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;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Checks that the Tick BidPrice and AskPrices are adjusted like Value.
+    /// </summary>
+    public class EquityTickQuoteAdjustedModeRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _ibm;
+        private bool _bought;
+        private bool _sold;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            _ibm = AddEquity("IBM", Resolution.Tick).Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!slice.Ticks.ContainsKey(_ibm))
+            {
+                return;
+            }
+
+            var security = Securities[_ibm];
+            if (!security.HasData)
+            {
+                return;
+            }
+
+            foreach (var tick in slice.Ticks[_ibm])
+            {
+                if (tick.BidPrice != 0 && !_bought && ((tick.Value - tick.BidPrice) <= 0.05m))
+                {
+                    SetHoldings(_ibm, 1);
+                    _bought = true;
+                    return;
+                }
+                if (tick.AskPrice != 0 && _bought && !_sold && Math.Abs((double)tick.Value - (double)tick.AskPrice) <= 0.05)
+                {
+                    Liquidate(_ibm);
+                    _sold = true;
+                    return;
+                }
+            }
+        }
+
+        /// <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 => 694806;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.12%"},
+            {"Compounding Annual Return", "-9.135%"},
+            {"Drawdown", "0.100%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99877.60"},
+            {"Net Profit", "-0.122%"},
+            {"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", "-8.91"},
+            {"Tracking Error", "0.223"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$7.34"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
+            {"Portfolio Turnover", "39.89%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d2af4746a4d01ca4d0ce0b0c44f30451"}
+        };
+    }
+}