chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Risk;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Data;
+using QuantConnect.Orders.Fees;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp.Alphas
+{
+    /// <summary>
+    /// In a perfect market, you could buy 100 EUR worth of USD, sell 100 EUR worth of GBP,
+    /// and then use the GBP to buy USD and wind up with the same amount in USD as you received when
+    /// you bought them with EUR. This relationship is expressed by the Triangle Exchange Rate, which is
+    ///
+    /// Triangle Exchange Rate = (A/B) * (B/C) * (C/A)
+    ///
+    /// where (A/B) is the exchange rate of A-to-B. In a perfect market, TER = 1, and so when
+    /// there is a mispricing in the market, then TER will not be 1 and there exists an arbitrage opportunity.
+    ///
+    /// This alpha is part of the Benchmark Alpha Series created by QuantConnect which are open sourced so the community and client funds can see an example of an alpha.
+    /// </summary>
+    public class TriangleExchangeRateArbitrageAlpha : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2019, 2, 1);
+            SetCash(100000);
+
+            // Set zero transaction fees
+            SetSecurityInitializer(security => security.FeeModel = new ConstantFeeModel(0));
+
+            // Select trio of currencies to trade where
+            // Currency A = USD
+            // Currency B = EUR
+            // Currency C = GBP
+            var symbols = new[] { "EURUSD", "EURGBP", "GBPUSD" }
+                .Select(x => QuantConnect.Symbol.Create(x, SecurityType.Forex, Market.Oanda));
+
+            // Set requested data resolution
+            UniverseSettings.Resolution = Resolution.Minute;
+            SetUniverseSelection(new ManualUniverseSelectionModel(symbols));
+
+            // Use ForexTriangleArbitrageAlphaModel to establish insights
+            SetAlpha(new ForexTriangleArbitrageAlphaModel(symbols, Resolution.Minute));
+
+            // Equally weigh securities in portfolio, based on insights
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+
+            // Set Immediate Execution Model
+            SetExecution(new ImmediateExecutionModel());
+
+            // Set Null Risk Management Model
+            SetRiskManagement(new NullRiskManagementModel());
+        }
+
+        private class ForexTriangleArbitrageAlphaModel : AlphaModel
+        {
+            private readonly Symbol[] _symbols;
+            private readonly TimeSpan _insightPeriod;
+
+            public ForexTriangleArbitrageAlphaModel(
+                IEnumerable<Symbol> symbols,
+                Resolution resolution = Resolution.Minute)
+            {
+                _symbols = symbols.ToArray();
+                _insightPeriod = resolution.ToTimeSpan().Multiply(5);
+            }
+
+            public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
+            {
+                // Check to make sure all currency symbols are present
+                if (data.QuoteBars.Count < 3)
+                {
+                    return Enumerable.Empty<Insight>();
+                }
+
+                // Extract QuoteBars for all three Forex securities
+                var barA = data[_symbols[0]];
+                var barB = data[_symbols[1]];
+                var barC = data[_symbols[2]];
+
+                // Calculate the triangle exchange rate
+                // Bid(Currency A -> Currency B) * Bid(Currency B -> Currency C) * Bid(Currency C -> Currency A)
+                // If exchange rates are priced perfectly, then this yield 1.If it is different than 1, then an arbitrage opportunity exists
+                var triangleRate = barA.Ask.Close / barB.Bid.Close / barC.Ask.Close;
+
+                // If the triangle rate is significantly different than 1, then emit insights
+                if (triangleRate > 1.0005m)
+                {
+                    return Insight.Group(new[]
+                    {
+                        Insight.Price(_symbols[0], _insightPeriod, InsightDirection.Up, 0.0001),
+                        Insight.Price(_symbols[1], _insightPeriod, InsightDirection.Down, 0.0001),
+                        Insight.Price(_symbols[2], _insightPeriod, InsightDirection.Up, 0.0001)
+                    });
+                }
+
+                return Enumerable.Empty<Insight>();
+            }
+        }
+    }
+}