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 QuantConnect.Brokerages;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.CryptoFuture;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that margin used and margin remaining update correctly when
+    /// changing leverage on a crypto future
+    /// </summary>
+    public class CryptoFutureLeverageBasedMarginRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private CryptoFuture _cryptoFuture;
+
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 13);
+
+            SetTimeZone(TimeZones.Utc);
+
+            SetAccountCurrency("USDT");
+            SetCash(200);
+
+            SetBrokerageModel(BrokerageName.BinanceFutures, AccountType.Margin);
+
+            _cryptoFuture = AddCryptoFuture("ADAUSDT");
+            _cryptoFuture.SetLeverage(10);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (_cryptoFuture.Price == 0)
+            {
+                return;
+            }
+
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_cryptoFuture.Symbol, 10); // Buy all we can with our margin (leverage is 10)
+
+                var marginUsed = Portfolio.TotalMarginUsed;
+                var marginRemaining = Portfolio.MarginRemaining;
+
+                if (marginRemaining > 0)
+                {
+                    throw new RegressionTestException($"Expected no margin remaining after buying with full leverage. " +
+                        $"Actual margin remaining is {marginRemaining}");
+                }
+
+                _cryptoFuture.SetLeverage(20);
+
+                var newMarginUsed = Portfolio.TotalMarginUsed;
+                var newMarginRemaining = Portfolio.MarginRemaining;
+
+                if (newMarginUsed >= marginUsed)
+                {
+                    throw new RegressionTestException($"Expected margin used to decrease after increasing leverage. " +
+                        $"Previous margin used: {marginUsed}, new margin used: {newMarginUsed}");
+                }
+
+                if (newMarginRemaining <= 0 || newMarginRemaining <= marginRemaining)
+                {
+                    throw new RegressionTestException($"Expected margin remaining to increase after increasing leverage. " +
+                        $"Previous margin remaining: {marginRemaining}, new margin remaining: {newMarginRemaining}");
+                }
+
+                var holdingsQuantity = _cryptoFuture.Holdings.AbsoluteQuantity;
+
+                SetHoldings(_cryptoFuture.Symbol, 20); // Buy all we can with our margin (new leverage is 20)
+
+                var newHoldingsQuantity = _cryptoFuture.Holdings.AbsoluteQuantity;
+
+                if (newHoldingsQuantity <= holdingsQuantity)
+                {
+                    throw new RegressionTestException($"Expected holdings quantity to increase after increasing leverage and buying more. " +
+                        $"Previous holdings quantity: {holdingsQuantity}, new holdings quantity: {newHoldingsQuantity}");
+                }
+
+                newMarginRemaining = Portfolio.MarginRemaining;
+
+                if (marginRemaining > 0)
+                {
+                    throw new RegressionTestException($"Expected no margin remaining after buying with full leverage. " +
+                        $"Actual margin remaining is {newMarginRemaining}");
+                }
+
+                // We are done testing, exit the algorithm
+                Quit();
+            }
+        }
+
+        /// <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 => 4;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200"},
+            {"End Equity", "195.58"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "₮1.57"},
+            {"Estimated Strategy Capacity", "₮0"},
+            {"Lowest Capacity Asset", "ADAUSDT 18R"},
+            {"Portfolio Turnover", "2009.51%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "f92ad762f77fbf4ee13b1e89a78cb1eb"}
+        };
+    }
+}