/// <summary>
/// Returns true if the specified date is the last trading day before a split event
/// is to be fired
/// </summary>
/// <remarks>
/// NOTE: The split event in the algorithm should be fired at the end or AFTER this
/// date. This is the date in the file that a factor is applied, so for example MSFT
/// has a split on 1999.03.29, but in the factor file the split factor is applied on
/// 1999.03.26, which is the first trading day BEFORE the actual split date.
/// </remarks>
public bool HasSplitEventOnNextTradingDay(DateTime date, out decimal splitFactor)
{
splitFactor = 1;
var index = SortedFactorFileData.IndexOfKey(date);
if (index > -1 && index < SortedFactorFileData.Count - 1)
{
// grab the next key to ensure it's a split event
var thisRow = SortedFactorFileData.Values[index];
var nextRow = SortedFactorFileData.Values[index + 1];
// if the split factors have changed then it's a split event
if (thisRow.SplitFactor != nextRow.SplitFactor)
{
splitFactor = thisRow.SplitFactor / nextRow.SplitFactor;
return(true);
}
}
return(false);
}
/// <summary>
/// Returns true if the specified date is the last trading day before a dividend event
/// is to be fired
/// </summary>
/// <remarks>
/// NOTE: The dividend event in the algorithm should be fired at the end or AFTER
/// this date. This is the date in the file that a factor is applied, so for example,
/// MSFT has a 31 cent dividend on 2015.02.17, but in the factor file the factor is applied
/// to 2015.02.13, which is the first trading day BEFORE the actual effective date.
/// </remarks>
/// <param name="date">The date to check the factor file for a dividend event</param>
/// <param name="priceFactorRatio">When this function returns true, this value will be populated
/// with the price factor ratio required to scale the closing value (pf_i/pf_i+1)</param>
public bool HasDividendEventOnNextTradingDay(DateTime date, out decimal priceFactorRatio)
{
priceFactorRatio = 0;
var index = SortedFactorFileData.IndexOfKey(date);
if (index > -1 && index < SortedFactorFileData.Count - 1)
{
// grab the next key to ensure it's a dividend event
var thisRow = SortedFactorFileData.Values[index];
var nextRow = SortedFactorFileData.Values[index + 1];
// if the price factors have changed then it's a dividend event
if (thisRow.PriceFactor != nextRow.PriceFactor)
{
priceFactorRatio = thisRow.PriceFactor / nextRow.PriceFactor;
return(true);
}
}
return(false);
}
