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 +1,162 @@
+/*
+ * 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.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that consolidators expose a built-in rolling window
+    /// </summary>
+    public class ConsolidatorRollingWindowRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private TradeBarConsolidator _consolidator;
+        private int _consolidationCount;
+
+        /// <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);
+
+            AddEquity("SPY", Resolution.Minute);
+
+            _consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(10));
+            _consolidator.DataConsolidated += OnDataConsolidated;
+            SubscriptionManager.AddConsolidator("SPY", _consolidator);
+        }
+
+        private void OnDataConsolidated(object sender, TradeBar bar)
+        {
+            _consolidationCount++;
+
+            if (_consolidator.Current != _consolidator[0])
+            {
+                throw new RegressionTestException("Expected Current to be the same as Window[0]");
+            }
+
+            // Window[0] must always be the bar just consolidated
+            var currentBar = (TradeBar)_consolidator[0];
+            if (currentBar.Time != bar.Time)
+            {
+                throw new RegressionTestException($"Expected consolidator[0].Time == {bar.Time} but was {currentBar.Time}");
+            }
+            if (currentBar.Close != bar.Close)
+            {
+                throw new RegressionTestException($"Expected consolidator[0].Close == {bar.Close} but was {currentBar.Close}");
+            }
+
+            // After the second consolidation the previous bar must be accessible at index 1
+            if (_consolidator.Window.Count >= 2)
+            {
+                var previous = (TradeBar)_consolidator[1];
+                if (_consolidator.Previous != _consolidator[1])
+                {
+                    throw new RegressionTestException("Expected Previous to be the same as Window[1]");
+                }
+                if (previous.Time >= bar.Time)
+                {
+                    throw new RegressionTestException($"consolidator[1].Time ({previous.Time}) should be earlier than consolidator[0].Time ({bar.Time})");
+                }
+                if (previous.Close <= 0)
+                {
+                    throw new RegressionTestException("consolidator[1].Close should be greater than zero");
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_consolidationCount == 0)
+            {
+                throw new RegressionTestException("Expected at least one consolidation but got zero");
+            }
+
+            // Default window size is 2, it must be full
+            if (_consolidator.Window.Count != 2)
+            {
+                throw new RegressionTestException(
+                    $"Expected window count of 2 but was {_consolidator.Window.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, Language.Python };
+
+        /// <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"}
+        };
+    }
+}