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;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm reproducing issue #5160 where delisting order would be cancelled because it was placed at the market close on the delisting day,
+    /// in the case of daily resolution.
+    /// </summary>
+    public class DelistingFutureOptionDailyRegressionAlgorithm : DelistingFutureOptionRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 1380;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "3"},
+            {"Average Win", "0.00%"},
+            {"Average Loss", "-0.03%"},
+            {"Compounding Annual Return", "-0.134%"},
+            {"Drawdown", "0.000%"},
+            {"Expectancy", "-0.429"},
+            {"Start Equity", "10000000"},
+            {"End Equity", "9997036.08"},
+            {"Net Profit", "-0.030%"},
+            {"Sharpe Ratio", "-31.58"},
+            {"Sortino Ratio", "-7.862"},
+            {"Probabilistic Sharpe Ratio", "0.215%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "0.14"},
+            {"Alpha", "-0.02"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.001"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "1.511"},
+            {"Tracking Error", "0.429"},
+            {"Treynor Ratio", "-84.756"},
+            {"Total Fees", "$1.42"},
+            {"Estimated Strategy Capacity", "$540000000.00"},
+            {"Lowest Capacity Asset", "ES XCZJLDRF238K|ES XCZJLC9NOB29"},
+            {"Portfolio Turnover", "0.04%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "11ac76bc66928a5e97e064281f6e7ef5"}
+        };
+    }
+}