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.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to add futures with daily resolution.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="benchmarks" />
+    /// <meta name="tag" content="futures" />
+    public class BasicTemplateFuturesDailyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected virtual Resolution Resolution => Resolution.Daily;
+        protected virtual bool ExtendedMarketHours => false;
+
+        // S&P 500 EMini futures
+        private const string RootSP500 = Futures.Indices.SP500EMini;
+
+        // Gold futures
+        private const string RootGold = Futures.Metals.Gold;
+        private Future _futureSP500;
+        private Future _futureGold;
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2014, 10, 10);
+            SetCash(1000000);
+
+            _futureSP500 = AddFuture(RootSP500, Resolution, extendedMarketHours: ExtendedMarketHours);
+            _futureGold = AddFuture(RootGold, Resolution, extendedMarketHours: ExtendedMarketHours);
+
+            // set our expiry filter for this futures chain
+            // SetFilter method accepts TimeSpan objects or integer for days.
+            // The following statements yield the same filtering criteria
+            _futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
+            _futureGold.SetFilter(0, 182);
+        }
+
+        /// <summary>
+        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                foreach(var chain in slice.FutureChains)
+                {
+                    // find the front contract expiring no earlier than in 90 days
+                    var contract = (
+                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)
+                        where futuresContract.Expiry > Time.Date.AddDays(90)
+                        select futuresContract
+                    ).FirstOrDefault();
+
+                    // if found, trade it.
+                    // Also check if exchange is open for regular or extended hours. Since daily data comes at 8PM, this allows us prevent the
+                    // algorithm from trading on friday when there is not after-market.
+                    if (contract != null)
+                    {
+                        MarketOrder(contract.Symbol, 1);
+                    }
+                }
+            }
+            // Same as above, check for cases like trading on a friday night.
+            else if (Securities.Values.Where(x => x.Invested).All(x => x.Exchange.Hours.IsOpen(Time, true)))
+            {
+                Liquidate();
+            }
+
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
+            {
+                if (Time.TimeOfDay != TimeSpan.Zero)
+                {
+                    throw new RegressionTestException($"{Time} unexpected symbol changed event {changedEvent}!");
+                }
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (changes.RemovedSecurities.Count > 0 &&
+                Portfolio.Invested &&
+                Securities.Values.Where(x => x.Invested).All(x => x.Exchange.Hours.IsOpen(Time, true)))
+            {
+                Liquidate();
+            }
+        }
+
+        /// <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 virtual 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 => 5876;
+
+        /// <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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "22"},
+            {"Average Win", "0.24%"},
+            {"Average Loss", "-0.49%"},
+            {"Compounding Annual Return", "-0.252%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "-0.258"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "997465.73"},
+            {"Net Profit", "-0.253%"},
+            {"Sharpe Ratio", "-5.753"},
+            {"Sortino Ratio", "-1.032"},
+            {"Probabilistic Sharpe Ratio", "0.000%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "0.48"},
+            {"Alpha", "-0.009"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.002"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-1.381"},
+            {"Tracking Error", "0.089"},
+            {"Treynor Ratio", "-19.581"},
+            {"Total Fees", "$6.77"},
+            {"Estimated Strategy Capacity", "$290000000.00"},
+            {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
+            {"Portfolio Turnover", "0.12%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "140ff4560d532192be3041846667deca"}
+        };
+    }
+}