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.Portfolio;
+using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test we can manually set index securities to be tradable without breaking
+    /// SignalExportManager
+    /// </summary>
+    public class IndexSecurityCanBeTradableRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private SignalExportManagerTest _signalExportManagerTest;
+        private Symbol _equity;
+        private Symbol _index;
+
+        public virtual bool IsTradable { get; set; } = true;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 7);
+
+            _index = AddIndex("SPX").Symbol;
+            _equity = AddEquity("SPY").Symbol;
+            SignalExport.AutomaticExportTimeSpan = null;
+            _signalExportManagerTest = new SignalExportManagerTest(this);
+            Securities[_index].IsTradable = IsTradable;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (IsTradable != Securities[_index].IsTradable)
+            {
+                throw new RegressionTestException($"Index.IsTradable should be {IsTradable}, but was {Securities[_index].IsTradable}");
+            }
+
+            _signalExportManagerTest.GetPortfolioTargetsFromPortfolio(out PortfolioTarget[] targets);
+            if (IsTradable)
+            {
+                if (!targets.Where(x => x.Symbol.SecurityType == SecurityType.Index).Any())
+                {
+                    throw new RegressionTestException($"Index {_index} is marked as tradable security, but no portfolio target with index security type was created");
+                }
+            }
+            else
+            {
+                if (targets.Where(x => x.Symbol.SecurityType == SecurityType.Index).Any())
+                {
+                    throw new RegressionTestException($"Index is not a tradable security, so no portfolio target with index security type should have been created");
+                }
+            }
+
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_equity, 1);
+                RemoveSecurity(_index);
+
+                AssertIndexIsNotTradable();
+
+                AddSecurity(_index);
+                IsTradable = false;
+            }
+
+            AssertIndexIsNotTradable();
+        }
+
+        private void AssertIndexIsNotTradable()
+        {
+            if (Securities[_index].IsTradable)
+            {
+                throw new RegressionTestException($"Index {_index} has already been removed and should be tradable no more");
+            }
+        }
+
+        /// <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 virtual bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 797;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual 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 virtual 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"},
+            {"End Equity", "99978.71"},
+            {"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", "$3.44"},
+            {"Estimated Strategy Capacity", "$56000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "99.63%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
+        };
+
+        private class SignalExportManagerTest: SignalExportManager
+        {
+            public SignalExportManagerTest(IAlgorithm algorithm) : base(algorithm)
+            {
+            }
+
+            public void GetPortfolioTargetsFromPortfolio(out PortfolioTarget[] portfolioTargets)
+            {
+                base.GetPortfolioTargets(out portfolioTargets);
+            }
+        }
+    }
+}