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 QuantConnect.Data;
+using QuantConnect.Brokerages;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using System.IO;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm demonstrating and ensuring that Bybit crypto brokerage model works as expected with custom data types
+    /// </summary>
+    public class BybitCustomDataCryptoRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _btcUsdt;
+
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 13);
+
+            SetAccountCurrency("USDT");
+            SetCash(100000);
+
+            SetBrokerageModel(BrokerageName.Bybit, AccountType.Cash);
+
+            var symbol = AddCrypto("BTCUSDT").Symbol;
+            _btcUsdt = AddData<CustomCryptoData>(symbol, Resolution.Minute).Symbol;
+
+            // create two moving averages
+            _fast = EMA(_btcUsdt, 30, Resolution.Minute);
+            _slow = EMA(_btcUsdt, 60, Resolution.Minute);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!_slow.IsReady)
+            {
+                return;
+            }
+
+            if (_fast > _slow)
+            {
+                if (Transactions.OrdersCount == 0)
+                {
+                    Buy(_btcUsdt, 1);
+                }
+            }
+            else
+            {
+                if (Transactions.OrdersCount == 1)
+                {
+                    Liquidate(_btcUsdt);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(Time + " " + orderEvent);
+        }
+
+        public class CustomCryptoData : BaseData
+        {
+            public decimal Open { get; set; }
+            public decimal High { get; set; }
+            public decimal Low { get; set; }
+            public decimal Close { get; set; }
+            public decimal Volume { get; set; }
+
+            public override DateTime EndTime
+            {
+                get { return Time + Period; }
+                set { Time = value - Period; }
+            }
+
+            public TimeSpan Period
+            {
+                get { return QuantConnect.Time.OneMinute; }
+            }
+
+            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+            {
+                var tickTypeString = config.TickType.TickTypeToLower();
+                var formattedDate = date.ToStringInvariant(DateFormat.EightCharacter);
+                var source = Path.Combine(Globals.DataFolder, "crypto", "bybit", config.Resolution.ToString().ToLower(),
+                    config.Symbol.Value.ToLower(), $"{formattedDate}_{tickTypeString}.zip");
+
+                return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
+            }
+
+            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+            {
+                var csv = line.ToCsv(6);
+
+                var data = new CustomCryptoData
+                {
+                    Symbol = config.Symbol,
+                    Time = date.Date.AddMilliseconds(csv[0].ToInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone),
+                    Open = csv[1].ToDecimal(),
+                    High = csv[2].ToDecimal(),
+                    Low = csv[3].ToDecimal(),
+                    Close = csv[4].ToDecimal(),
+                    Volume = csv[5].ToDecimal(),
+                    Value = csv[4].ToDecimal()
+                };
+
+                return data;
+            }
+        }
+
+        /// <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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 4324;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 10;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000.00"},
+            {"End Equity", "99981.72"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "₮0.00"},
+            {"Estimated Strategy Capacity", "₮0"},
+            {"Lowest Capacity Asset", "BTCUSDT.CustomCryptoData 2US"},
+            {"Portfolio Turnover", "34.30%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "52ddb7dfcaaf1ea4f70cc614c49f0cd0"}
+        };
+    }
+}