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 System.Globalization;
+using QuantConnect.Brokerages;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
+    /// This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
+    ///
+    /// All orders are sent from the brokerage, none of them will be placed by the algorithm.
+    /// </summary>
+    public class CustomBrokerageSideOrderHandlingRegressionAlgorithm : QCAlgorithm
+    {
+        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            SetBrokerageMessageHandler(new CustomBrokerageMessageHandler(this));
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // The security should have been added
+            if (!Securities.ContainsKey(_spy))
+            {
+                throw new RegressionTestException("Expected security to have been added");
+            }
+
+            if (Transactions.OrdersCount == 0)
+            {
+                throw new RegressionTestException("Expected orders to be added from brokerage side");
+            }
+
+            if (Portfolio.Positions.Groups.Count != 1)
+            {
+                throw new RegressionTestException("Expected only one position");
+            }
+        }
+
+        public class CustomBrokerageMessageHandler : IBrokerageMessageHandler
+        {
+            private readonly IAlgorithm _algorithm;
+            public CustomBrokerageMessageHandler(IAlgorithm algo) { _algorithm = algo; }
+
+            /// <summary>
+            /// Process the brokerage message event. Trigger any actions in the algorithm or notifications system required.
+            /// </summary>
+            /// <param name="message">Message object</param>
+            public void HandleMessage(BrokerageMessageEvent message)
+            {
+                _algorithm.Debug($"{_algorithm.Time.ToStringInvariant("o")} Event: {message.Message}");
+            }
+
+            /// <summary>
+            /// Handles a new order placed manually in the brokerage side
+            /// </summary>
+            /// <param name="eventArgs">The new order event</param>
+            /// <returns>Whether the order should be added to the transaction handler</returns>
+            public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
+            {
+                var order = eventArgs.Order;
+                if (string.IsNullOrEmpty(order.Tag) || !int.TryParse(order.Tag, NumberStyles.Integer, CultureInfo.InvariantCulture, out var value))
+                {
+                    throw new RegressionTestException("Expected all new brokerage-side orders to have a valid tag");
+                }
+
+                // We will only process orders with even tags
+                return value % 2 == 0;
+            }
+        }
+    }
+}