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 System.Linq;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to check we are getting the correct market open and close times
+    /// </summary>
+    public class FutureMarketOpenAndCloseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected virtual bool ExtendedMarketHours => false;
+
+        protected virtual List<DateTime> AfterMarketOpen => new List<DateTime>() {
+            new DateTime(2020, 02, 04, 9, 30, 0),
+            new DateTime(2020, 02, 05, 9, 30, 0),
+            new DateTime(2020, 02, 06, 9, 30, 0),
+            new DateTime(2020, 02, 07, 9, 30, 0),
+            new DateTime(2020, 02, 10, 9, 30, 0),
+            new DateTime(2020, 02, 11, 9, 30, 0)
+        };
+        protected virtual List<DateTime> BeforeMarketClose => new List<DateTime>()
+        {
+            new DateTime(2020, 02, 04, 17, 0, 0),
+            new DateTime(2020, 02, 05, 17, 0, 0),
+            new DateTime(2020, 02, 06, 17, 0, 0),
+            new DateTime(2020, 02, 07, 17, 0, 0),
+            new DateTime(2020, 02, 10, 17, 0, 0),
+            new DateTime(2020, 02, 11, 17, 0, 0)
+        };
+        private Queue<DateTime> _afterMarketOpenQueue;
+        private Queue<DateTime> _beforeMarketCloseQueue;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 02, 04);
+            SetEndDate(2020, 02, 11);
+            var esFuture = AddFuture("ES", extendedMarketHours: ExtendedMarketHours).Symbol;
+
+            _afterMarketOpenQueue = new Queue<DateTime>(AfterMarketOpen);
+            _beforeMarketCloseQueue = new Queue<DateTime>(BeforeMarketClose);
+
+            Schedule.On(DateRules.EveryDay(esFuture, extendedMarketHours: ExtendedMarketHours),
+                TimeRules.AfterMarketOpen(esFuture, extendedMarketOpen: ExtendedMarketHours),
+                EveryDayAfterMarketOpen);
+
+            Schedule.On(DateRules.EveryDay(esFuture, extendedMarketHours: ExtendedMarketHours),
+                TimeRules.BeforeMarketClose(esFuture, extendedMarketClose: ExtendedMarketHours),
+                EveryDayBeforeMarketClose);
+        }
+
+        public void EveryDayBeforeMarketClose()
+        {
+            var expectedMarketClose = _beforeMarketCloseQueue.Dequeue();
+            if (Time != expectedMarketClose)
+            {
+                throw new RegressionTestException($"Expected market close date was {expectedMarketClose} but received {Time}");
+            }
+        }
+
+        public void EveryDayAfterMarketOpen()
+        {
+            var expectedMarketOpen = _afterMarketOpenQueue.Dequeue();
+            if (Time != expectedMarketOpen)
+            {
+                throw new RegressionTestException($"Expected market open date was {expectedMarketOpen} but received {Time}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_afterMarketOpenQueue.Any() || _beforeMarketCloseQueue.Any())
+            {
+                throw new RegressionTestException($"_afterMarketOpenQueue and _beforeMarketCloseQueue should be empty");
+            }
+        }
+        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 virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 91;
+
+        /// </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 virtual 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", "-11.049"},
+            {"Tracking Error", "0.087"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}