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
@@ -0,0 +1,150 @@
+/*
+ * 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.Indicators;
+using QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using System.Security.Principal;
+using System;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm reproducing GH issue #8017
+    /// </summary>
+    public class ConsolidatorAnIdentityIndicatorRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly Dictionary<DateTime, decimal> _expectedValues = new Dictionary<DateTime, decimal> {
+            { new DateTime(2013, 10, 7, 16, 0, 0),  144.75578537200m },
+            { new DateTime(2013, 10, 8, 16, 0, 0),  143.07840976800m },
+            { new DateTime(2013, 10, 9, 16, 0, 0), 143.15622616200m },
+            { new DateTime(2013, 10, 10, 16, 0, 0),  146.32940578400m },
+            { new DateTime(2013, 10, 11, 16, 0, 0),  147.24590998000m }
+        };
+        private Identity _identity;
+        private int _assertCount;
+
+        /// <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, 11);
+
+            var symbol = AddEquity("SPY", Resolution.Minute).Symbol;
+            Consolidate(symbol, Resolution.Daily, (TradeBar bar) =>
+            {
+                _assertCount++;
+                if (_expectedValues[Time] != bar.Value)
+                {
+                    throw new RegressionTestException($"{Time} - Consolidate unexpected current value: {bar.Value}");
+                }
+            });
+            _identity = Identity(symbol, Resolution.Daily);
+            _identity.Updated += _identity_Updated;
+            var min = MIN(symbol, 5, Resolution.Daily);
+            min.Updated += Min_Updated;
+        }
+
+        private void _identity_Updated(object sender, IndicatorDataPoint updated)
+        {
+            _assertCount++;
+            if (_expectedValues[Time] != _identity.Current.Value)
+            {
+                throw new RegressionTestException($"{Time} - _identity_Updated unexpected current value: {_identity.Current.Value}");
+            }
+        }
+
+        private void Min_Updated(object sender, IndicatorDataPoint updated)
+        {
+            _assertCount++;
+            if (_expectedValues[Time] != _identity.Current.Value)
+            {
+                throw new RegressionTestException($"{Time} - Min_Updated unexpected current value: {_identity.Current.Value}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_assertCount != 15)
+            {
+                throw new RegressionTestException($"Unexpected asserting count: {_assertCount}");
+            }
+        }
+
+        /// <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 => 3943;
+
+        /// <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", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"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", "-8.91"},
+            {"Tracking Error", "0.223"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}