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 System;
+using System.Collections.Generic;
+using System.Linq;
+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.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Abstract regression framework algorithm for multiple framework regression tests
+    /// </summary>
+    public abstract class BaseFrameworkRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2014, 6, 1);
+            SetEndDate(2014, 6, 30);
+
+            UniverseSettings.Resolution = Resolution.Hour;
+            UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
+
+            var symbols = new[] { "AAPL", "AIG", "BAC", "SPY" }
+                .Select(ticker => QuantConnect.Symbol.Create(ticker, SecurityType.Equity, Market.USA))
+                .ToList();
+
+            // Manually add AAPL and AIG when the algorithm starts
+            SetUniverseSelection(new ManualUniverseSelectionModel(symbols.Take(2)));
+
+            // At midnight, add all securities every day except on the last data
+            // With this procedure, the Alpha Model will experience multiple universe changes
+            AddUniverseSelection(new ScheduledUniverseSelectionModel(
+                DateRules.EveryDay(), TimeRules.Midnight,
+                dt => dt < EndDate.AddDays(-1) ? symbols : Enumerable.Empty<Symbol>()));
+
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(31), 0.025, null));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+            SetExecution(new ImmediateExecutionModel());
+            SetRiskManagement(new NullRiskManagementModel());
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // The base implementation checks for active insights
+            var insightsCount = Insights.GetInsights(insight => insight.IsActive(UtcTime)).Count;
+            if (insightsCount != 0)
+            {
+                throw new RegressionTestException($"The number of active insights should be 0. Actual: {insightsCount}");
+            }
+        }
+
+        /// <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 virtual List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 764;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual int AlgorithmHistoryDataPoints => 0;
+
+        /// <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 abstract Dictionary<string, string> ExpectedStatistics { get; }
+    }
+}