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 Newtonsoft.Json;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
+using QuantConnect.Api;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using System;
+using System.Linq;
+using System.Net.Http;
+using System.Net.Http.Json;
+using System.Text;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm sends a list of portfolio targets to custom endpoint
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="using quantconnect" />
+    /// <meta name="tag" content="securities and portfolio" />
+    public class CustomSignalExportDemonstrationAlgorithm : QCAlgorithm
+    {
+        /// <summary>
+        /// Initialize the date and add all equity symbols present
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            /// Our custom signal export accepts all asset types
+            AddEquity("SPY", Resolution.Second);
+            AddCrypto("BTCUSD", Resolution.Second);
+            AddForex("EURUSD", Resolution.Second);
+            AddFutureContract(QuantConnect.Symbol.CreateFuture("ES", Market.CME, new DateTime(2023, 12, 15), null));
+            AddOptionContract(QuantConnect.Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 130, new DateTime(2023, 9, 1)));
+            
+            // Set CustomSignalExport signal export provider.
+            SignalExport.AddSignalExportProvider(new CustomSignalExport());
+        }
+
+        /// <summary>
+        /// Buy and hold EURUSD and SPY
+        /// </summary>
+        /// <param name="slice"></param>
+        public override void OnData(Slice slice)
+        {
+            foreach (var ticker in new[] { "SPY", "EURUSD", "BTCUSD" })
+            {
+                if (!Portfolio[ticker].Invested && Securities[ticker].HasData)
+                {
+                    SetHoldings(ticker, 0.5m);
+                }
+            }
+        }
+    }
+
+    internal class CustomSignalExport : ISignalExportTarget
+    {
+        private readonly Uri _requestUri = new ("http://localhost:5000/");
+        private readonly HttpClient _httpClient = new();
+
+        public bool Send(SignalExportTargetParameters parameters)
+        {
+            object SimplePayload(PortfolioTarget target)
+            {
+                var newTarget = PortfolioTarget.Percent(parameters.Algorithm, target.Symbol, target.Quantity);
+                return new { symbol = newTarget.Symbol.Value, quantity = newTarget.Quantity };
+            };
+
+            var message = JsonConvert.SerializeObject(parameters.Targets.Select(SimplePayload));
+            using var httpMessage = new StringContent(message, Encoding.UTF8, "application/json");
+            using HttpResponseMessage response = _httpClient.PostAsync(_requestUri, httpMessage).Result;
+            var result = response.Content.ReadFromJsonAsync<RestResponse>().Result;
+            parameters.Algorithm.Log($"Send #{parameters.Targets.Count} targets. Success: {result.Success}");
+            return result.Success;
+        }
+
+        public void Dispose() => _httpClient.Dispose();
+    }
+}
+
+/*
+# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
+# $ flask --app app run 
+
+# app.py:
+from flask import Flask, request, jsonify
+from json import loads
+app = Flask(__name__)
+@app.post('/')
+def handle_positions():
+    result = loads(request.data)
+    print(result)
+    return jsonify({'success': True,'message': f'{len(result)} positions received'})
+if __name__ == '__main__':
+    app.run(debug=True)
+*/