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.Data.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to assert we can update indicators that inherit from <see cref="IndicatorBase"/> with RenkoBar's
+    /// </summary>
+    public class IndicatorWithRenkoBarsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private MassIndex _mi;
+        private WilderAccumulativeSwingIndex _wasi;
+        private WilderSwingIndex _wsi;
+        private Beta _b;
+        private List<IIndicator> _indicators;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 09);
+
+            AddEquity("SPY");
+            AddEquity("AIG");
+
+            var spyRenkoBarConsolidator = new RenkoConsolidator<TradeBar>(0.1m);
+            spyRenkoBarConsolidator.DataConsolidated += OnSPYDataConsolidated;
+
+            var aigRenkoBarConsolidator = new RenkoConsolidator<TradeBar>(0.05m);
+            aigRenkoBarConsolidator.DataConsolidated += OnAIGDataConsolidated;
+
+            SubscriptionManager.AddConsolidator("SPY", spyRenkoBarConsolidator);
+            SubscriptionManager.AddConsolidator("AIG", aigRenkoBarConsolidator);
+
+            _mi = new MassIndex("MassIndex", 9, 25);
+            _wasi = new WilderAccumulativeSwingIndex("WilderAccumulativeSwingIndex", 8);
+            _wsi = new WilderSwingIndex("WilderSwingIndex", 8);
+            _b = new Beta("Beta", "AIG", "SPY", 3);
+            _indicators = new List<IIndicator>() { _mi, _wasi, _wsi, _b };
+        }
+
+        public void OnSPYDataConsolidated(object sender, RenkoBar renkoBar)
+        {
+            _mi.Update(renkoBar);
+            _wasi.Update(renkoBar);
+            _wsi.Update(renkoBar);
+            _b.Update(renkoBar);
+        }
+
+        public void OnAIGDataConsolidated(object sender, RenkoBar renkoBar)
+        {
+            _b.Update(renkoBar);
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            foreach (var indicator in _indicators)
+            {
+                if (!indicator.IsReady)
+                {
+                    throw new RegressionTestException($"{indicator.Name} indicator should be ready");
+                }
+                else if (indicator.Current.Value == 0)
+                {
+                    throw new RegressionTestException($"The current value of {indicator.Name} indicator should be different than zero");
+                }
+            }
+        }
+
+        /// <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 => 4709;
+
+        /// <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", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"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", "5.524"},
+            {"Tracking Error", "0.136"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}