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
@@ -0,0 +1,132 @@
+/*
+ * 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.IO;
+using System.Globalization;
+using QuantConnect.Data;
+using QuantConnect.Util;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// The algorithm creates new indicator value with the existing indicator method by Indicator Extensions
+    /// Demonstration of using local custom datasource CustomData to request the IBM and SPY daily data
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="using quantconnect" />
+    /// <meta name="tag" content="custom data" />
+    /// <meta name="tag" content="indicators" />
+    /// <meta name="tag" content="indicator classes" />
+    /// <meta name="tag" content="plotting indicators" />
+    /// <meta name="tag" content="charting" />
+    public class CustomDataIndicatorExtensionsAlgorithm : QCAlgorithm
+    {
+        private const string _ibm = "IBM";
+        private const string _spy = "SPY";
+        private SimpleMovingAverage _smaIBM;
+        private SimpleMovingAverage _smaSPY;
+        private IndicatorBase<IndicatorDataPoint> _ratio;
+
+        /// <summary>
+        /// Initialize the data and resolution you require for your strategy
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2014, 1, 1);
+            SetEndDate(2018, 1, 1);
+            SetCash(25000);
+
+            // Define the symbol and "type" of our generic data
+            AddData<CustomData>(_ibm, Resolution.Daily);
+            AddData<CustomData>(_spy, Resolution.Daily);
+            // Set up default Indicators, these are just 'identities' of the closing price
+            _smaIBM = SMA(_ibm, 1);
+            _smaSPY = SMA(_spy, 1);
+            // This will create a new indicator whose value is smaSPY / smaIBM
+            _ratio = _smaSPY.Over(_smaIBM);
+        }
+
+        /// <summary>
+        /// Custom data event handler:
+        /// </summary>
+        /// <param name="data">CustomData - dictionary Bars of custom data</param>
+        public void OnData(CustomData data)
+        {
+            // Wait for all indicators to fully initialize
+            if (_smaIBM.IsReady && _smaSPY.IsReady && _ratio.IsReady)
+            {
+                if (!Portfolio.Invested && _ratio > 1)
+                {
+                    MarketOrder(_ibm, 100);
+                }
+                else if (_ratio < 1)
+                {
+                    Liquidate();
+                }
+                // plot all indicators
+                PlotIndicator("SMA", _smaIBM, _smaSPY);
+                PlotIndicator("Ratio", _ratio);
+            }
+        }
+    }
+
+    /// <summary>
+    /// Custom data from local LEAN data
+    /// </summary>
+    public class CustomData : BaseData
+    {
+        public decimal Open { get; set; }
+        public decimal High { get; set; }
+        public decimal Low { get; set; }
+        public decimal Close { get; set; }
+
+        public override DateTime EndTime
+        {
+            get { return Time + Period; }
+            set { Time = value - Period; }
+        }
+
+        public TimeSpan Period
+        {
+            get { return QuantConnect.Time.OneDay; }
+        }
+
+        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+        {
+            var source = Path.Combine(Globals.DataFolder, "equity", "usa", config.Resolution.ToString().ToLower(), LeanData.GenerateZipFileName(config.Symbol, date, config.Resolution, config.TickType));
+            return new SubscriptionDataSource(source);
+        }
+
+        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+        {
+            var csv = line.ToCsv(6);
+            var _scaleFactor = 1 / 10000m;
+
+            var custom = new CustomData
+            {
+                Symbol = config.Symbol,
+                Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture),
+                Open = csv[1].ToDecimal() * _scaleFactor,
+                High = csv[2].ToDecimal() * _scaleFactor,
+                Low = csv[3].ToDecimal() * _scaleFactor,
+                Close = csv[4].ToDecimal() * _scaleFactor,
+                Value = csv[4].ToDecimal() * _scaleFactor
+            };
+            return custom;
+        }
+    }
+}