/// <summary>
/// Iterates the tradeable dates enumerator
/// </summary>
/// <param name="date">The next tradeable date</param>
/// <returns>True if we got a new date from the enumerator, false if it's exhausted, or in live mode if we're already at today</returns>
private bool TryGetNextDate(out DateTime date)
{
if (_isLiveMode && _tradeableDates.Current >= DateTime.Today)
{
// special behavior for live mode, don't advance past today
date = _tradeableDates.Current;
return(false);
}
while (_tradeableDates.MoveNext())
{
date = _tradeableDates.Current;
CheckForDelisting(date);
if (_delisted)
{
return(true);
}
if (!_mapFile.HasData(date))
{
continue;
}
// don't do other checks if we haven't goten data for this date yet
if (_previous != null && _previous.EndTime > _tradeableDates.Current)
{
continue;
}
// check for dividends and split for this security
CheckForDividend(date);
CheckForSplit(date);
// if we have factor files check to see if we need to update the scale factors
if (_hasScaleFactors)
{
// update our price scaling factors in light of the normalization mode
UpdateScaleFactors(date);
}
// check to see if the symbol was remapped
var newSymbol = _mapFile.GetMappedSymbol(date, _config.MappedSymbol);
if (newSymbol != _config.MappedSymbol)
{
var changed = new SymbolChangedEvent(_config.Symbol, date, _config.MappedSymbol, newSymbol);
_auxiliaryData.Enqueue(changed);
_config.MappedSymbol = newSymbol;
}
// we've passed initial checks,now go get data for this date!
return(true);
}
// no more tradeable dates, we've exhausted the enumerator
date = DateTime.MaxValue.Date;
return(false);
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
_dateTime = Time.Date;
if (!Portfolio.Invested)
{
SetHoldings("SPWR", 1);
}
foreach (var symbolChangedEvent in data.SymbolChangedEvents.Values)
{
_changedEvent = symbolChangedEvent;
Log($"{Time}: {symbolChangedEvent.OldSymbol} -> {symbolChangedEvent.NewSymbol}");
}
}
/// <summary>
/// Gets the history for the requested securities
/// </summary>
/// <param name="requests">The historical data requests</param>
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
public override IEnumerable <Slice> GetHistory(IEnumerable <HistoryRequest> requests, DateTimeZone sliceTimeZone)
{
List <Slice> result = new();
var slice1Date = new DateTime(2008, 01, 03, 5, 0, 0);
var slice2Date = new DateTime(2013, 06, 28, 13, 32, 0);
TradeBar tradeBar1 = new TradeBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
TradeBar tradeBar2 = new TradeBar {
Symbol = Symbols.AAPL, Time = DateTime.Now
};
var quoteBar1 = new QuoteBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var tick1 = new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var split1 = new Split(Symbols.SPY, DateTime.Now, 1, 1, SplitType.SplitOccurred);
var dividend1 = new Dividend(Symbols.SPY, DateTime.Now, 1, 1);
var delisting1 = new Delisting(Symbols.SPY, DateTime.Now, 1, DelistingType.Delisted);
var symbolChangedEvent1 = new SymbolChangedEvent(Symbols.SPY, DateTime.Now, "SPY", "SP");
Slice slice1 = new Slice(slice1Date, new BaseData[] { tradeBar1, tradeBar2,
quoteBar1, tick1, split1, dividend1, delisting1, symbolChangedEvent1 }, slice1Date);
TradeBar tradeBar3 = new TradeBar {
Symbol = Symbols.MSFT, Time = DateTime.Now
};
TradeBar tradeBar4 = new TradeBar {
Symbol = Symbols.SBIN, Time = DateTime.Now
};
var quoteBar2 = new QuoteBar {
Symbol = Symbols.SBIN, Time = DateTime.Now
};
var tick2 = new Tick(DateTime.Now, Symbols.SBIN, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var split2 = new Split(Symbols.SBIN, DateTime.Now, 1, 1, SplitType.SplitOccurred);
var dividend2 = new Dividend(Symbols.SBIN, DateTime.Now, 1, 1);
var delisting2 = new Delisting(Symbols.SBIN, DateTime.Now, 1, DelistingType.Delisted);
var symbolChangedEvent2 = new SymbolChangedEvent(Symbols.SBIN, DateTime.Now, "SBIN", "BIN");
Slice slice2 = new Slice(slice2Date, new BaseData[] { tradeBar3, tradeBar4,
quoteBar2, tick2, split2, dividend2, delisting2, symbolChangedEvent2 }, slice2Date);
result.Add(slice1);
result.Add(slice2);
return(result);
}
/// <summary>
/// Check for new mappings
/// </summary>
/// <param name="eventArgs">The new tradable day event arguments</param>
/// <returns>New mapping event if any</returns>
public IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
if (_config.Symbol == eventArgs.Symbol &&
_mapFile.HasData(eventArgs.Date))
{
// check to see if the symbol was remapped
var newSymbol = _mapFile.GetMappedSymbol(eventArgs.Date, _config.MappedSymbol);
if (newSymbol != _config.MappedSymbol)
{
var changed = new SymbolChangedEvent(
_config.Symbol,
eventArgs.Date,
_config.MappedSymbol,
newSymbol);
_config.MappedSymbol = newSymbol;
yield return(changed);
}
}
}
/// <summary>
/// Check for new mappings
/// </summary>
/// <param name="eventArgs">The new tradable day event arguments</param>
/// <returns>New mapping event if any</returns>
public virtual IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
if (Config.Symbol == eventArgs.Symbol &&
MapFile.HasData(eventArgs.Date))
{
var old = Config.MappedSymbol;
var newSymbol = MapFile.GetMappedSymbol(eventArgs.Date, Config.MappedSymbol);
Config.MappedSymbol = newSymbol;
// check to see if the symbol was remapped
if (old != Config.MappedSymbol)
{
var changed = new SymbolChangedEvent(
Config.Symbol,
eventArgs.Date,
old,
Config.MappedSymbol);
yield return(changed);
}
}
}