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 +1,164 @@
+/*
+ * 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 QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting behavior of consolidators while using daily strict end time
+    /// </summary>
+    public class DailyStrictEndTimeConsolidatorsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private int _consolidatorsDataResolutionCount;
+        private int _consolidatorsDataTimeSpanCount;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            AddEquity("SPY", Resolution.Minute);
+            AddEquity("AAPL", Resolution.Daily, fillForward: false);
+
+            Consolidate("AAPL", Resolution.Daily, AssertResolutionBasedDailyBars);
+            Consolidate("SPY", Resolution.Daily, AssertResolutionBasedDailyBars);
+
+            Consolidate("AAPL", QuantConnect.Time.OneDay, AssertTimeSpanBasedDailyBars);
+            Consolidate("SPY", QuantConnect.Time.OneDay, AssertTimeSpanBasedDailyBars);
+        }
+
+        protected virtual void AssertResolutionBasedDailyBars(TradeBar bar)
+        {
+            Debug($"AssertResolutionBasedDailyBars({Time}): {bar}");
+            _consolidatorsDataResolutionCount++;
+            AssertDailyBar(bar);
+        }
+
+        protected virtual void AssertTimeSpanBasedDailyBars(TradeBar bar)
+        {
+            Debug($"AssertTimeSpanBasedDailyBars({Time}): {bar}");
+            _consolidatorsDataTimeSpanCount++;
+            if (bar.Symbol == "AAPL")
+            {
+                // underlying is daily, passes through, it will be daily strict end times, even if created as a timespan
+                AssertDailyBar(bar);
+            }
+            else
+            {
+                if (bar.EndTime.Hour != 0 || bar.Period != QuantConnect.Time.OneDay)
+                {
+                    throw new RegressionTestException($"{Time}: Unexpected daily time span based bar span {bar.EndTime}!");
+                }
+            }
+        }
+
+        private void AssertDailyBar(TradeBar bar)
+        {
+            if (Settings.DailyPreciseEndTime)
+            {
+                if (bar.EndTime.Hour != 16 || bar.Period != TimeSpan.FromHours(6.5))
+                {
+                    throw new RegressionTestException($"{Time}: Unexpected daily resolution based bar span {bar.EndTime}!");
+                }
+            }
+            else
+            {
+                if (bar.EndTime.Hour != 0 || bar.Period != QuantConnect.Time.OneDay)
+                {
+                    throw new RegressionTestException($"{Time}: Unexpected daily resolution based bar span {bar.EndTime}!");
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_consolidatorsDataTimeSpanCount != 9)
+            {
+                throw new RegressionTestException($"Unexpected consolidator time span data count {_consolidatorsDataTimeSpanCount}!");
+            }
+            if (_consolidatorsDataResolutionCount != (9 + (Settings.DailyPreciseEndTime ? 1 : 0)))
+            {
+                throw new RegressionTestException($"Unexpected consolidator resolution data count {_consolidatorsDataResolutionCount}!");
+            }
+        }
+
+        /// <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 => 3948;
+
+        /// <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", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"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", "-8.91"},
+            {"Tracking Error", "0.223"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}