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 +1,87 @@
+/*
+ * 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.UniverseSelection;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that futures and future option contracts added via universe selection
+    /// get automatically seeded by default
+    /// </summary>
+    public class FuturesAutomaticSeedRegressionAlgorithm : AutomaticSeedBaseRegressionAlgorithm
+    {
+        private bool _futureContractsAdded;
+        private bool _fopsContractsAdded;
+
+        protected override bool ShouldHaveTradeData => true;
+        protected override bool ShouldHaveQuoteData => false;
+        protected override bool ShouldHaveOpenInterestData => true;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 01, 07);
+            SetEndDate(2020, 01, 07);
+            SetCash(100000);
+
+            Settings.SeedInitialPrices = true;
+
+            var futures = AddFuture(Futures.Indices.SP500EMini);
+            futures.SetFilter(0, 365);
+
+            AddFutureOption(futures.Symbol, universe => universe.Strikes(-5, +5));
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            base.OnSecuritiesChanged(changes);
+
+            if (!_futureContractsAdded || !_fopsContractsAdded)
+            {
+                foreach (var addedSecurity in changes.AddedSecurities)
+                {
+                    // Just making sure we had the data to select and seed futures and future options
+                    _futureContractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.Future;
+                    _fopsContractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.FutureOption;
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_futureContractsAdded)
+            {
+                throw new RegressionTestException("No option contracts were added");
+            }
+
+            if (!_fopsContractsAdded)
+            {
+                throw new RegressionTestException("No future option contracts were added");
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 448;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 453;
+    }
+}