CorporateFactorProvider

QuantConnect.Data.Auxiliary.CorporateFactorProvider

CorporateFactorProvider(
    permtick: str,
    data: List[CorporateFactorRow],
    factor_file_minimum_date: Optional[datetime] = None,
)

Bases: FactorFile[CorporateFactorRow]

Corporate related factor provider. Factors based on splits and dividends

Creates a new instance

permtick

permtick: str

Gets the symbol this factor file represents

factor_file_minimum_date

factor_file_minimum_date: Optional[datetime]

The minimum tradeable date for the symbol

reversed_factor_file_dates

reversed_factor_file_dates: List[datetime]

Keeping a reversed version is more performant that reversing it each time we need it

This codeEntityType is protected.

sorted_factor_file_data

sorted_factor_file_data: SortedList[
    datetime, List[QuantConnect_Data_Auxiliary_FactorFile_T]
]

The factor file data rows sorted by date

most_recent_factor_change

most_recent_factor_change: datetime

Gets the most recent factor change in the factor file

apply

apply(
    data: List[BaseData],
    exchange_hours: SecurityExchangeHours,
) -> CorporateFactorProvider

Creates a new factor file with the specified data applied. Only Dividend and Split data types will be used.

Parameters:

Name	Type	Description	Default
`data`	`List[BaseData]`	The data to apply	required
`exchange_hours`	`SecurityExchangeHours`	Exchange hours used for resolving the previous trading day	required

Returns:

Type	Description
`CorporateFactorProvider`	A new factor file that incorporates the specified dividend.

get_price_factor

get_price_factor(
    search_date: Union[datetime, date],
    data_normalization_mode: DataNormalizationMode,
    data_mapping_mode: Optional[DataMappingMode] = None,
    contract_offset: int = 0,
) -> float

Gets the price scale factor that includes dividend and split adjustments for the specified search date

get_scaling_factors

get_scaling_factors(
    search_date: Union[datetime, date],
) -> CorporateFactorRow

Gets price and split factors to be applied at the specified date

get_splits_and_dividends

get_splits_and_dividends(
    symbol: Union[Symbol, str, BaseContract],
    exchange_hours: SecurityExchangeHours,
    decimal_places: int = 2,
) -> List[BaseData]

Gets all of the splits and dividends represented by this factor file

Parameters:

Name	Type	Description	Default
`symbol`	`Union[Symbol, str, BaseContract]`	The symbol to ues for the dividend and split objects	required
`exchange_hours`	`SecurityExchangeHours`	Exchange hours used for resolving the previous trading day	required
`decimal_places`	`int`	The number of decimal places to round the dividend's distribution to, defaulting to 2	`2`

Returns:

Type	Description
`List[BaseData]`	All splits and dividends represented by this factor file in chronological order.

has_dividend_event_on_next_trading_day

has_dividend_event_on_next_trading_day(
    date: Union[datetime, date],
    price_factor_ratio: Optional[float],
    reference_price: Optional[float],
) -> Tuple[bool, float, float]

Returns true if the specified date is the last trading day before a dividend event is to be fired

Parameters:

Name	Type	Description	Default
`date`	`Union[datetime, date]`	The date to check the factor file for a dividend event	required
`price_factor_ratio`	`Optional[float]`	When this function returns true, this value will be populated with the price factor ratio required to scale the closing value (pf_i/pf_i+1)	required
`reference_price`	`Optional[float]`	When this function returns true, this value will be populated with the reference raw price, which is the close of the provided date	required

has_split_event_on_next_trading_day

has_split_event_on_next_trading_day(
    date: Union[datetime, date],
    split_factor: Optional[float],
    reference_price: Optional[float],
) -> Tuple[bool, float, float]

Returns true if the specified date is the last trading day before a split event is to be fired

Parameters:

Name	Type	Description	Default
`date`	`Union[datetime, date]`	The date to check the factor file for a split event	required
`split_factor`	`Optional[float]`	When this function returns true, this value will be populated with the split factor ratio required to scale the closing value	required
`reference_price`	`Optional[float]`	When this function returns true, this value will be populated with the reference raw price, which is the close of the provided date	required

iter

__iter__() -> Iterator[IFactorRow]

get_enumerator

get_enumerator() -> IEnumerator[IFactorRow]

Returns an enumerator that iterates through the collection.

Returns:

Type	Description
`IEnumerator[IFactorRow]`	A System.Collections.Generic.IEnumerator`1 that can be used to iterate through the collection.

get_file_format

get_file_format() -> Iterable[str]

Writes this factor file data to an enumerable of csv lines

Returns:

Type	Description
`Iterable[str]`	An enumerable of lines representing this factor file.

write_to_file

write_to_file(
    symbol: Union[Symbol, str, BaseContract],
) -> None

Write the factor file to the correct place in the default Data folder

Parameters:

Name	Type	Description	Default
`symbol`	`Union[Symbol, str, BaseContract]`	The symbol this factor file represents	required