/// <summary>
/// Reads in the factor file for the specified equity symbol
/// </summary>
public static IEnumerable <FactorFileRow> Read(string permtick, string market, out DateTime?factorFileMinimumDate)
{
factorFileMinimumDate = null;
var path = Path.Combine(Globals.DataFolder, "equity", market, "factor_files", permtick.ToLower() + ".csv");
var lines = File.ReadAllLines(path).Where(l => !string.IsNullOrWhiteSpace(l));
var hasInfEntry = false;
var rows = new List <FactorFileRow>();
// parse factor file lines
foreach (var line in lines)
{
if (line.Contains("inf"))
{
hasInfEntry = true;
continue;
}
var row = Parse(line);
if (hasInfEntry && rows.Count == 0)
{
// special handling for INF values: set minimum date
factorFileMinimumDate = row.Date.AddDays(1);
row = new FactorFileRow(row.Date.AddDays(-1), row.PriceFactor, row.SplitFactor);
}
rows.Add(row);
}
return(rows);
}
/// <summary>
/// Parses the contents as a FactorFile, if error returns a new empty factor file
/// </summary>
public static FactorFile SafeRead(string filename, IEnumerable <string> contents)
{
var permtick = Path.GetFileNameWithoutExtension(filename);
try
{
DateTime?minimumDate;
// FactorFileRow.Parse handles entries with 'inf' and exponential notation and provides the associated minimum tradeable date for these cases
// previously these cases were not handled causing an exception and returning an empty factor file
return(new FactorFile(permtick, FactorFileRow.Parse(contents, out minimumDate), minimumDate));
}
catch
{
return(new FactorFile(permtick, Enumerable.Empty <FactorFileRow>()));
}
}
/// <summary>
/// Gets price and split factors to be applied at the specified date
/// </summary>
public FactorFileRow GetScalingFactors(DateTime searchDate)
{
var factors = new FactorFileRow(searchDate, 1m, 1m);
// Iterate backwards to find the most recent factors
foreach (var splitDate in SortedFactorFileData.Keys.Reverse())
{
if (splitDate.Date < searchDate.Date)
{
break;
}
factors = SortedFactorFileData[splitDate];
}
return(factors);
}
/// <summary>
/// Creates a new dividend from this factor file row and the one chronologically in front of it
/// This dividend may have a distribution of zero if this row doesn't represent a dividend
/// </summary>
/// <param name="futureFactorFileRow">The next factor file row in time</param>
/// <param name="symbol">The symbol to use for the dividend</param>
/// <param name="exchangeHours">Exchange hours used for resolving the previous trading day</param>
/// <returns>A new dividend instance</returns>
public Dividend GetDividend(FactorFileRow futureFactorFileRow, Symbol symbol, SecurityExchangeHours exchangeHours)
{
if (futureFactorFileRow.PriceFactor == 0m)
{
throw new InvalidOperationException($"Unable to resolve dividend for '{symbol.ID}' at {Date:yyyy-MM-dd}. Price factor is zero.");
}
// find previous trading day
var previousTradingDay = exchangeHours.GetNextTradingDay(Date);
return(Dividend.Create(
symbol,
previousTradingDay,
ReferencePrice,
PriceFactor / futureFactorFileRow.PriceFactor
));
}
/// <summary>
/// Creates a new split from this factor file row and the one chronologically in front of it
/// This split may have a split factor of one if this row doesn't represent a split
/// </summary>
/// <param name="futureFactorFileRow">The next factor file row in time</param>
/// <param name="symbol">The symbol to use for the split</param>
/// <param name="exchangeHours">Exchange hours used for resolving the previous trading day</param>
/// <returns>A new split instance</returns>
public Split GetSplit(FactorFileRow futureFactorFileRow, Symbol symbol, SecurityExchangeHours exchangeHours)
{
if (futureFactorFileRow.SplitFactor == 0m)
{
throw new InvalidOperationException($"Unable to resolve split for '{symbol.ID}' at {Date:yyyy-MM-dd}. Split factor is zero.");
}
// find previous trading day
var previousTradingDay = exchangeHours.GetNextTradingDay(Date);
return(new Split(
symbol,
previousTradingDay,
ReferencePrice,
SplitFactor / futureFactorFileRow.SplitFactor,
SplitType.SplitOccurred
));
}
/// <summary>
/// Parses the lines as factor files rows while properly handling inf entries
/// </summary>
/// <param name="lines">The lines from the factor file to be parsed</param>
/// <param name="factorFileMinimumDate">The minimum date from the factor file</param>
/// <returns>An enumerable of factor file rows</returns>
public static List <FactorFileRow> Parse(IEnumerable <string> lines, out DateTime?factorFileMinimumDate)
{
var hasInfEntry = false;
factorFileMinimumDate = null;
var rows = new List <FactorFileRow>();
// parse factor file lines
foreach (var line in lines)
{
if (line.Contains("inf"))
{
hasInfEntry = true;
continue;
}
var row = Parse(line);
if (hasInfEntry && rows.Count == 0)
{
// special handling for INF values: set minimum date
factorFileMinimumDate = row.Date.AddDays(1);
row = new FactorFileRow(row.Date.AddDays(-1), row.PriceFactor, row.SplitFactor, row.ReferencePrice);
}
// ignore zero factor rows
if (row.PriceScaleFactor > 0)
{
rows.Add(row);
}
}
if (factorFileMinimumDate == null && rows.Count > 0)
{
factorFileMinimumDate = rows.Min(ffr => ffr.Date).AddDays(-1);
}
return(rows);
}
/// <summary>
/// Reads a FactorFile in from the <see cref="Globals.DataFolder"/>.
/// </summary>
public static FactorFile Read(string permtick, string market)
{
return(new FactorFile(permtick, FactorFileRow.Read(permtick, market)));
}
/// <summary>
/// Reads a FactorFile in from the <see cref="Globals.DataFolder"/>.
/// </summary>
public static FactorFile Read(string permtick, string market)
{
DateTime?factorFileMinimumDate;
return(new FactorFile(permtick, FactorFileRow.Read(permtick, market, out factorFileMinimumDate), factorFileMinimumDate));
}
/// <summary>
/// Calculates the split factor of a <see cref="Split"/>
/// </summary>
/// <param name="split">The next <see cref="Split"/></param>
/// <param name="previousFactorFileRow">The previous <see cref="FactorFileRow"/> generated</param>
/// <returns><see cref="FactorFileRow"/> that represents the split event</returns>
private FactorFileRow CalculateNextSplitFactor(BaseData split, FactorFileRow previousFactorFileRow)
{
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 FactorFileRow(
previousClosingPrice.Time,
previousFactorFileRow.PriceFactor,
(previousFactorFileRow.SplitFactor * split.Value).RoundToSignificantDigits(6)
);
}
/// <summary>
/// Calculates the price factor of a <see cref="Dividend"/>
/// </summary>
/// <param name="dividend">The next dividend</param>
/// <param name="previousFactorFileRow">The previous <see cref="FactorFileRow"/> generated</param>
/// <returns><see cref="FactorFileRow"/> that represents the dividend event</returns>
private FactorFileRow CalculateNextDividendFactor(BaseData dividend, FactorFileRow previousFactorFileRow)
{
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);
var priceFactor = previousFactorFileRow.PriceFactor - (dividend.Value / ((previousClosingPrice.Close) * previousFactorFileRow.SplitFactor));
return new FactorFileRow(previousClosingPrice.Time, priceFactor.RoundToSignificantDigits(7), previousFactorFileRow.SplitFactor);
}
/// <summary>
/// Generates the <see cref="FactorFileRow"/> 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="FactorFileRow"/> generated recursivly</param>
/// <returns><see cref="FactorFileRow"/> that represents an intraday dividend and split</returns>
private FactorFileRow CalculateIntradayDividendSplit(IntraDayDividendSplit intraDayDividendSplit, FactorFileRow last)
{
var row = CalculateNextDividendFactor(intraDayDividendSplit.Dividend, last);
return CalculateNextSplitFactor(intraDayDividendSplit.Split, row);
}
