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.Linq;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression algorithm asserts that futures have data at extended market hours when this is enabled.
+    /// </summary>
+    public class FutureContractsExtendedMarketHoursRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Future _es;
+        private Future _gc;
+        private bool _esRanOnRegularHours;
+        private bool _esRanOnExtendedHours;
+        private bool _gcRanOnRegularHours;
+        private bool _gcRanOnExtendedHours;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 6);
+            SetEndDate(2013, 10, 11);
+
+            var esFutureSymbol = QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2013, 12, 20));
+            _es = AddFutureContract(esFutureSymbol, Resolution.Hour, fillForward: true, extendedMarketHours: true);
+
+            var gcFutureSymbol = QuantConnect.Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2013, 10, 29));
+            _gc = AddFutureContract(gcFutureSymbol, Resolution.Hour, fillForward: true, extendedMarketHours: false);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var sliceSymbols = new HashSet<Symbol>(slice.Keys);
+            sliceSymbols.UnionWith(slice.Bars.Keys);
+            sliceSymbols.UnionWith(slice.Ticks.Keys);
+            sliceSymbols.UnionWith(slice.QuoteBars.Keys);
+
+            var esIsInRegularHours = _es.Exchange.Hours.IsOpen(Time, false);
+            var esIsInExtendedHours = !esIsInRegularHours && _es.Exchange.Hours.IsOpen(Time, true);
+            var sliceHasESData = sliceSymbols.Any(symbol => symbol == _es.Symbol || symbol.Canonical == _es.Symbol);
+            _esRanOnRegularHours |= esIsInRegularHours && sliceHasESData;
+            _esRanOnExtendedHours |= esIsInExtendedHours && sliceHasESData;
+
+            var gcIsInRegularHours = _gc.Exchange.Hours.IsOpen(Time, false);
+            var gcIsInExtendedHours = !gcIsInRegularHours && _gc.Exchange.Hours.IsOpen(Time, true);
+            var sliceHasGCData = sliceSymbols.Any(symbol => symbol == _gc.Symbol || symbol.Canonical == _gc.Symbol);
+            _gcRanOnRegularHours |= gcIsInRegularHours && sliceHasGCData;
+            _gcRanOnExtendedHours |= gcIsInExtendedHours && sliceHasGCData;
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_esRanOnRegularHours)
+            {
+                throw new RegressionTestException($"Algorithm should have run on regular hours for {_es.Symbol} future, which enabled extended market hours");
+            }
+
+            if (!_esRanOnExtendedHours)
+            {
+                throw new RegressionTestException($"Algorithm should have run on extended hours for {_es.Symbol} future, which enabled extended market hours");
+            }
+
+            if (!_gcRanOnRegularHours)
+            {
+                throw new RegressionTestException($"Algorithm should have run on regular hours for {_gc.Symbol} future, which did not enable extended market hours");
+            }
+
+            if (_gcRanOnExtendedHours)
+            {
+                throw new RegressionTestException($"Algorithm should have not run on extended hours for {_gc.Symbol} future, which did not enable extended market hours");
+            }
+        }
+
+        /// <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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 525;
+
+        /// <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", "-2.564"},
+            {"Tracking Error", "0.214"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}