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 System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm which reproduces GH issue 3861, where in some cases 2 consolidators were added when
+    /// using the automatic indicator warmup feature
+    /// </summary>
+    public class AutomaticIndicatorWarmupRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            Settings.AutomaticIndicatorWarmUp = true;
+
+            // Test case 1
+            _spy = AddEquity("SPY").Symbol;
+            var sma = SMA(_spy, 10);
+            if (!sma.IsReady)
+            {
+                throw new RegressionTestException("Expected SMA to be warmed up");
+            }
+
+            // Test case 2
+            var indicator = new CustomIndicator(10);
+            RegisterIndicator(_spy, indicator, Resolution.Minute, (Func<IBaseData, decimal>) null);
+
+            if (indicator.IsReady)
+            {
+                throw new RegressionTestException("Expected CustomIndicator Not to be warmed up");
+            }
+            WarmUpIndicator(_spy, indicator);
+            if (!indicator.IsReady)
+            {
+                throw new RegressionTestException("Expected CustomIndicator to be warmed up");
+            }
+        }
+
+        /// <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)
+        {
+            if (!Portfolio.Invested)
+            {
+                var subscription = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_spy).First(config => config.TickType == TickType.Trade);
+
+                // we expect 1 consolidator per indicator
+                if (subscription.Consolidators.Count != 2)
+                {
+                    throw new RegressionTestException($"Unexpected consolidator count for subscription: {subscription.Consolidators.Count}");
+                }
+                SetHoldings(_spy, 1);
+            }
+        }
+
+        private class CustomIndicator : SimpleMovingAverage
+        {
+            private IndicatorDataPoint _previous;
+            public CustomIndicator(int period) : base(period)
+            {
+            }
+            protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
+            {
+                if (_previous != null && input.EndTime == _previous.EndTime)
+                {
+                    throw new RegressionTestException($"Unexpected indicator double data point call: {_previous}");
+                }
+                _previous = input;
+                return base.ComputeNextValue(window, input);
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 3943;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 40;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "271.453%"},
+            {"Drawdown", "2.200%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101691.92"},
+            {"Net Profit", "1.692%"},
+            {"Sharpe Ratio", "8.854"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "67.459%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.005"},
+            {"Beta", "0.996"},
+            {"Annual Standard Deviation", "0.222"},
+            {"Annual Variance", "0.049"},
+            {"Information Ratio", "-14.565"},
+            {"Tracking Error", "0.001"},
+            {"Treynor Ratio", "1.97"},
+            {"Total Fees", "$3.44"},
+            {"Estimated Strategy Capacity", "$56000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "19.93%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
+        };
+    }
+}