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.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Continuous Futures Regression algorithm asserting bug fix for GH issue #6840
+    /// </summary>
+    public class ContinuousFuturesDailyRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private SymbolChangedEvent _symbolChangedEvent;
+        private Future _continuousContract;
+        private decimal _previousFactor;
+
+        /// <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, 08);
+            SetEndDate(2013, 12, 25);
+
+            _continuousContract = AddFuture(Futures.Indices.SP500EMini,
+                dataNormalizationMode: DataNormalizationMode.ForwardPanamaCanal,
+                dataMappingMode: DataMappingMode.LastTradingDay,
+                contractDepthOffset: 0,
+                resolution: Resolution.Daily
+            );
+        }
+
+        /// <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)
+        {
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
+            {
+                if (changedEvent.Symbol == _continuousContract.Symbol)
+                {
+                    _symbolChangedEvent = changedEvent;
+                    Log($"{Time} - SymbolChanged event: {changedEvent}. New expiration {_continuousContract.Mapped.ID.Date}");
+                }
+            }
+
+            if (!slice.Bars.TryGetValue(_continuousContract.Symbol, out var continuousBar))
+            {
+                return;
+            }
+
+            var mappedBar = Securities[_continuousContract.Mapped].Cache.GetData<TradeBar>();
+            if (mappedBar == null || continuousBar.EndTime != mappedBar.EndTime)
+            {
+                return;
+            }
+            var priceFactor = continuousBar.Close - mappedBar.Close;
+            Debug($"{Time} - Price factor {priceFactor}");
+
+            if(_symbolChangedEvent != null)
+            {
+                if(_previousFactor == priceFactor)
+                {
+                    throw new RegressionTestException($"Price factor did not change after symbol changed! {Time} {priceFactor}");
+                }
+
+                Quit("We asserted what we wanted");
+            }
+            _previousFactor = priceFactor;
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_symbolChangedEvent == null)
+            {
+                throw new RegressionTestException("Unexpected a symbol changed event but got none!");
+            }
+        }
+
+        /// <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 => 848;
+
+        /// <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", "-4.63"},
+            {"Tracking Error", "0.088"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}