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.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression test for consistency of hour data over a reverse split event in US equities.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="regression test" />
+    public class HourSplitRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _symbol;
+        private bool _receivedWarningEvent;
+        private bool _receivedOccurredEvent;
+        private int _dataCount;
+
+        public override void Initialize()
+        {
+            SetStartDate(2014, 6, 6);
+            SetEndDate(2014, 6, 9);
+            SetCash(100000);
+            SetBenchmark(x => 0);
+
+            _symbol = AddEquity("AAPL", Resolution.Hour).Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            _dataCount += slice.Bars.Count;
+
+            TradeBar bar;
+            if (!slice.Bars.TryGetValue(_symbol, out bar)) return;
+
+            if (!Portfolio.Invested && Time.Date == EndDate.Date)
+            {
+                Buy(_symbol, 1);
+            }
+        }
+
+        public override void OnSplits(Splits splits)
+        {
+            if (splits.Single().Value.Type == SplitType.Warning)
+            {
+                _receivedWarningEvent = true;
+                Debug($"{splits.Single().Value}");
+            }
+            else if (splits.Single().Value.Type == SplitType.SplitOccurred)
+            {
+                _receivedOccurredEvent = true;
+                if (splits.Single().Value.Price != 645.5700m || splits.Single().Value.ReferencePrice != 645.5700m)
+                {
+                    throw new RegressionTestException("Did not receive expected price values");
+                }
+                Debug($"{splits.Single().Value}");
+            }
+        }
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_receivedOccurredEvent)
+            {
+                throw new RegressionTestException("Did not receive expected split event");
+            }
+            if (!_receivedWarningEvent)
+            {
+                throw new RegressionTestException("Did not receive expected split warning event");
+            }
+            if (_dataCount != 14)
+            {
+                throw new RegressionTestException($"Unexpected data count {_dataCount}. Expected 14");
+            }
+        }
+
+        /// <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 => 17;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "-0.068%"},
+            {"Drawdown", "0.000%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99999.31"},
+            {"Net Profit", "-0.001%"},
+            {"Sharpe Ratio", "-128.305"},
+            {"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", "-9.163"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$1.00"},
+            {"Estimated Strategy Capacity", "$160000000000.00"},
+            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.01%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "fded8f29d111ed771b99bc6b296f776c"}
+        };
+    }
+}