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 +1,128 @@
+/*
+ * 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.Data;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Continuous Futures Regression algorithm reproducing GH issue #6490 asserting limit if touched order works as expected
+    /// </summary>
+    public class ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private OrderTicket _ticket;
+        private Future _continuousContract;
+
+        /// <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, 6);
+            SetEndDate(2013, 10, 10);
+
+            _continuousContract = AddFuture(Futures.Indices.SP500EMini,
+                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+                dataMappingMode: DataMappingMode.LastTradingDay
+            );
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (_ticket == null)
+            {
+                _ticket = LimitIfTouchedOrder(_continuousContract.Mapped, -1, _continuousContract.Price, _continuousContract.Price);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_ticket == null || _ticket.Status != OrderStatus.Filled)
+            {
+                throw new RegressionTestException("Order ticket was not placed or filled!");
+            }
+        }
+
+        /// <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 => 10883;
+
+        /// <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", "-99.012%"},
+            {"Drawdown", "6.300%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "93870.7"},
+            {"Net Profit", "-6.129%"},
+            {"Sharpe Ratio", "-2.199"},
+            {"Sortino Ratio", "-2.305"},
+            {"Probabilistic Sharpe Ratio", "5.122%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.984"},
+            {"Beta", "-0.022"},
+            {"Annual Standard Deviation", "0.449"},
+            {"Annual Variance", "0.202"},
+            {"Information Ratio", "-2.231"},
+            {"Tracking Error", "0.513"},
+            {"Treynor Ratio", "43.96"},
+            {"Total Fees", "$2.15"},
+            {"Estimated Strategy Capacity", "$2600000000.00"},
+            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
+            {"Portfolio Turnover", "16.49%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d13f91ab95169699139d21685a5e346a"}
+        };
+    }
+}