FactorFileGenerator.cs for Custom Data?

To handle custom data with splits and dividends in Lean, you can utilize several components and methods provided by QuantConnect. Here's a guide to help you manage these corporate actions effectively:

1. FactorFileGenerator.cs: This is a tool in the QuantConnect Toolbox that helps generate factor files, which are essential for handling splits and dividends. Factor files contain historical data about corporate actions for a given symbol.

2. AlgorithmManager Class: This class provides methods like handle_dividends and handle_splits to apply dividends and splits to your algorithm instance. These methods can be used to manage corporate actions within your custom data.

3. Data Normalization Mode: Ensure your custom data is set with the appropriate data normalization mode (e.g., Raw, Adjusted). This setting determines how dividends and splits are applied to your data. For example, setting it to Raw will pay dividends as cash directly into your portfolio.

4. Handling Corporate Actions in OnData: Use the OnData method to process Dividend and Split objects when they occur. You can adjust your portfolio and cashbook accordingly. Here's an example of how to access splits and dividends in your algorithm:

   def on_data(self, slice: Slice) -> None:
       # Check for splits
       if slice.splits.contains_key(self._symbol):
           split = slice.splits[self._symbol]
           self.log(f"Split: {split.symbol} {split.split_factor}")
   
       # Check for dividends
       if slice.dividends.contains_key(self._symbol):
           dividend = slice.dividends[self._symbol]
           self.log(f"Dividend: {dividend.symbol} {dividend.distribution}")
   

5. SecurityPortfolioManager: Use methods like apply_dividend and apply_split to adjust your portfolio for dividends and splits. These methods help ensure that your portfolio reflects the changes due to corporate actions.

6. Testing with Backtesting: Run backtests with your custom data to ensure that splits and dividends are handled as expected. Make adjustments to your algorithm as needed to ensure accuracy.

By following these steps, you can effectively manage splits and dividends in your custom data using Lean. If you have any specific questions or need further assistance, feel free to ask!

Sources: Corporate Actions - QuantConnect.com, Corporate Actions - QuantConnect.com, Dividend Algorithm, Factor Optimization Framework on SPY Constituents, Sector Rotation Based On News Sentiment