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 QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting consolidation happing flushed due to scan calls
+    /// </summary>
+    public class ConsolidateScanRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly Queue<DateTime> _consolidationDaily = new();
+        private readonly Queue<DateTime> _consolidationHourly = new();
+        private readonly Queue<DateTime> _consolidation2Days = new();
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 10);
+
+            AddEquity("SPY", Resolution.Hour);
+            Consolidate("SPY", Resolution.Daily, (TradeBar bar) =>
+            {
+                Debug($"Consolidated.Daily: {Time} {bar}");
+                var expectedTime = _consolidationDaily.Dequeue();
+                if (expectedTime != Time)
+                {
+                    throw new RegressionTestException($"Unexpected consolidation time {expectedTime} != {Time}");
+                }
+
+                if (!Portfolio.Invested)
+                {
+                    SetHoldings("SPY", 1);
+                }
+            });
+            _consolidationDaily.Enqueue(new DateTime(2013, 10, 7, 16, 0, 0));
+            _consolidationDaily.Enqueue(new DateTime(2013, 10, 8, 16, 0, 0));
+            _consolidationDaily.Enqueue(new DateTime(2013, 10, 9, 16, 0, 0));
+            _consolidationDaily.Enqueue(new DateTime(2013, 10, 10, 16, 0, 0));
+
+            Consolidate("SPY", TimeSpan.FromHours(3), (TradeBar bar) =>
+            {
+                Debug($"Consolidated.FromHours(3): {Time} {bar}");
+                var expectedTime = _consolidationHourly.Dequeue();
+                if (expectedTime != Time)
+                {
+                    throw new RegressionTestException($"Unexpected consolidation time {expectedTime} != {Time} 3 hours");
+                }
+            });
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 7, 12, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 7, 15, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 7, 18, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 8, 12, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 8, 15, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 8, 18, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 9, 12, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 9, 15, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 9, 18, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 10, 12, 0, 0));
+            _consolidationHourly.Enqueue(new DateTime(2013, 10, 10, 15, 0, 0));
+
+            Consolidate("SPY", TimeSpan.FromDays(2), (TradeBar bar) =>
+            {
+                Debug($"Consolidated.2Days: {Time} {bar}");
+                var expectedTime = _consolidation2Days.Dequeue();
+                if (expectedTime != Time)
+                {
+                    throw new RegressionTestException($"Unexpected consolidation time {expectedTime} != {Time} 2 days");
+                }
+            });
+            _consolidation2Days.Enqueue(new DateTime(2013, 10, 9, 9, 0, 0));
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_consolidationDaily.Count != 0 || _consolidationHourly.Count != 0 || _consolidation2Days.Count != 0)
+            {
+                throw new RegressionTestException($"Unexpected consolidation count");
+            }
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 64;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "186.478%"},
+            {"Drawdown", "1.500%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101062.91"},
+            {"Net Profit", "1.063%"},
+            {"Sharpe Ratio", "5.448"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.055"},
+            {"Beta", "1.003"},
+            {"Annual Standard Deviation", "0.272"},
+            {"Annual Variance", "0.074"},
+            {"Information Ratio", "-33.89"},
+            {"Tracking Error", "0.001"},
+            {"Treynor Ratio", "1.479"},
+            {"Total Fees", "$3.45"},
+            {"Estimated Strategy Capacity", "$130000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "25.24%"},
+            {"Drawdown Recovery", "2"},
+            {"OrderListHash", "bbda6d0a04ae0b87b2fa10e036296cbb"}
+        };
+    }
+}