/// <summary>
/// Check for new splits
/// </summary>
/// <param name="eventArgs">The new tradable day event arguments</param>
/// <returns>New split event if any</returns>
public IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
if (_config.Symbol == eventArgs.Symbol &&
_mapFile.HasData(eventArgs.Date))
{
var factor = _splitFactor;
if (factor != null)
{
var close = AuxiliaryDataEnumerator.GetRawClose(
eventArgs.LastBaseData?.Price ?? 0,
_config);
_splitFactor = null;
yield return(new Split(
eventArgs.Symbol,
eventArgs.Date,
close,
factor.Value,
SplitType.SplitOccurred));
}
decimal splitFactor;
if (_factorFile.HasSplitEventOnNextTradingDay(eventArgs.Date, out splitFactor))
{
_splitFactor = splitFactor;
yield return(new Split(
eventArgs.Symbol,
eventArgs.Date,
AuxiliaryDataEnumerator.GetRawClose(
eventArgs.LastBaseData?.Price ?? 0,
_config),
splitFactor,
SplitType.Warning));
}
}
}
/// <summary>
/// Check for dividends and returns them
/// </summary>
/// <param name="eventArgs">The new tradable day event arguments</param>
/// <returns>New Dividend event if any</returns>
public IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
if (_config.Symbol == eventArgs.Symbol &&
_mapFile.HasData(eventArgs.Date))
{
if (_priceFactorRatio != null)
{
var close = AuxiliaryDataEnumerator.GetRawClose(
eventArgs.LastBaseData?.Price ?? 0,
_config);
var baseData = Dividend.Create(
_config.Symbol,
eventArgs.Date,
close,
_priceFactorRatio.Value
);
// let the config know about it for normalization
_config.SumOfDividends += baseData.Distribution;
_priceFactorRatio = null;
yield return(baseData);
}
// check the factor file to see if we have a dividend event tomorrow
decimal priceFactorRatio;
if (_factorFile.HasDividendEventOnNextTradingDay(eventArgs.Date, out priceFactorRatio))
{
_priceFactorRatio = priceFactorRatio;
}
}
}
/// <summary>
/// Check for delistings
/// </summary>
/// <param name="eventArgs">The new tradable day event arguments</param>
/// <returns>New delisting event if any</returns>
public IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
if (_config.Symbol == eventArgs.Symbol)
{
// we send the delisting warning when we reach the delisting date, here we make sure we compare using the date component
// of the delisting date since for example some futures can trade a few hours in their delisting date, else we would skip on
// emitting the delisting warning, which triggers us to handle liquidation once delisted
if (!_delistedWarning && eventArgs.Date >= _delistingDate.Date)
{
_delistedWarning = true;
var price = eventArgs.LastBaseData?.Price ?? 0;
yield return(new Delisting(
eventArgs.Symbol,
eventArgs.Date,
price,
DelistingType.Warning));
}
if (!_delisted && eventArgs.Date > _delistingDate)
{
_delisted = true;
var price = eventArgs.LastBaseData?.Price ?? 0;
// delisted at EOD
yield return(new Delisting(
eventArgs.Symbol,
_delistingDate.AddDays(1),
price,
DelistingType.Delisted));
}
}
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns> true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.</returns>
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created.</exception>
public bool MoveNext()
{
var currentDate = _timeProvider.GetUtcNow().ConvertFromUtc(_dataConfig.ExchangeTimeZone).Date;
if (currentDate != _lastTime)
{
// when the date changes for the security we trigger a new tradable date event
var newDayEvent = new NewTradableDateEventArgs(currentDate, _securityCache.GetData(), _dataConfig.Symbol, null);
foreach (var delistingEvent in _delistingEventProvider.GetEvents(newDayEvent))
{
_dataToEmit.Enqueue(delistingEvent);
}
// update last time
_lastTime = currentDate;
}
if (_dataToEmit.Count > 0)
{
// emit event if any
Current = _dataToEmit.Dequeue();
return(true);
}
Current = null;
return(false);
}
/// <summary>
/// Check for delistings
/// </summary>
/// <param name="eventArgs">The new tradable day event arguments</param>
/// <returns>New delisting event if any</returns>
public IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
if (_config.Symbol == eventArgs.Symbol)
{
if (!_delistedWarning && eventArgs.Date >= _delistingDate)
{
_delistedWarning = true;
var price = eventArgs.LastBaseData?.Price ?? 0;
yield return(new Delisting(
eventArgs.Symbol,
eventArgs.Date,
price,
DelistingType.Warning));
}
if (!_delisted && eventArgs.Date > _delistingDate)
{
_delisted = true;
var price = eventArgs.LastBaseData?.Price ?? 0;
// delisted at EOD
yield return(new Delisting(
eventArgs.Symbol,
_delistingDate.AddDays(1),
price,
DelistingType.Delisted));
}
}
}
public override IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
// refresh map file instance
InitializeMapFile();
return(base.GetEvents(eventArgs));
}
/// <summary>
/// Handle a new tradable date, drives the <see cref="ITradableDateEventProvider"/> instances
/// </summary>
protected void NewTradableDate(object sender, NewTradableDateEventArgs eventArgs)
{
Initialize();
for (var i = 0; i < _tradableDateEventProviders.Length; i++)
{
foreach (var newEvent in _tradableDateEventProviders[i].GetEvents(eventArgs))
{
_auxiliaryData.Enqueue(newEvent);
}
}
}
public override IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
var currentInstance = MapFile;
// refresh map file instance
InitializeMapFile();
var newInstance = MapFile;
Log.Trace($"LiveMappingEventProvider({Config}): new tradable date {eventArgs.Date}. " +
$"New MapFile: {!ReferenceEquals(currentInstance, newInstance)}. " +
$"MapFile.Count Old: {currentInstance?.Count()} New: {newInstance?.Count()}");
return(base.GetEvents(eventArgs));
}
public override bool MoveNext()
{
var currentDate = _timeProvider.GetUtcNow().ConvertFromUtc(Config.ExchangeTimeZone).Add(-Time.LiveAuxiliaryDataOffset).Date;
if (currentDate != _lastTime)
{
// when the date changes for the security we trigger a new tradable date event
var newDayEvent = new NewTradableDateEventArgs(currentDate, _securityCache.GetData(), Config.Symbol, null);
NewTradableDate(this, newDayEvent);
// update last time
_lastTime = currentDate;
}
return(base.MoveNext());
}
/// <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);
}
}
}
/// <summary>
/// Check for new splits
/// </summary>
/// <param name="eventArgs">The new tradable day event arguments</param>
/// <returns>New split event if any</returns>
public IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
if (_config.Symbol == eventArgs.Symbol &&
_factorFile != null &&
_mapFile.HasData(eventArgs.Date))
{
var factor = _splitFactor;
if (factor != null)
{
var close = _referencePrice;
if (close == 0)
{
throw new InvalidOperationException($"Zero reference price for {_config.Symbol} split at {eventArgs.Date}");
}
_splitFactor = null;
_referencePrice = 0;
yield return(new Split(
eventArgs.Symbol,
eventArgs.Date,
close,
factor.Value,
SplitType.SplitOccurred));
}
decimal splitFactor;
decimal referencePrice;
if (_factorFile.HasSplitEventOnNextTradingDay(eventArgs.Date, out splitFactor, out referencePrice))
{
_splitFactor = splitFactor;
_referencePrice = referencePrice;
yield return(new Split(
eventArgs.Symbol,
eventArgs.Date,
eventArgs.LastRawPrice ?? 0,
splitFactor,
SplitType.Warning));
}
}
}
/// <summary>
/// Check for dividends and returns them
/// </summary>
/// <param name="eventArgs">The new tradable day event arguments</param>
/// <returns>New Dividend event if any</returns>
public IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
if (_config.Symbol == eventArgs.Symbol &&
_factorFile != null &&
_mapFile.HasData(eventArgs.Date))
{
if (_priceFactorRatio != null)
{
if (_referencePrice == 0)
{
throw new InvalidOperationException($"Zero reference price for {_config.Symbol} dividend at {eventArgs.Date}");
}
var baseData = Dividend.Create(
_config.Symbol,
eventArgs.Date,
_referencePrice,
_priceFactorRatio.Value
);
// let the config know about it for normalization
_config.SumOfDividends += baseData.Distribution;
_priceFactorRatio = null;
_referencePrice = 0;
yield return(baseData);
}
// check the factor file to see if we have a dividend event tomorrow
decimal priceFactorRatio;
decimal referencePrice;
if (_factorFile.HasDividendEventOnNextTradingDay(eventArgs.Date, out priceFactorRatio, out referencePrice))
{
_priceFactorRatio = priceFactorRatio;
_referencePrice = referencePrice;
}
}
}
public IEnumerable <BaseData> GetEvents(NewTradableDateEventArgs eventArgs)
{
yield return(Data.Dequeue());
}
