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;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm asserting that the <see cref="QCAlgorithm.OnMarginCallWarning"/> and <see cref="QCAlgorithm.OnMarginCall"/>
+    /// events are fired when trading equities
+    /// </summary>
+    public class EquityMarginCallAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _symbol;
+
+        private bool _receivedMarginCallWarning;
+
+        private bool _onMarginCallWasCalled;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 23);
+            SetEndDate(2015, 12, 30);
+            SetCash(100000);
+
+            var equity = AddEquity("GOOG");
+            equity.SetLeverage(100);
+            _symbol = equity.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_symbol, 86);
+            }
+        }
+
+        public override void OnMarginCall(List<SubmitOrderRequest> requests)
+        {
+            Debug($"OnMarginCall at {Time}");
+            _onMarginCallWasCalled = true;
+            foreach (var request in requests)
+            {
+                var security = Portfolio.Securities[request.Symbol];
+
+                // Ensure margin call orders only happen when the exchange is open
+                if (!security.Exchange.ExchangeOpen)
+                {
+                    throw new RegressionTestException("Margin calls should not occur outside regular market hours!");
+                }
+            }
+        }
+
+        public override void OnMarginCallWarning()
+        {
+            Debug($"OnMarginCallWarning at {Time}");
+            _receivedMarginCallWarning = true;
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_receivedMarginCallWarning)
+            {
+                throw new RegressionTestException("OnMarginCallWarning was not invoked");
+            }
+
+            if (!_onMarginCallWasCalled)
+            {
+                throw new RegressionTestException("OnMarginCall was not invoked");
+            }
+
+            // margin call orders should have liquidated part of the position and get us within the maintenance margin
+            if (Portfolio.MarginRemaining < 0)
+            {
+                throw new RegressionTestException("MarginRemaining should be positive");
+            }
+        }
+
+        /// <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 => 3190;
+
+        /// <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", "7"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-6.17%"},
+            {"Compounding Annual Return", "48311.308%"},
+            {"Drawdown", "72.300%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "100000"},
+            {"End Equity", "113866.54"},
+            {"Net Profit", "13.867%"},
+            {"Sharpe Ratio", "1535787524789540"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "87.476%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "11835996770264000"},
+            {"Beta", "-13.194"},
+            {"Annual Standard Deviation", "7.707"},
+            {"Annual Variance", "59.395"},
+            {"Information Ratio", "1533248041772298"},
+            {"Tracking Error", "7.72"},
+            {"Treynor Ratio", "-897105767214540.6"},
+            {"Total Fees", "$91.53"},
+            {"Estimated Strategy Capacity", "$18000.00"},
+            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "2904.79%"},
+            {"Drawdown Recovery", "5"},
+            {"OrderListHash", "80d456f6613030d3ff67b6c59dba5707"}
+        };
+    }
+}