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 System.Collections.Generic;
+using QuantConnect.Interfaces;
+using System.Linq;
+using System;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm asserting that delayed cash settlement is applied even when the option contract is manually removed
+    /// </summary>
+    public class DelayedSettlementAfterManualSecurityRemovalAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionSymbol;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 31);
+            SetCash(100000);
+
+            var equity = AddEquity("GOOG");
+
+            _optionSymbol = OptionChain(equity.Symbol)
+                .OrderBy(x => x.ID.StrikePrice)
+                .ThenByDescending(x => x.ID.Date)
+                .First(optionContract => optionContract.ID.OptionRight == OptionRight.Call);
+            var option = AddOptionContract(_optionSymbol);
+
+            option.SetSettlementModel(new DelayedSettlementModel(Option.DefaultSettlementDays, Option.DefaultSettlementTime));
+
+            Schedule.On(DateRules.On(StartDate), TimeRules.BeforeMarketClose(_optionSymbol, 30), () =>
+            {
+                MarketOrder(_optionSymbol, 1);
+            });
+
+            Schedule.On(DateRules.On(StartDate), TimeRules.BeforeMarketClose(_optionSymbol, 1), () =>
+            {
+                RemoveOptionContract(_optionSymbol);
+            });
+
+            var expectedSettlementDate = new DateTime(2015, 12, 28);
+
+            Schedule.On(DateRules.On(expectedSettlementDate), TimeRules.AfterMarketOpen(_optionSymbol), () =>
+            {
+                if (Portfolio.UnsettledCash == 0)
+                {
+                    throw new RegressionTestException($"Expected unsettled cash to be non-zero at {Time}");
+                }
+            });
+
+            Schedule.On(DateRules.On(expectedSettlementDate), TimeRules.BeforeMarketClose(_optionSymbol), () =>
+            {
+                if (Portfolio.UnsettledCash != 0)
+                {
+                    throw new RegressionTestException($"Expected unsettled cash to be zero at {Time}");
+                }
+            });
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Transactions.OrdersCount != 2)
+            {
+                throw new RegressionTestException($"Expected 2 orders, found {Transactions.OrdersCount}");
+            }
+
+            if (Portfolio.Invested)
+            {
+                throw new RegressionTestException("Expected no holdings at end of algorithm");
+            }
+
+            if (Portfolio.UnsettledCash != 0)
+            {
+                throw new RegressionTestException($"Expected no unsettled cash at end of algorithm, found {Portfolio.UnsettledCash}");
+            }
+        }
+
+        /// <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 => 7123;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 1;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.73%"},
+            {"Compounding Annual Return", "-29.516%"},
+            {"Drawdown", "0.700%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99268"},
+            {"Net Profit", "-0.732%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "2.537"},
+            {"Tracking Error", "0.104"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$2.00"},
+            {"Estimated Strategy Capacity", "$720000.00"},
+            {"Lowest Capacity Asset", "GOOCV WHEA9CWIDKJQ|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "11.63%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d0d7b2b1f483d16e72863ecf3bbc3ed6"}
+        };
+    }
+}