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 QuantConnect.Algorithm.Framework;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Risk;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Orders;
+using System;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Framework algorithm that uses the G10CurrencySelectionModel,
+    /// a Universe Selection Model that inherits from ManualUniverseSelectionModel
+    /// </summary>
+    public class G10CurrencySelectionModelFrameworkAlgorithm : QCAlgorithm
+    {
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            // Set requested data resolution
+            UniverseSettings.Resolution = Resolution.Minute;
+
+            SetStartDate(2013, 10, 07);  //Set Start Date
+            SetEndDate(2013, 10, 11);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+
+            // set algorithm framework models
+            SetUniverseSelection(new G10CurrencySelectionModel());
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+            SetExecution(new ImmediateExecutionModel());
+            SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.01m));
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status.IsFill())
+            {
+                Debug($"Purchased Stock: {orderEvent.Symbol}");
+            }
+        }
+
+        private class G10CurrencySelectionModel : ManualUniverseSelectionModel
+        {
+            /// <summary>
+            /// Initializes a new instance of the <see cref="G10CurrencySelectionModel"/> class
+            /// using the algorithm's security initializer and universe settings
+            /// </summary>
+            public G10CurrencySelectionModel()
+                : base(new[]
+                {
+                "EURUSD",
+                "GBPUSD",
+                "USDJPY",
+                "AUDUSD",
+                "NZDUSD",
+                "USDCAD",
+                "USDCHF",
+                "USDNOK",
+                "USDSEK"
+                }.Select(x => QuantConnect.Symbol.Create(x, SecurityType.Forex, Market.Oanda)))
+            {
+            }
+        }
+    }
+}