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 +1,129 @@
+/*
+ * 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 System.Linq;
+using System.Collections.Generic;
+
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Reproduces https://github.com/QuantConnect/Lean/issues/7451, making sure no additional subscriptions are added for an index
+    /// after manually adding both the underlying and an option contract, with slightly different configurations like the fill forward value.
+    /// </summary>
+    public class DuplicatedIndexOptionSubscriptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2021, 1, 4);
+            SetEndDate(2021, 1, 4);
+            SetCash(1000000);
+
+            var spx = AddIndex("SPX", Resolution.Minute, fillForward: false).Symbol;
+
+            if (SubscriptionManager.Subscriptions.Single().Symbol != spx)
+            {
+                throw new RegressionTestException($"Expected a single subscription to exist ({spx})");
+            }
+
+            var spxOption = QuantConnect.Symbol.CreateOption(
+                spx,
+                Market.USA,
+                OptionStyle.European,
+                OptionRight.Call,
+                3200m,
+                new DateTime(2021, 1, 15));
+
+            AddIndexOptionContract(spxOption, Resolution.Minute);
+
+            if (SubscriptionManager.Subscriptions.Count() < 2)
+            {
+                throw new RegressionTestException("Expected subscriptions for the added index option contract");
+            }
+
+            if (SubscriptionManager.Subscriptions.Count(x => x.Symbol == spx) != 1)
+            {
+                throw new RegressionTestException("Expected a single subscription for the underlying index security");
+            }
+
+            // Quit early, we already tested what we wanted
+            Quit();
+        }
+
+        /// <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 virtual bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 0;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual 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", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "1000000"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}