chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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.Linq;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm that will test that <see cref="IAlgorithmSettings.MinimumOrderMarginPortfolioPercentage"/>
+    /// is respected by the <see cref="ImmediateExecutionModel"/>
+    /// </summary>
+    public class ImmediateExecutionModelMinimumOrderMarginRegressionAlgorithm : BasicTemplateFrameworkAlgorithm
+    {
+        public override void Initialize()
+        {
+            base.Initialize();
+            // this setting is the difference between doing 3 trades and > 60
+            Settings.MinimumOrderMarginPortfolioPercentage = 0.001m;
+            SetPortfolioConstruction(new CustomPortfolioConstructionModel(TimeKeeper));
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override List<Language> Languages { get; } = new() { Language.CSharp };
+
+        private class CustomPortfolioConstructionModel : EqualWeightingPortfolioConstructionModel
+        {
+            private ITimeKeeper _timeKeeper;
+            public CustomPortfolioConstructionModel(ITimeKeeper timeKeeper)
+            {
+                _timeKeeper = timeKeeper;
+            }
+            protected override Dictionary<Insight, double> DetermineTargetPercent(List<Insight> activeInsights)
+            {
+                var baseResult = base.DetermineTargetPercent(activeInsights);
+
+                // we generate some fake noise in the percentage allocation
+                var adjustPercentage = _timeKeeper.UtcTime.Minute % 2 == 0;
+                return baseResult.ToDictionary(pair => pair.Key, pair => adjustPercentage ? pair.Value - 0.001 : pair.Value);
+            }
+        }
+    }
+}