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.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test ImmediateExecutionModel places orders with the
+    /// correct quantity (taking into account the fee's) so that the fill quantity
+    /// is the expected one.
+    /// </summary>
+    public class ImmediateExecutionModelWorksWithBinanceFeeModel: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 14);
+            SetAccountCurrency("BUSD");
+            SetCash("BUSD", 100000, 1);
+
+            UniverseSettings.Resolution = Resolution.Minute;
+
+            var symbols = new List<Symbol>() { QuantConnect.Symbol.Create("BTCBUSD", SecurityType.Crypto, Market.Binance) };
+            SetUniverseSelection(new ManualUniverseSelectionModel(symbols));
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
+
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(Resolution.Minute));
+            SetExecution(new ImmediateExecutionModel());
+            SetBrokerageModel(Brokerages.BrokerageName.Binance, AccountType.Margin);
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                if (Math.Abs(orderEvent.Quantity - 5.8m) > 0.01m)
+                {
+                    throw new RegressionTestException($"The expected quantity was {5.8m} but the quantity from the order was {orderEvent.Quantity}");
+                }
+            }
+        }
+
+        public bool CanRunLocally => 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 => 2882;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 5;
+
+        /// <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%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000.00"},
+            {"End Equity", "103411.39"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "BUSD99.75"},
+            {"Estimated Strategy Capacity", "BUSD600000.00"},
+            {"Lowest Capacity Asset", "BTCBUSD 18N"},
+            {"Portfolio Turnover", "48.18%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "2ad07f12d7c80fd4a904269d62794e9e"}
+        };
+    }
+}