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 QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Brokerages;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm which reproduce GH issue 3784, where *default* <see cref="IAlgorithm.UniverseSettings"/>
+    /// Leverage value took precedence over <see cref="IAlgorithm.BrokerageModel"/>
+    /// </summary>
+    public class LeveragePrecedenceRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            SetBrokerageModel(new TestBrokerageModel());
+
+            _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+            SetUniverseSelection(new ManualUniverseSelectionModel(_spy));
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_spy, 10);
+                Debug("Purchased Stock");
+            }
+
+            if (Securities[_spy].Leverage != 10)
+            {
+                throw new RegressionTestException($"Expecting leverage to be 10, was {Securities[_spy].Leverage}");
+            }
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 3943;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.12%"},
+            {"Compounding Annual Return", "239.838%"},
+            {"Drawdown", "2.200%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101576.33"},
+            {"Net Profit", "1.576%"},
+            {"Sharpe Ratio", "8.861"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "67.459%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.003"},
+            {"Beta", "0.997"},
+            {"Annual Standard Deviation", "0.222"},
+            {"Annual Variance", "0.049"},
+            {"Information Ratio", "-14.544"},
+            {"Tracking Error", "0.001"},
+            {"Treynor Ratio", "1.972"},
+            {"Total Fees", "$65.43"},
+            {"Estimated Strategy Capacity", "$5600000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "379.43%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "b339a5e17142fe5496d80ee26079d8d0"}
+        };
+
+        private class TestBrokerageModel : DefaultBrokerageModel
+        {
+            public override decimal GetLeverage(Security security)
+            {
+                return 10;
+            }
+        }
+    }
+}