public void ReadsFactorFileWithExponentialNotation()
{
// Source NEWL factor file at 2019-12-09
var lines = new[]
{
"19980102,0.8116779,1e+07",
"20051108,0.8116779,1e+07",
"20060217,0.8416761,1e+07",
"20060516,0.8644420,1e+07",
"20060814,0.8747766,1e+07",
"20061115,0.8901232,1e+07",
"20070314,0.9082148,1e+07",
"20070522,0.9166239,1e+07",
"20070814,0.9306799,1e+07",
"20071120,0.9534326,1e+07",
"20080520,0.9830510,1e+07",
"20100802,1.0000000,1e+07",
"20131016,1.0000000,1.11111e+06",
"20131205,1.0000000,75188",
"20140305,1.0000000,25000",
"20140514,1.0000000,2500",
"20140714,1.0000000,50",
"20501231,1.0000000,1"
};
var factorFile = PriceScalingExtensions.SafeRead("PermTick", lines, SecurityType.Equity);
Assert.AreEqual(5, factorFile.Count());
Assert.IsNotNull(factorFile.FactorFileMinimumDate);
Assert.AreEqual(new DateTime(2013, 12, 04), factorFile.FactorFileMinimumDate.Value);
}
public void ReadsOldFactorFileFormat()
{
var lines = new[]
{
"19980102,1.0000000,0.5",
"20130828,1.0000000,0.5",
"20501231,1.0000000,1"
};
var factorFile = PriceScalingExtensions.SafeRead("bno", lines, SecurityType.Equity) as CorporateFactorProvider;
var firstRow = factorFile.SortedFactorFileData[new DateTime(1998, 01, 02)].Single();
Assert.AreEqual(1m, firstRow.PriceFactor);
Assert.AreEqual(0.5m, firstRow.SplitFactor);
Assert.AreEqual(0m, firstRow.ReferencePrice);
var secondRow = factorFile.SortedFactorFileData[new DateTime(2013, 08, 28)].Single();
Assert.AreEqual(1m, secondRow.PriceFactor);
Assert.AreEqual(0.5m, secondRow.SplitFactor);
Assert.AreEqual(0m, firstRow.ReferencePrice);
var thirdRow = factorFile.SortedFactorFileData[Time.EndOfTime].Single();
Assert.AreEqual(1m, thirdRow.PriceFactor);
Assert.AreEqual(1m, thirdRow.SplitFactor);
Assert.AreEqual(0m, firstRow.ReferencePrice);
}
public void EmptyFactorFileReturnsEmptyListForSplitsAndDividends(string contents)
{
var lines = contents.Split('\n').Where(l => !string.IsNullOrWhiteSpace(l));
var factorFile = PriceScalingExtensions.SafeRead("bno", lines, SecurityType.Equity) as CorporateFactorProvider;
Assert.IsEmpty(factorFile.GetSplitsAndDividends(Symbols.SPY, SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork)));
}
public void ResolvesCorrectMostRecentFactorChangeDate()
{
var lines = new[]
{
"19980102,1.0000000,0.5",
"20130828,1.0000000,0.5",
"20501231,1.0000000,1"
};
var factorFile = PriceScalingExtensions.SafeRead("bno", lines, SecurityType.Equity) as CorporateFactorProvider;
Assert.AreEqual(new DateTime(2013, 08, 28), factorFile.MostRecentFactorChange);
}
public void HandlesUnknownDataMappingModes()
{
var lines = new[]
{
"{\"Date\":\"2010-01-28T00:00:00\",\"BackwardsRatioScale\":[1.1575],\"BackwardsPanamaCanalScale\":[7.06],\"ForwardPanamaCanalScale\":[0.0],\"DataMappingMode\":1}",
"{\"Date\":\"2010-02-25T00:00:00\",\"BackwardsRatioScale\":[1.1575],\"BackwardsPanamaCanalScale\":[7.06],\"ForwardPanamaCanalScale\":[0.0],\"DataMappingMode\":788}"
};
var factorFile = PriceScalingExtensions.SafeRead("cl", lines, SecurityType.Future) as MappingContractFactorProvider;
Assert.AreEqual(1, factorFile.Count());
Assert.AreEqual(DataMappingMode.FirstDayMonth, (factorFile.First() as MappingContractFactorRow).DataMappingMode);
}
public void ReadsFactorFileWithInfValues()
{
var lines = new[]
{
"19980102,1.0000000,inf",
"20151211,1.0000000,inf",
"20160330,1.0000000,2500",
"20160915,1.0000000,80",
"20501231,1.0000000,1"
};
DateTime?factorFileMinimumDate;
var factorFile = PriceScalingExtensions.SafeRead("PermTick", lines, SecurityType.Equity);
Assert.AreEqual(3, factorFile.Count());
Assert.IsNotNull(factorFile.FactorFileMinimumDate);
Assert.AreEqual(new DateTime(2016, 3, 29), factorFile.FactorFileMinimumDate.Value);
}