/// <summary>
/// Parses the contents as a FactorFile, if error returns a new empty factor file
/// </summary>
public static IFactorProvider SafeRead(string permtick, IEnumerable <string> contents, SecurityType securityType)
{
try
{
DateTime?minimumDate;
contents = contents.Distinct();
if (securityType == SecurityType.Future)
{
return(new MappingContractFactorProvider(permtick, MappingContractFactorRow.Parse(contents, out minimumDate), 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 CorporateFactorProvider(permtick, CorporateFactorRow.Parse(contents, out minimumDate), minimumDate));
}
catch (Exception e)
{
if (securityType == SecurityType.Future)
{
return(new MappingContractFactorProvider(permtick, Enumerable.Empty <MappingContractFactorRow>()));
}
return(new CorporateFactorProvider(permtick, Enumerable.Empty <CorporateFactorRow>()));
}
}
/// <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="nextCorporateFactorRow">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(CorporateFactorRow nextCorporateFactorRow, Symbol symbol, SecurityExchangeHours exchangeHours)
{
if (nextCorporateFactorRow.SplitFactor == 0m)
{
throw new InvalidOperationException(Invariant(
$"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 / nextCorporateFactorRow.SplitFactor,
SplitType.SplitOccurred
));
}
/// <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="nextCorporateFactorRow">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>
/// <param name="decimalPlaces">The number of decimal places to round the dividend's distribution to, defaulting to 2</param>
/// <returns>A new dividend instance</returns>
public Dividend GetDividend(CorporateFactorRow nextCorporateFactorRow, Symbol symbol, SecurityExchangeHours exchangeHours, int decimalPlaces = 2)
{
if (nextCorporateFactorRow.PriceFactor == 0m)
{
throw new InvalidOperationException(Invariant(
$"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 / nextCorporateFactorRow.PriceFactor,
decimalPlaces
));
}
