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.Data;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to assert we can have custom data subscriptions with different exchanges
+    /// </summary>
+    public class CustomDataWorksWithDifferentExchangesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private bool _noDataPointsReceived;
+        public override void Initialize()
+        {
+            SetStartDate(2014, 05, 02);
+            SetEndDate(2014, 05, 03);
+
+            var market1 = AddForex("EURUSD", Resolution.Hour, Market.FXCM);
+            var firstCustomSecurity = AddData<ExampleCustomData>(market1.Symbol, Resolution.Hour, TimeZones.Utc, false);
+            if (firstCustomSecurity.Exchange.TimeZone != TimeZones.Utc)
+            {
+                throw new RegressionTestException($"The time zone of security {firstCustomSecurity} should be {TimeZones.Utc}, but it was {firstCustomSecurity.Exchange.TimeZone}");
+            }
+
+            var market2 = AddForex("EURUSD", Resolution.Hour, Market.Oanda);
+            var secondCustomSecurity = AddData<ExampleCustomData>(market2.Symbol, Resolution.Hour, TimeZones.Utc, false);
+            if (secondCustomSecurity.Exchange.TimeZone != TimeZones.Utc)
+            {
+                throw new RegressionTestException($"The time zone of security {secondCustomSecurity} should be {TimeZones.Utc}, but it was {secondCustomSecurity.Exchange.TimeZone}");
+            }
+            _noDataPointsReceived = true;
+        }
+
+
+        public override void OnData(Slice slice)
+        {
+            _noDataPointsReceived = false;
+            if (slice.Count != ActiveSecurities.Count)
+            {
+                throw new RegressionTestException($"{ActiveSecurities.Count.ToString().ToCamelCase()} data points were expected, but only {slice.Count} were received");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_noDataPointsReceived)
+            {
+                throw new RegressionTestException($"No points were received");
+            }
+        }
+
+        /// <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 => 94;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 5;
+
+        /// <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", "100000.00"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+
+    public class ExampleCustomData : BaseData
+    {
+        private int _hours { get; set; }
+        public decimal Open { get; set; }
+        public decimal High { get; set; }
+        public decimal Low { get; set; }
+        public decimal Close { get; set; }
+
+        public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+        {
+            var source = "https://www.dl.dropboxusercontent.com/s/d83xvd7mm9fzpk0/path_to_my_csv_data.csv?dl=0";
+            return new SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile, FileFormat.Csv);
+        }
+
+        public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+        {
+            var csv = line.Split(",");
+            var data = new ExampleCustomData()
+            {
+                Symbol = config.Symbol,
+                Time = date.AddHours(_hours),
+                Value = csv[4].ToDecimal(),
+                Open = csv[1].ToDecimal(),
+                High = csv[2].ToDecimal(),
+                Low = csv[3].ToDecimal(),
+                Close = csv[4].ToDecimal()
+            };
+
+            _hours = (_hours + 1) % 22;
+            return data;
+        }
+    }
+}