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 +1,117 @@
+/*
+ * 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.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that a market order submitted outside of market hours is not filled immediately
+    /// on stale, already past data (regardless of resolution, including daily); it waits for fresh data instead.
+    ///
+    /// This specific algorithm tests this for minute resolution and is intended to be used as a base class for the other resolutions.
+    /// </summary>
+    public class FillOutsideHoursMinuteResolutionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected virtual Resolution Resolution => Resolution.Minute;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 08);
+            SetCash(100000);
+
+            var spy = AddEquity("SPY", Resolution);
+
+            Schedule.On(DateRules.Today, TimeRules.At(new TimeSpan(23, 0, 0)), () =>
+            {
+                if (!Portfolio.Invested && spy.HasData)
+                {
+                    var ticket = SubmitOrderRequest(new SubmitOrderRequest(OrderType.Market, spy.Type, spy.Symbol, 1, 0, 0, Time, ""));
+
+                    // A market order submitted outside of regular market hours must not fill immediately on the
+                    // stale, already past bar (e.g. the daily bar from the prior close); it waits for fresh data.
+                    if (ticket.Status.IsFill())
+                    {
+                        throw new RegressionTestException($"Order was not expected to be filled outside regular market hours on {Time}. Resolution: {Resolution}");
+                    }
+                }
+            });
+        }
+
+        /// <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 => 1582;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99997.25"},
+            {"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", "$1.00"},
+            {"Estimated Strategy Capacity", "$12000000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.07%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "6a55ff7bccb41a538e1733ccbde482b3"}
+        };
+    }
+}