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 QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test we can liquidate our portfolio holdings using order properties
+    /// </summary>
+    public class CanLiquidateWithOrderPropertiesRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly DateTime _openExchange = new (2014, 6, 6, 10, 0, 0);
+        private readonly DateTime _closeExchange = new(2014, 6, 6, 16, 0, 0);
+
+        public override void Initialize()
+        {
+            SetStartDate(2014, 6, 5);
+            SetEndDate(2014, 6, 6);
+
+            AddEquity("AAPL", Resolution.Minute);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Time > _openExchange && Time < _closeExchange)
+            {
+                if (!Portfolio.Invested)
+                {
+                    MarketOrder("AAPL", 10);
+                }
+                else
+                {
+                    var orderProperties = new OrderProperties() { TimeInForce = TimeInForce.Day };
+                    var tickets = Liquidate(asynchronous: true, orderProperties: orderProperties);
+                    foreach (var ticket in tickets)
+                    {
+                        if (ticket.SubmitRequest.OrderProperties.TimeInForce != TimeInForce.Day)
+                        {
+                            throw new RegressionTestException("The TimeInForce for all orders should be daily, but it was {ticket.SubmitRequest.OrderProperties.TimeInForce}");
+                        }
+                    }
+                }
+            }
+        }
+
+        /// <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 => 1583;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public 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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "359"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99637.08"},
+            {"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", "$359.00"},
+            {"Estimated Strategy Capacity", "$130000000.00"},
+            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "37.56%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "e9e8a07dc58bff7198181f9fafb58834"}
+        };
+    }
+}