/// <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)
{
if (!Portfolio.Invested)
{
SetHoldings(_googl, 1);
}
if (data.Bars.ContainsKey(_googl))
{
var googlData = data.Bars[_googl];
// Assert our volume matches what we expected
if (_expectedRawPrices.Current != googlData.Close)
{
// Our values don't match lets try and give a reason why
var dayFactor = _factorFile.GetPriceScaleFactor(googlData.Time);
var probableRawPrice = googlData.Close / dayFactor; // Undo adjustment
if (_expectedRawPrices.Current == probableRawPrice)
{
throw new Exception($"Close price was incorrect; it appears to be the adjusted value");
}
else
{
throw new Exception($"Close price was incorrect; Data may have changed.");
}
}
// Move to our next expected value
_expectedRawPrices.MoveNext();
}
}
private static decimal GetScaleFactor(FactorFile factorFile, DataNormalizationMode mode, DateTime date)
{
switch (mode)
{
case DataNormalizationMode.Raw:
return(1);
case DataNormalizationMode.TotalReturn:
case DataNormalizationMode.SplitAdjusted:
return(factorFile.GetSplitFactor(date));
case DataNormalizationMode.Adjusted:
return(factorFile.GetPriceScaleFactor(date));
default:
throw new ArgumentOutOfRangeException();
}
}
/// <summary>
/// For backwards adjusted data the price is adjusted by a scale factor which is a combination of splits and dividends.
/// This backwards adjusted price is used by default and fed as the current price.
/// </summary>
/// <param name="date">Current date of the backtest.</param>
private void UpdateScaleFactors(DateTime date)
{
switch (_config.DataNormalizationMode)
{
case DataNormalizationMode.Raw:
return;
case DataNormalizationMode.TotalReturn:
case DataNormalizationMode.SplitAdjusted:
_config.PriceScaleFactor = _factorFile.GetSplitFactor(date);
break;
case DataNormalizationMode.Adjusted:
_config.PriceScaleFactor = _factorFile.GetPriceScaleFactor(date);
break;
default:
throw new ArgumentOutOfRangeException();
}
}
