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.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.Option;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm checks FillForwardEnumerator should FF the data until it reaches the delisting date
+    /// replicates GH issue https://github.com/QuantConnect/Lean/issues/4872
+    /// </summary>
+    public class FillForwardUntilExpiryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private DateTime _realEndDate = new DateTime(2014, 06, 07);
+        private SecurityExchange _exchange;
+        private Dictionary<Symbol, HashSet<DateTime>> _options;
+
+        private string[] _contracts =
+        {
+            "TWX   140621P00067500",
+            "TWX   140621C00067500",
+            "TWX   140621C00070000",
+            "TWX   140621P00070000"
+        };
+
+        public override void Initialize()
+        {
+            SetStartDate(2014, 06, 05);
+            SetEndDate(2014, 06, 30);
+
+            _options = new Dictionary<Symbol, HashSet<DateTime>>();
+            var _twxOption = AddOption("TWX", Resolution.Minute);
+            _exchange = _twxOption.Exchange;
+            _twxOption.SetFilter((x) => x
+                .Contracts(c => c.Where(s => _contracts.Contains(s.Symbol.Value))));
+            SetBenchmark(t => 1);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            foreach (var value in slice.OptionChains.Values)
+            {
+                foreach (var contact in value.Contracts)
+                {
+                    BaseData bar = null;
+                    QuoteBar quoteBar;
+                    if (bar == null && value.QuoteBars.TryGetValue(contact.Key, out quoteBar))
+                    {
+                        bar = quoteBar;
+                    }
+                    TradeBar tradeBar;
+                    if (bar == null && value.TradeBars.TryGetValue(contact.Key, out tradeBar))
+                    {
+                        bar = tradeBar;
+                    }
+                    if (bar.IsFillForward)
+                    {
+                        _options[contact.Key].Add(value.Time.Date);
+                    }
+                }
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach (var security in changes.AddedSecurities.OfType<Option>())
+            {
+                _options.Add(security.Symbol, new HashSet<DateTime>());
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_options.Count != _contracts.Length)
+            {
+                throw new RegressionTestException($"Options weren't setup properly. Expected: {_contracts.Length}");
+            }
+
+            foreach (var option in _options)
+            {
+                for (DateTime date = _realEndDate; date < option.Key.ID.Date; date = date.AddDays(1))
+                {
+                    if (_exchange.Hours.IsDateOpen(date) &&
+                        !option.Value.Contains(date))
+                    {
+                        throw new RegressionTestException("Delisted security should be FF until expiry date");
+                    }
+                }
+            }
+        }
+
+        /// <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 => 70553;
+
+        /// <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", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"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"}
+        };
+    }
+}