData.Time);
// adjust the dividend for both price and split factors (!)
var priceFactor = previousCorporateFactorRow.PriceFactor *
(1 - dividend.Value * previousCorporateFactorRow.SplitFactor / previousClosingPrice.Close);
return(new CorporateFactorRow(
previousClosingPrice.Time,
priceFactor.RoundToSignificantDigits(7),
previousCorporateFactorRow.SplitFactor,
previousClosingPrice.Close
));
}
/// <summary>
/// Generates the <see cref="CorporateFactorRow"/> that represents a intraday dividend split.
/// Applies the dividend first.
/// </summary>
/// <param name="intraDayDividendSplit"><see cref="IntraDayDividendSplit"/> instance that holds the intraday dividend and split information</param>
/// <param name="last">The last <see cref="CorporateFactorRow"/> generated recursivly</param>
/// <returns><see cref="CorporateFactorRow"/> that represents an intraday dividend and split</returns>
private CorporateFactorRow CalculateIntradayDividendSplit(IntraDayDividendSplit intraDayDividendSplit, CorporateFactorRow last)
{
var row = CalculateNextDividendFactor(intraDayDividendSplit.Dividend, last);
return(CalculateNextSplitFactor(intraDayDividendSplit.Split, row));
}
