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.Linq;
+using System.Collections.Generic;
+
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that combo orders are filled correctly and at the same time
+    /// </summary>
+    public abstract class ComboOrderAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionSymbol;
+
+        private List<OrderTicket> Tickets { get; set; }
+        private bool _updated;
+
+        protected List<OrderEvent> FillOrderEvents { get; private set; } = new();
+
+        protected List<Leg> OrderLegs { get; private set; }
+
+        protected int ComboOrderQuantity { get; } = 10;
+
+        protected virtual int ExpectedFillCount
+        {
+            get
+            {
+                return OrderLegs.Count;
+            }
+        }
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(200000);
+
+            var equity = AddEquity("GOOG", leverage: 4, fillForward: true);
+            var option = AddOption(equity.Symbol, fillForward: true);
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
+                  .Expiration(0, 180));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (OrderLegs == null)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var callContracts = chain.Where(contract => contract.Right == OptionRight.Call)
+                        .GroupBy(x => x.Expiry)
+                        .OrderBy(grouping => grouping.Key)
+                        .First()
+                        .OrderBy(x => x.Strike)
+                        .ToList();
+
+                    // Let's wait until we have at least three contracts
+                    if (callContracts.Count < 3)
+                    {
+                        return;
+                    }
+
+                    OrderLegs = new List<Leg>()
+                    {
+                        Leg.Create(callContracts[0].Symbol, 1, 16.7m),
+                        Leg.Create(callContracts[1].Symbol, -2, 14.6m),
+                        Leg.Create(callContracts[2].Symbol, 1, 14.0m)
+                    };
+                    Tickets = PlaceComboOrder(OrderLegs, ComboOrderQuantity, 1.9m).ToList();
+                }
+            }
+            // Let's test order updates
+            else if (Tickets.All(ticket => ticket.OrderType != OrderType.ComboMarket) && FillOrderEvents.Count == 0 && !_updated)
+            {
+                UpdateComboOrder(Tickets);
+                _updated = true;
+            }
+        }
+
+        protected virtual void UpdateComboOrder(List<OrderTicket> tickets)
+        {
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug($" Order Event: {orderEvent}");
+
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                FillOrderEvents.Add(orderEvent);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (OrderLegs == null)
+            {
+                throw new RegressionTestException("Combo order legs were not initialized");
+            }
+
+            if (Tickets.All(ticket => ticket.OrderType != OrderType.ComboMarket) && !_updated)
+            {
+                throw new RegressionTestException("Combo order was not updated");
+            }
+
+            if (FillOrderEvents.Count != ExpectedFillCount)
+            {
+                throw new RegressionTestException($"Expected {ExpectedFillCount} fill order events, found {FillOrderEvents.Count}");
+            }
+
+            var fillTimes = FillOrderEvents.Select(x => x.UtcTime).ToHashSet();
+            if (fillTimes.Count != 1)
+            {
+                throw new RegressionTestException($"Expected all fill order events to have the same time, found {string.Join(", ", fillTimes)}");
+            }
+
+            if (FillOrderEvents.Zip(OrderLegs).Any(x => x.First.FillQuantity != x.Second.Quantity * ComboOrderQuantity))
+            {
+                throw new RegressionTestException("Fill quantity does not match expected quantity for at least one order leg." +
+                    $"Expected: {string.Join(", ", OrderLegs.Select(x => x.Quantity * ComboOrderQuantity))}. " +
+                    $"Actual: {string.Join(", ", FillOrderEvents.Select(x => x.FillQuantity))}");
+            }
+        }
+
+        protected abstract IEnumerable<OrderTicket> PlaceComboOrder(List<Leg> legs, int quantity, decimal? limitPrice = null);
+
+        public abstract bool CanRunLocally { get; }
+
+        public abstract List<Language> Languages { get; }
+
+        public abstract long DataPoints { get; }
+
+        public abstract int AlgorithmHistoryDataPoints { get; }
+
+        public abstract AlgorithmStatus AlgorithmStatus { get; }
+
+        public abstract Dictionary<string, string> ExpectedStatistics { get; }
+    }
+}