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.Orders;
+using QuantConnect.Orders.Fills;
+using QuantConnect.Securities;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Basic template algorithm that implements a fill model with partial fills
+    /// </summary>
+    /// <meta name="tag" content="transaction fees and slippage" />
+    /// <meta name="tag" content="custom fill models" />
+    public class CustomPartialFillModelAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private SecurityHolding _holdings;
+
+        public override void Initialize()
+        {
+            SetStartDate(2019, 1, 1);
+            SetEndDate(2019, 3, 1);
+
+            var equity = AddEquity("SPY", Resolution.Hour);
+            _spy = equity.Symbol;
+            _holdings = equity.Holdings;
+
+            // Set the fill model
+            equity.SetFillModel(new CustomPartialFillModel(this));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var openOrders = Transactions.GetOpenOrders(_spy);
+            if (openOrders.Count != 0) return;
+
+            if (Time.Day > 10 && _holdings.Quantity <= 0)
+            {
+                MarketOrder(_spy, 105, true);
+            }
+            else if (Time.Day > 20 && _holdings.Quantity >= 0)
+            {
+                MarketOrder(_spy, -100, true);
+            }
+        }
+
+        /// <summary>
+        /// Implements a custom fill model that inherit from FillModel. Override the MarketFill method to simulate partially fill orders
+        /// </summary>
+        internal class CustomPartialFillModel : FillModel
+        {
+            private readonly QCAlgorithm _algorithm;
+            private readonly Dictionary<int, decimal> _absoluteRemainingByOrderId;
+
+            public CustomPartialFillModel(QCAlgorithm algorithm)
+                : base()
+            {
+                _algorithm = algorithm;
+                _absoluteRemainingByOrderId = new Dictionary<int, decimal>();
+            }
+
+            public override OrderEvent MarketFill(Security asset, MarketOrder order)
+            {
+                decimal absoluteRemaining;
+                if (!_absoluteRemainingByOrderId.TryGetValue(order.Id, out absoluteRemaining))
+                {
+                    absoluteRemaining = order.AbsoluteQuantity;
+                }
+
+                // Create the object
+                var fill = base.MarketFill(asset, order);
+
+                // Set the fill amount
+                fill.FillQuantity = Math.Sign(order.Quantity) * 10m;
+                if (Math.Min(Math.Abs(fill.FillQuantity), absoluteRemaining) == absoluteRemaining)
+                {
+                    fill.FillQuantity = Math.Sign(order.Quantity) * absoluteRemaining;
+                    fill.Status = OrderStatus.Filled;
+                    _absoluteRemainingByOrderId.Remove(order.Id);
+                }
+                else
+                {
+                    fill.Status = OrderStatus.PartiallyFilled;
+                    _absoluteRemainingByOrderId[order.Id] = absoluteRemaining - Math.Abs(fill.FillQuantity);
+                    var price = fill.FillPrice;
+                    //_algorithm.Debug($"{_algorithm.Time} - Partial Fill - Remaining {_absoluteRemainingByOrderId[order.Id]} Price - {price}");
+                }
+                return fill;
+            }
+        }
+
+        /// <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 => 582;
+
+        /// <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", "24"},
+            {"Average Win", "0.02%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "3.812%"},
+            {"Drawdown", "0.500%"},
+            {"Expectancy", "0.441"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100613.39"},
+            {"Net Profit", "0.613%"},
+            {"Sharpe Ratio", "-0.227"},
+            {"Sortino Ratio", "-0.24"},
+            {"Probabilistic Sharpe Ratio", "27.509%"},
+            {"Loss Rate", "42%"},
+            {"Win Rate", "58%"},
+            {"Profit-Loss Ratio", "1.47"},
+            {"Alpha", "-0.035"},
+            {"Beta", "0.052"},
+            {"Annual Standard Deviation", "0.015"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-5.449"},
+            {"Tracking Error", "0.114"},
+            {"Treynor Ratio", "-0.066"},
+            {"Total Fees", "$24.00"},
+            {"Estimated Strategy Capacity", "$89000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "10.58%"},
+            {"Drawdown Recovery", "34"},
+            {"OrderListHash", "5f4a4ec2168d30c875fe87ff1f06bc9a"}
+        };
+    }
+}