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.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Util;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test we can specify a custom brokerage model, and override some of its methods
+    /// </summary>
+    public class CustomBrokerageModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private OrderTicket _spyTicket;
+        private OrderTicket _aigTicket;
+
+        private bool _updateRequestSubmitted;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 11);
+            SetBrokerageModel(new CustomBrokerageModel());
+            AddEquity("SPY", Resolution.Daily);
+            AddEquity("AIG", Resolution.Daily);
+
+            _updateRequestSubmitted = false;
+
+            if (BrokerageModel.DefaultMarkets[SecurityType.Equity] != Market.USA)
+            {
+                throw new RegressionTestException($"The default market for Equity should be {Market.USA}");
+            }
+            if (BrokerageModel.DefaultMarkets[SecurityType.Crypto] != Market.Binance)
+            {
+                throw new RegressionTestException($"The default market for Crypto should be {Market.Binance}");
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                MarketOrder("SPY", 100.0);
+                _aigTicket = MarketOrder("AIG", 100.0);
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            var ticket = Transactions.GetOrderTicket(orderEvent.OrderId);
+            if (_updateRequestSubmitted == false)
+            {
+                var updateOrderFields = new UpdateOrderFields();
+                updateOrderFields.Quantity = ticket.Quantity + 10;
+                ticket.Update(updateOrderFields);
+                _spyTicket = ticket;
+                _updateRequestSubmitted = true;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            var submitExpectedMessage = "BrokerageModel declared unable to submit order: [2] Information - Code:  - Symbol AIG can not be submitted";
+            if (_aigTicket.SubmitRequest.Response.ErrorMessage != submitExpectedMessage)
+            {
+                throw new RegressionTestException($"Order with ID: {_aigTicket.OrderId} should not have submitted symbol AIG");
+            }
+
+            var updateExpectedMessage = "OrderID: 1 Information - Code:  - This order can not be updated";
+            if (_spyTicket.UpdateRequests[0].Response.ErrorMessage != updateExpectedMessage)
+            {
+                throw new RegressionTestException($"Order with ID: {_spyTicket.OrderId} should have been updated");
+            }
+        }
+
+        class CustomBrokerageModel : DefaultBrokerageModel
+        {
+            private static readonly IReadOnlyDictionary<SecurityType, string> _defaultMarketMap = new Dictionary<SecurityType, string>
+            {
+                {SecurityType.Equity, Market.USA},
+                {SecurityType.Crypto, Market.Binance }
+            }.ToReadOnlyDictionary();
+
+            public override IReadOnlyDictionary<SecurityType, string> DefaultMarkets => _defaultMarketMap;
+
+            public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
+            {
+                if (security.Symbol.Value == "AIG")
+                {
+                    message = new BrokerageMessageEvent(BrokerageMessageType.Information, "", "Symbol AIG can not be submitted");
+                    return false;
+                }
+
+                message = null;
+                return true;
+            }
+
+            public override bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
+            {
+                message = new BrokerageMessageEvent(BrokerageMessageType.Information, "", "This order can not be updated");
+                return false;
+            }
+        }
+
+        /// <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 => 53;
+
+        /// <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", "21.133%"},
+            {"Drawdown", "0.200%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100245.42"},
+            {"Net Profit", "0.245%"},
+            {"Sharpe Ratio", "4.962"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "65.933%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.126"},
+            {"Beta", "0.145"},
+            {"Annual Standard Deviation", "0.032"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-9.54"},
+            {"Tracking Error", "0.19"},
+            {"Treynor Ratio", "1.104"},
+            {"Total Fees", "$1.00"},
+            {"Estimated Strategy Capacity", "$5300000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "2.90%"},
+            {"Drawdown Recovery", "2"},
+            {"OrderListHash", "4e8e27d7546eced2ef3512fcc840a634"}
+        };
+    }
+}