chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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 System;
+using System.Collections.Generic;
+using Python.Runtime;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Util;
+
+namespace QuantConnect.Algorithm.Framework.Alphas
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IAlphaModel"/> that combines multiple alpha
+    /// models into a single alpha model and properly sets each insights 'SourceModel' property.
+    /// </summary>
+    public class CompositeAlphaModel : AlphaModel
+    {
+        private readonly List<IAlphaModel> _alphaModels = new List<IAlphaModel>();
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CompositeAlphaModel"/> class
+        /// </summary>
+        /// <param name="alphaModels">The individual alpha models defining this composite model</param>
+        public CompositeAlphaModel(params IAlphaModel[] alphaModels)
+        {
+            if (alphaModels.IsNullOrEmpty())
+            {
+                throw new ArgumentException("Must specify at least 1 alpha model for the CompositeAlphaModel");
+            }
+
+            _alphaModels.AddRange(alphaModels);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CompositeAlphaModel"/> class
+        /// </summary>
+        /// <param name="alphaModels">The individual alpha models defining this composite model</param>
+        public CompositeAlphaModel(params PyObject[] alphaModels)
+        {
+            if (alphaModels.IsNullOrEmpty())
+            {
+                throw new ArgumentException("Must specify at least 1 alpha model for the CompositeAlphaModel");
+            }
+
+            foreach (var pyAlphaModel in alphaModels)
+            {
+                AddAlpha(pyAlphaModel);
+            }
+        }
+
+        /// <summary>
+        /// Updates this alpha model with the latest data from the algorithm.
+        /// This is called each time the algorithm receives data for subscribed securities.
+        /// This method patches this call through the each of the wrapped models.
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="data">The new data available</param>
+        /// <returns>The new insights generated</returns>
+        public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
+        {
+            foreach (var model in _alphaModels)
+            {
+                var name = model.GetModelName();
+                foreach (var insight in model.Update(algorithm, data))
+                {
+                    if (string.IsNullOrEmpty(insight.SourceModel))
+                    {
+                        // set the source model name if not already set
+                        insight.SourceModel = name;
+                    }
+
+                    yield return insight;
+                }
+            }
+        }
+
+        /// <summary>
+        /// Event fired each time the we add/remove securities from the data feed.
+        /// This method patches this call through the each of the wrapped models.
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
+        /// <param name="changes">The security additions and removals from the algorithm</param>
+        public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
+        {
+            foreach (var model in _alphaModels)
+            {
+                model.OnSecuritiesChanged(algorithm, changes);
+            }
+        }
+
+        /// <summary>
+        /// Adds a new <see cref="AlphaModel"/>
+        /// </summary>
+        /// <param name="alphaModel">The alpha model to add</param>
+        public void AddAlpha(IAlphaModel alphaModel)
+        {
+            _alphaModels.Add(alphaModel);
+        }
+
+        /// <summary>
+        /// Adds a new <see cref="AlphaModel"/>
+        /// </summary>
+        /// <param name="pyAlphaModel">The alpha model to add</param>
+        public void AddAlpha(PyObject pyAlphaModel)
+        {
+            var alphaModel = PythonUtil.CreateInstanceOrWrapper<IAlphaModel>(
+                pyAlphaModel,
+                py => new AlphaModelPythonWrapper(py)
+            );
+            _alphaModels.Add(alphaModel);
+        }
+    }
+}