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
@@ -0,0 +1,156 @@
+/*
+ * 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.Linq;
+using QuantConnect.Data;
+using System.Collections.Generic;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression for running an Index algorithm with Daily data
+    /// </summary>
+    public class BasicTemplateIndexDailyAlgorithm : BasicTemplateIndexAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+        protected override int StartDay => 1;
+
+        // two complete weeks starting from the 5th. The 18th bar is not included since it is a holiday
+        protected virtual int ExpectedBarCount => 2 * 5;
+        protected int BarCounter { get; set; }
+
+        /// <summary>
+        /// Purchase a contract when we are not invested, liquidate otherwise
+        /// </summary>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                // SPX Index is not tradable, but we can trade an option
+                MarketOrder(SpxOption, 1);
+            }
+            else
+            {
+                Liquidate();
+            }
+
+            // Count how many slices we receive with SPX data in it to assert later
+            if (slice.ContainsKey(Spx))
+            {
+                BarCounter++;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (BarCounter != ExpectedBarCount)
+            {
+                throw new ArgumentException($"Bar Count {BarCounter} is not expected count of {ExpectedBarCount}");
+            }
+            AssertIndicators();
+
+            if (Resolution != Resolution.Daily)
+            {
+                return;
+            }
+
+            var openInterest = Securities[SpxOption].Cache.GetAll<OpenInterest>();
+            if (openInterest.Single().EndTime != new DateTime(2021, 1, 15, 15, 15, 0))
+            {
+                throw new ArgumentException($"Unexpected open interest time: {openInterest.Single().EndTime}");
+            }
+
+            foreach (var symbol in new[] { SpxOption, Spx })
+            {
+                var history = History(symbol, 10).ToList();
+                if (history.Count != 10)
+                {
+                    throw new RegressionTestException($"Unexpected history count: {history.Count}");
+                }
+                if (history.Any(x => x.Time.TimeOfDay != new TimeSpan(8, 30, 0)))
+                {
+                    throw new RegressionTestException($"Unexpected history data start time");
+                }
+                if (history.Any(x => x.EndTime.TimeOfDay != new TimeSpan(15, 15, 0)))
+                {
+                    throw new RegressionTestException($"Unexpected history data end time");
+                }
+            }
+        }
+
+        /// <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 override bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 122;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 30;
+
+        /// <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 override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "11"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "653.545%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "1084600"},
+            {"Net Profit", "8.460%"},
+            {"Sharpe Ratio", "9.923"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "93.605%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "3.61"},
+            {"Beta", "-0.513"},
+            {"Annual Standard Deviation", "0.359"},
+            {"Annual Variance", "0.129"},
+            {"Information Ratio", "8.836"},
+            {"Tracking Error", "0.392"},
+            {"Treynor Ratio", "-6.937"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
+            {"Portfolio Turnover", "2.42%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "ce421d0aeb7bde3bc92a6b87c09c510e"}
+        };
+    }
+}