/// <summary>
/// Applies the split to the specified order ticket
/// </summary>
/// <remarks>
/// This default implementation will update the orders to maintain a similar market value
/// </remarks>
/// <param name="tickets">The open tickets matching the split event</param>
/// <param name="split">The split event data</param>
public virtual void ApplySplit(List<OrderTicket> tickets, Split split)
{
// by default we'll just update the orders to have the same notional value
var splitFactor = split.SplitFactor;
tickets.ForEach(ticket => ticket.Update(new UpdateOrderFields
{
Quantity = (int?) (ticket.Quantity/splitFactor),
LimitPrice = ticket.OrderType.IsLimitOrder() ? ticket.Get(OrderField.LimitPrice)*splitFactor : (decimal?) null,
StopPrice = ticket.OrderType.IsStopOrder() ? ticket.Get(OrderField.StopPrice)*splitFactor : (decimal?) null
}));
}
public IntraDayDividendSplit(Split split, Dividend dividend)
{
if (split == null)
throw new ArgumentNullException("split");
if (dividend == null)
throw new ArgumentNullException("dividend");
Split = split;
Dividend = dividend;
Time = Split.Time;
}
/// <summary>
/// Applies the split to the specified order ticket
/// </summary>
/// <param name="tickets">The open tickets matching the split event</param>
/// <param name="split">The split event data</param>
public override void ApplySplit(List<OrderTicket> tickets, Split split)
{
// tradier cancels reverse splits
var splitFactor = split.SplitFactor;
if (splitFactor > 1.0m)
{
tickets.ForEach(ticket => ticket.Cancel("Tradier Brokerage cancels open orders on reverse split symbols"));
}
else
{
base.ApplySplit(tickets, split);
}
}
private void OnLevel1FundamentalEvent(object sender, Level1FundamentalEventArgs e)
{
// handle split data, they're only valid today, they'll show up around 4:45am EST
if (e.SplitDate1.Date == DateTime.Today && DateTime.Now.TimeOfDay.TotalHours <= 8) // they will always be sent premarket
{
// get the last price, if it doesn't exist then we'll just issue the split claiming the price was zero
// this should (ideally) never happen, but sending this without the price is much better then not sending
// it at all
double referencePrice;
_prices.TryGetValue(e.Symbol, out referencePrice);
var sid = SecurityIdentifier.GenerateEquity(e.Symbol, Market.USA);
var split = new Split(new Symbol(sid, e.Symbol), FeedTime, (decimal) referencePrice, (decimal) e.SplitFactor1);
_dataQueue.Add(split);
}
}