/// <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);
// adjust the dividend for both price and split factors (!)
var priceFactor = previousFactorFileRow.PriceFactor - dividend.Value *
previousFactorFileRow.PriceFactor /
previousClosingPrice.Close /
previousFactorFileRow.SplitFactor;
return(new FactorFileRow(
previousClosingPrice.Time,
priceFactor.RoundToSignificantDigits(7),
previousFactorFileRow.SplitFactor,
previousClosingPrice.Close
));
}
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"
};
DateTime?factorFileMinimumDate;
var factorFile = FactorFileRow.Parse(lines, out factorFileMinimumDate).ToList();
Assert.AreEqual(5, factorFile.Count);
Assert.IsNotNull(factorFileMinimumDate);
Assert.AreEqual(new DateTime(2013, 12, 04), factorFileMinimumDate.Value);
}
public void AppliesSplitWithPreviousTradingDateEqualToRowDate()
{
var row = new FactorFileRow(new DateTime(2018, 08, 23), 1m, 2m, 123m);
var dividend = new Split(Symbols.SPY, row.Date.AddDays(1), 123m, 2m, SplitType.SplitOccurred);
var updated = row.Apply(dividend, SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
Assert.AreEqual("20180823,1,4,123", updated.ToCsv());
}
public void ToCsv()
{
var row = new FactorFileRow(new DateTime(2000, 01, 01), 1m, 2m, 123m);
var actual = row.ToCsv("source");
var expected = "20000101,1,2,123,source";
Assert.AreEqual(expected, actual);
}
private static FactorFile GetFactorFile_LODE20191127()
{
const string factorFileContents = @"
19980102,1,5,8.5,qq
20171109,1,5,0.12,qq
20501231,1,1,0,qq
";
DateTime? factorFileMinimumDate;
var reader = new StreamReader(factorFileContents.ToStream());
var enumerable = new StreamReaderEnumerable(reader).Where(line => line.Length > 0);
var factorFileRows = FactorFileRow.Parse(enumerable, out factorFileMinimumDate);
return(new FactorFile("lode", factorFileRows, factorFileMinimumDate));
}
public void FactorFiles_CanBeGenerated_Accurately()
{
// Arrange
var yahooEvents = _yahooDataDownloader.DownloadSplitAndDividendData(_symbol, Parse.DateTime("01/01/1970"), DateTime.MaxValue);
var filePath = LeanData.GenerateRelativeFactorFilePath(_symbol);
var tolerance = 0.00001m;
if (!File.Exists(filePath))
{
throw new ArgumentException("This test requires an already calculated factor file." +
"Try using one of the pre-existing factor files ");
}
var originalFactorFileInstance = FactorFile.Read(PermTick, Market);
// we limit events to the penultimate time in our factor file (last one is 2050)
var lastValidRow = originalFactorFileInstance.SortedFactorFileData.Reverse().Skip(1).First();
// Act
var newFactorFileInstance = _factorFileGenerator.CreateFactorFile(yahooEvents.Where(data => data.Time.AddDays(-1) <= lastValidRow.Key).ToList());
var earliestDate = originalFactorFileInstance.SortedFactorFileData.First().Key;
var latestDate = originalFactorFileInstance.SortedFactorFileData.Last().Key;
// Assert
Assert.AreEqual(originalFactorFileInstance.SortedFactorFileData.Count,
newFactorFileInstance.SortedFactorFileData.Count);
for (var i = earliestDate; i < latestDate; i = i.AddDays(1))
{
FactorFileRow expected = null;
FactorFileRow actual = null;
originalFactorFileInstance.SortedFactorFileData.TryGetValue(i, out expected);
newFactorFileInstance.SortedFactorFileData.TryGetValue(i, out actual);
if (expected == null || actual == null)
{
Assert.IsTrue(actual == null);
Assert.IsTrue(expected == null);
}
else
{
Assert.IsTrue(Math.Abs(expected.PriceFactor - actual.PriceFactor) < tolerance);
Assert.IsTrue(Math.Abs(expected.SplitFactor - actual.SplitFactor) < tolerance);
}
}
}
/// <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)
));
}
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 = FactorFileRow.Parse(lines, out factorFileMinimumDate).ToList();
Assert.AreEqual(3, factorFile.Count);
Assert.IsNotNull(factorFileMinimumDate);
Assert.AreEqual(new DateTime(2016, 3, 31), factorFileMinimumDate.Value);
}
private static FactorFile GetFactorFile_AAPL2018_05_11()
{
const string factorFileContents = @"
19980102,0.8893653,0.0357143,16.25
20000620,0.8893653,0.0357143,101
20050225,0.8893653,0.0714286,88.97
20120808,0.8893653,0.142857,619.85
20121106,0.8931837,0.142857,582.85
20130206,0.8972636,0.142857,457.285
20130508,0.9024937,0.142857,463.71
20130807,0.908469,0.142857,464.94
20131105,0.9144679,0.142857,525.58
20140205,0.9198056,0.142857,512.59
20140507,0.9253111,0.142857,592.34
20140606,0.9304792,0.142857,645.57
20140806,0.9304792,1,94.96
20141105,0.9351075,1,108.86
20150204,0.9391624,1,119.55
20150506,0.9428692,1,125.085
20150805,0.9468052,1,115.4
20151104,0.9510909,1,122.01
20160203,0.9551617,1,96.34
20160504,0.9603451,1,94.19
20160803,0.9661922,1,105.8
20161102,0.9714257,1,111.6
20170208,0.9764128,1,132.04
20170510,0.9806461,1,153.26
20170809,0.9846939,1,161.1
20171109,0.9885598,1,175.87
20180208,0.9921138,1,155.16
20180510,0.9961585,1,190.03
20501231,1,1,0
";
DateTime?factorFileMinimumDate;
var reader = new StreamReader(factorFileContents.ToStream());
var enumerable = new StreamReaderEnumerable(reader).Where(line => line.Length > 0);
var factorFileRows = FactorFileRow.Parse(enumerable, out factorFileMinimumDate);
return(new FactorFile("aapl", factorFileRows, factorFileMinimumDate));
}
// AAPL experiences a 0.73 dividend distribution on 2018.05.11
private static FactorFile GetFactorFile_AAPL2018_05_08()
{
const string factorFileContents = @"
19980102,0.8927948,0.0357143,16.25
20000620,0.8927948,0.0357143,101
20050225,0.8927948,0.0714286,88.97
20120808,0.8927948,0.142857,619.85
20121106,0.8966279,0.142857,582.85
20130206,0.9007235,0.142857,457.285
20130508,0.9059737,0.142857,463.71
20130807,0.9119721,0.142857,464.94
20131105,0.9179942,0.142857,525.58
20140205,0.9233525,0.142857,512.59
20140507,0.9288793,0.142857,592.34
20140606,0.9340673,0.142857,645.57
20140806,0.9340673,1,94.96
20141105,0.9387135,1,108.86
20150204,0.942784,1,119.55
20150506,0.9465051,1,125.085
20150805,0.9504563,1,115.4
20151104,0.9547586,1,122.01
20160203,0.9588451,1,96.34
20160504,0.9640485,1,94.19
20160803,0.9699181,1,105.8
20161102,0.9751718,1,111.6
20170208,0.9801781,1,132.04
20170510,0.9844278,1,153.26
20170809,0.9884911,1,161.1
20171109,0.992372,1,175.87
20180208,0.9959397,1,155.16
20501231,1,1,0
";
DateTime?factorFileMinimumDate;
var reader = new StreamReader(factorFileContents.ToStream());
var enumerable = new StreamReaderEnumerable(reader).Where(line => line.Length > 0);
var factorFileRows = FactorFileRow.Parse(enumerable, out factorFileMinimumDate);
return(new FactorFile("aapl", factorFileRows, factorFileMinimumDate));
}
/// <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));
}
