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.Securities;
+using System.Collections.Generic;
+using System.Linq;
+
+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
+    /// </summary>
+    public class DelistingFutureOptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected virtual Resolution Resolution => Resolution.Minute;
+        private bool _traded;
+        private int _lastMonth;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 1, 3);
+            SetEndDate(2020, 3, 23);
+            SetCash(10000000);
+
+            var future = AddFuture(Futures.Indices.SP500EMini, Resolution, Market.CME);
+            future.SetFilter(1, 120);
+
+            AddFutureOption(future.Symbol, universe => universe.Strikes(-2, 2));
+            _lastMonth = -1;
+
+            // This is required to prevent the algorithm from automatically delisting the underlying. Without this, future options will be subscribed
+            // with resolution default to Minute insted of this.Resolution. This could be replaced after GH issue #6491 is implemented.
+            UniverseSettings.Resolution = Resolution;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Time.Month != _lastMonth)
+            {
+                _lastMonth = Time.Month;
+                var investedSymbols = Securities.Values
+                    .Where(security => security.Invested)
+                    .Select(security => security.Symbol)
+                    .ToList();
+
+                var delistedSecurity = investedSymbols.Where(symbol => symbol.ID.Date.AddDays(1) < Time).ToList();
+                if (delistedSecurity.Count > 0)
+                {
+                    throw new RegressionTestException($"[{UtcTime}] We hold a delisted securities: {string.Join(",", delistedSecurity)}");
+                }
+                Log($"Holdings({Time}): {string.Join(",", investedSymbols)}");
+            }
+
+            if (Portfolio.Invested)
+            {
+                return;
+            }
+
+            foreach (var chain in slice.OptionChains.Values)
+            {
+                foreach (var contractsValue in chain.Contracts.Values)
+                {
+                    MarketOrder(contractsValue.Symbol, 1);
+                    _traded = true;
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_traded)
+            {
+                throw new RegressionTestException("We expected some FOP trading to happen");
+            }
+            if (Portfolio.Invested)
+            {
+                throw new RegressionTestException("We shouldn't be invested anymore");
+            }
+        }
+
+        /// <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 virtual long DataPoints => 462641;
+
+        /// <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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "17"},
+            {"Average Win", "0.04%"},
+            {"Average Loss", "-0.04%"},
+            {"Compounding Annual Return", "-1.280%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "-0.791"},
+            {"Start Equity", "10000000"},
+            {"End Equity", "9971576.14"},
+            {"Net Profit", "-0.284%"},
+            {"Sharpe Ratio", "-5.765"},
+            {"Sortino Ratio", "-0.931"},
+            {"Probabilistic Sharpe Ratio", "0.000%"},
+            {"Loss Rate", "89%"},
+            {"Win Rate", "11%"},
+            {"Profit-Loss Ratio", "0.88"},
+            {"Alpha", "-0.027"},
+            {"Beta", "0.002"},
+            {"Annual Standard Deviation", "0.005"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "1.495"},
+            {"Tracking Error", "0.429"},
+            {"Treynor Ratio", "-15.266"},
+            {"Total Fees", "$11.36"},
+            {"Estimated Strategy Capacity", "$65000000.00"},
+            {"Lowest Capacity Asset", "ES XCZJLDQR8R1G|ES XCZJLC9NOB29"},
+            {"Portfolio Turnover", "0.16%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "f9210adc1afc4460146528006675e734"}
+        };
+    }
+}