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.Interfaces;
+using QuantConnect.Data;
+using QuantConnect.Util;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm using a consolidator to check GetNextMarketClose() and GetNextMarketOpen()
+    /// are returning the correct market close and open times
+    /// </summary>
+    public class FutureMarketOpenConsolidatorRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected virtual bool ExtendedMarketHours => false;
+        protected virtual List<DateTime> ExpectedOpens => new List<DateTime>()
+        {
+            new DateTime(2013, 10, 07, 9, 30, 0),
+            new DateTime(2013, 10, 08, 9, 30, 0),
+            new DateTime(2013, 10, 09, 9, 30, 0),
+            new DateTime(2013, 10, 10, 9, 30, 0),
+            new DateTime(2013, 10, 11, 9, 30, 0),
+            new DateTime(2013, 10, 14, 9, 30, 0),
+            new DateTime(2013, 10, 14, 9, 30, 0),
+        };
+        protected virtual List<DateTime> ExpectedCloses => new List<DateTime>()
+        {
+            new DateTime(2013, 10, 07, 17, 0, 0),
+            new DateTime(2013, 10, 08, 17, 0, 0),
+            new DateTime(2013, 10, 09, 17, 0, 0),
+            new DateTime(2013, 10, 10, 17, 0, 0),
+            new DateTime(2013, 10, 11, 17, 0, 0),
+            new DateTime(2013, 10, 14, 17, 0, 0),
+            new DateTime(2013, 10, 14, 17, 0, 0),
+        };
+
+        private Queue<DateTime> _expectedOpensQueue;
+        private Queue<DateTime> _expectedClosesQueue;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 06);
+            SetEndDate(2013, 10, 14);
+
+            Settings.DailyConsolidationUseExtendedMarketHours = true;
+            var es = AddSecurity(SecurityType.Future, "ES", extendedMarketHours: ExtendedMarketHours);
+
+            _expectedOpensQueue = new Queue<DateTime>(ExpectedOpens);
+            _expectedClosesQueue = new Queue<DateTime>(ExpectedCloses);
+
+            Consolidate<BaseData>(es.Symbol, dataTime =>
+            {
+                // based on the given data time we return the start time of it's bar and the expected period size
+                return LeanData.GetDailyCalendar(dataTime, es.Exchange, ExtendedMarketHours);
+            }, bar => Assert(bar));
+        }
+
+        public void Assert(BaseData bar)
+        {
+            var open = _expectedOpensQueue.Dequeue();
+            var close = _expectedClosesQueue.Dequeue();
+
+            if (open != bar.Time || close != bar.EndTime)
+            {
+                throw new RegressionTestException($"Bar span was expected to be from {open} to {close}. " +
+                    $"\n But was from {bar.Time} to {bar.EndTime}.");
+            }
+
+            Logging.Log.Debug($"Consolidator Event span. Start {bar.Time} End : {bar.EndTime}");
+        }
+
+        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 => 16313;
+
+        /// </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", "-3.108"},
+            {"Tracking Error", "0.163"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}