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 QuantConnect.Orders;
+using QuantConnect.Securities;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting we can specify a custom Shortable Provider
+    /// </summary>
+    public class CustomShortableProviderRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Security _spy;
+        private OrderTicket _orderId;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 4);
+            SetEndDate(2013, 10, 6);
+            SetCash(10000000);
+
+            _spy = AddEquity("SPY", Resolution.Daily);
+            _spy.SetShortableProvider(new CustomSPYShortableProvider());
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var spyShortableQuantity = _spy.ShortableProvider.ShortableQuantity(_spy.Symbol, Time);
+            if (spyShortableQuantity > 1000)
+            {
+                _orderId = Sell("SPY", (int)spyShortableQuantity);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            var transactions = Transactions.OrdersCount;
+            if (transactions != 1)
+            {
+                throw new RegressionTestException($"Algorithm should have just 1 order, but was {transactions}");
+            }
+            var orderQuantity = Transactions.GetOrderById(_orderId).Quantity;
+            if (orderQuantity != -1001)
+            {
+                throw new RegressionTestException($"Quantity of order {_orderId} should be -1001, but was {orderQuantity}");
+            }
+            var feeRate = _spy.ShortableProvider.FeeRate(_spy.Symbol, Time);
+            if (feeRate != 0.0025m)
+            {
+                throw new RegressionTestException($"Fee rate should be 0.0025, but was {feeRate}");
+            }
+            var rebateRate = _spy.ShortableProvider.RebateRate(_spy.Symbol, Time);
+            if (rebateRate != 0.0507m)
+            {
+                throw new RegressionTestException($"Fee rate should be 0.0507, but was {rebateRate}");
+            }
+        }
+
+        private class CustomSPYShortableProvider : IShortableProvider
+        {
+            public decimal FeeRate(Symbol symbol, DateTime localTime) => 0.0025m;
+
+            public decimal RebateRate(Symbol symbol, DateTime localTime) => 0.0507m;
+
+            public long? ShortableQuantity(Symbol symbol, DateTime localTime)
+            {
+                if (localTime < new DateTime(2013, 10, 4, 16, 0, 0))
+                {
+                    return 10;
+                }
+                else
+                {
+                    return 1001;
+                }
+            }
+        }
+
+        /// <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 => 16;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "10000000"},
+            {"End Equity", "10000000"},
+            {"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", "22bda6f4ef08246dbab1a43f97de6b68"}
+        };
+    }
+}