chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Securities.Future;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Continuous Futures Regression algorithm. Asserting and showcasing the behavior of adding a continuous future
+    /// </summary>
+    public class ContinuousFutureRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private List<Symbol> _previousMappedContractSymbols = new();
+        private Symbol _currentMappedSymbol;
+        private Future _continuousContract;
+        private DateTime _lastMonth;
+
+        /// <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, 7, 1);
+            SetEndDate(2014, 1, 1);
+
+            _continuousContract = AddFuture(Futures.Indices.SP500EMini,
+                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+                dataMappingMode: DataMappingMode.LastTradingDay,
+                contractDepthOffset: 0
+            );
+        }
+
+        /// <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)
+        {
+            // we subtract a minute cause we can get data on the market close, from the previous minute
+            if (!_continuousContract.Exchange.DateTimeIsOpen(Time.AddMinutes(-1)))
+            {
+                if (slice.Bars.Count > 0 || slice.QuoteBars.Count > 0)
+                {
+                    throw new RegressionTestException($"We are getting data during closed market!");
+                }
+            }
+
+            var currentlyMappedSecurity = Securities[_continuousContract.Mapped];
+
+            if (slice.Keys.Count != 1)
+            {
+                throw new RegressionTestException($"We are getting data for more than one symbols! {string.Join(",", slice.Keys.Select(symbol => symbol))}");
+            }
+
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
+            {
+                if (changedEvent.Symbol == _continuousContract.Symbol)
+                {
+                    _previousMappedContractSymbols.Add(Symbol(changedEvent.OldSymbol));
+                    Log($"{Time} - SymbolChanged event: {changedEvent}");
+
+                    if (_currentMappedSymbol == _continuousContract.Mapped)
+                    {
+                        throw new RegressionTestException($"Continuous contract current symbol did not change! {_continuousContract.Mapped}");
+                    }
+
+                    var currentExpiration = changedEvent.Symbol.Underlying.ID.Date;
+                    var frontMonthExpiration = FuturesExpiryFunctions.FuturesExpiryFunction(_continuousContract.Symbol)(Time.AddMonths(1));
+
+                    if (currentExpiration != frontMonthExpiration.Date)
+                    {
+                        throw new RegressionTestException($"Unexpected current mapped contract expiration {currentExpiration}" +
+                            $" @ {Time} it should be AT front month expiration {frontMonthExpiration}");
+                    }
+                }
+            }
+            if (_lastMonth.Month != Time.Month && currentlyMappedSecurity.HasData)
+            {
+                _lastMonth = Time;
+
+                Log($"{Time}- {currentlyMappedSecurity.GetLastData()}");
+                if (Portfolio.Invested)
+                {
+                    Liquidate();
+                }
+                else
+                {
+                    // This works because we set this contract as tradable, even if it's a canonical security
+                    Buy(currentlyMappedSecurity.Symbol, 1);
+                }
+
+                if(Time.Month == 1 && Time.Year == 2013)
+                {
+                    var response = History(new[] { _continuousContract.Symbol }, 60 * 24 * 90);
+                    if (!response.Any())
+                    {
+                        throw new RegressionTestException("Unexpected empty history response");
+                    }
+                }
+            }
+
+            _currentMappedSymbol = _continuousContract.Mapped;
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                Log($"{orderEvent}");
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            Debug($"{Time}-{changes}");
+            if (changes.AddedSecurities.Any(security => security.Symbol != _continuousContract.Symbol)
+                || changes.RemovedSecurities.Any(security => security.Symbol != _continuousContract.Symbol))
+            {
+                throw new RegressionTestException($"We got an unexpected security changes {changes}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            var expectedMappingCounts = 2;
+            if (_previousMappedContractSymbols.Count != expectedMappingCounts)
+            {
+                throw new RegressionTestException($"Unexpected symbol changed events: {_previousMappedContractSymbols.Count}, was expecting {expectedMappingCounts}");
+            }
+
+            var delistedSecurities = _previousMappedContractSymbols
+                .Select(x => Securities.Total.Single(sec => sec.Symbol == x))
+                .Where(x => x.Symbol.ID.Date < Time)
+                .ToList();
+            var markedDelistedSecurities = delistedSecurities.Where(x => x.IsDelisted && !x.IsTradable).ToList();
+            if (markedDelistedSecurities.Count != delistedSecurities.Count)
+            {
+                throw new RegressionTestException($"Not all delisted contracts are properly market as delisted and non-tradable: " +
+                    $"only {markedDelistedSecurities.Count} are marked, was expecting {delistedSecurities.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 => 162575;
+
+        /// <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", "4"},
+            {"Average Win", "3.31%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "13.589%"},
+            {"Drawdown", "1.600%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "106624.8"},
+            {"Net Profit", "6.625%"},
+            {"Sharpe Ratio", "1.696"},
+            {"Sortino Ratio", "1.497"},
+            {"Probabilistic Sharpe Ratio", "77.443%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.049"},
+            {"Beta", "0.171"},
+            {"Annual Standard Deviation", "0.051"},
+            {"Annual Variance", "0.003"},
+            {"Information Ratio", "-1.571"},
+            {"Tracking Error", "0.084"},
+            {"Treynor Ratio", "0.504"},
+            {"Total Fees", "$6.45"},
+            {"Estimated Strategy Capacity", "$2900000000.00"},
+            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
+            {"Portfolio Turnover", "1.84%"},
+            {"Drawdown Recovery", "19"},
+            {"OrderListHash", "93ec1ff41936971c765cd3a1e3613f09"}
+        };
+    }
+}