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.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp.Benchmarks
+{
+    /// <summary>
+    /// Constructs a displaced moving average ribbon 
+    /// </summary>
+    public class IndicatorRibbonBenchmark : QCAlgorithm
+    {
+        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+        private IndicatorBase<IndicatorDataPoint>[] _ribbon;
+
+        public override void Initialize()
+        {
+            SetStartDate(2010, 01, 01);
+            SetEndDate(2022, 01, 01);
+
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
+
+            const int count = 50;
+            const int offset = 5;
+            const int period = 15;
+
+            // define our sma as the base of the ribbon
+            var sma = new SimpleMovingAverage(period);
+
+            _ribbon = Enumerable.Range(0, count).Select(x =>
+            {
+                // define our offset to the zero sma, these various offsets will create our 'displaced' ribbon
+                var delay = new Delay(offset * (x + 1));
+
+                // define an indicator that takes the output of the sma and pipes it into our delay indicator
+                var delayedSma = delay.Of(sma);
+
+                // register our new 'delayedSma' for automatic updates on a daily resolution
+                RegisterIndicator(_spy, delayedSma, Resolution.Daily, data => data.Value);
+
+                return delayedSma;
+            }).ToArray();
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // wait for our entire ribbon to be ready
+            if (!_ribbon.All(x => x.IsReady)) return;
+            foreach (var indicator in _ribbon)
+            {
+                var value = indicator.Current.Value;
+            }
+        }
+    }
+}