EODHDUpcomingSplitsAlgorithm.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
*/

using QuantConnect.Data;
using QuantConnect.Algorithm;
using QuantConnect.DataSource;

namespace QuantConnect.DataLibrary.Tests
{
    /// <summary>
    /// Example algorithm using the upcoming splits data as trade signal
    /// </summary>
    public class EODHDUpcomingSplitsDataAlgorithm : QCAlgorithm
    {
        private Symbol _equitySymbol;

        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2021, 10, 25);  //Set Start Date
            SetEndDate(2021, 10, 30);    //Set End Date
            _equitySymbol = AddEquity("AAPL", Resolution.Daily).Symbol;
            AddData<EODHDUpcomingSplits>("splits");
        }

        /// <summary>
        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// </summary>
        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
        public override void OnData(Slice slice)
        {
            // Order based on the updated upcoming splits data.
            var splits = slice.Get<EODHDUpcomingSplits>();
            if (splits.TryGetValue(_equitySymbol, out var EODHDUpcomingSplitsData))
            {
                // Open position 3 days before splits when the popularity is not developed yet.
                // Increasing price will make unit share less liquid, so a company split its shares to lower price.
                // We buy the stock if it splits into lower price shares.
                if (EODHDUpcomingSplitsData.SplitDate <= slice.Time.AddDays(3)
                    && EODHDUpcomingSplitsData.SplitFactor < 1)
                {
                    SetHoldings(_equitySymbol, 1);
                }
                // Decreasing price will make the equity becomes penny stock, so a company merges its shares to higher price.
                // We sell the stock if it merges into higher price shares.
                else if (EODHDUpcomingSplitsData.SplitDate <= slice.Time.AddDays(3)
                    && EODHDUpcomingSplitsData.SplitFactor > 1)
                {
                    SetHoldings(_equitySymbol, -1);
                }
            }
            // Close position 1 day after the splits realized to capitalized the popularity trend.
            else if (Portfolio[_equitySymbol].Invested)
            {
                Liquidate(_equitySymbol);
            }
        }
    }
}