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.Orders;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test combo leg limit orders
+    /// </summary>
+    public class ComboLegLimitOrderAlgorithm : ComboOrderAlgorithm
+    {
+        private List<decimal> _originalLimitPrices = new();
+
+        protected virtual bool AsynchronousOrders => false;
+
+        protected override IEnumerable<OrderTicket> PlaceComboOrder(List<Leg> legs, int quantity, decimal? limitPrice = null)
+        {
+            foreach (var leg in legs)
+            {
+                _originalLimitPrices.Add(leg.OrderPrice.Value);
+                leg.OrderPrice *= 2; // Won't fill
+            }
+
+            return ComboLegLimitOrder(legs, quantity, asynchronous: AsynchronousOrders);
+        }
+
+        protected override void UpdateComboOrder(List<OrderTicket> tickets)
+        {
+            // Let's updated the limit prices to the original values
+            for (int i = 0; i < tickets.Count; i++)
+            {
+                tickets[i].Update(new UpdateOrderFields { LimitPrice = _originalLimitPrices[i] });
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            base.OnEndOfAlgorithm();
+
+            if (FillOrderEvents.Zip(OrderLegs).Any(x => x.Second.OrderPrice < x.First.FillPrice))
+            {
+                throw new RegressionTestException($"Limit price expected to be greater that the fill price for each order. Limit prices: {string.Join(",", OrderLegs.Select(x => x.OrderPrice))} Fill prices: {string.Join(",", FillOrderEvents.Select(x => x.FillPrice))}");
+            }
+
+            foreach (var ticket in Transactions.GetOrderTickets())
+            {
+                if (ticket.SubmitRequest.Asynchronous != AsynchronousOrders)
+                {
+                    throw new RegressionTestException("Expected all orders to have the same asynchronous flag as the algorithm.");
+                }
+            }
+        }
+
+        /// <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 => 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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 15023;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public override 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", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "198524"},
+            {"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", "$26.00"},
+            {"Estimated Strategy Capacity", "$58000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "30.22%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "6168ffaa5b9f3c389f5da52e90455889"}
+        };
+    }
+}