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;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Basic template algorithm simply initializes the date range and cash
+    /// </summary>
+    /// <meta name="tag" content="trading and orders" />
+    /// <meta name="tag" content="limit orders" />
+    /// <meta name="tag" content="placing orders" />
+    /// <meta name="tag" content="updating orders" />
+    /// <meta name="tag" content="regression test" />
+    public class LimitFillRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        /// <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);  //Set Start Date
+            SetEndDate(2013, 10, 11);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+            // Find more symbols here: http://quantconnect.com/data
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">TradeBars IDictionary object with your stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (slice.ContainsKey("SPY"))
+            {
+                if (Time.Second == 0 && Time.Minute == 0)
+                {
+                    var goLong = Time < StartDate.AddDays(2);
+                    var negative = goLong ? 1 : -1;
+                    LimitOrder("SPY", negative*10, slice["SPY"].Price);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug($"{orderEvent}");
+        }
+
+        /// <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 => 234043;
+
+        /// <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", "35"},
+            {"Average Win", "0.01%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "-5.250%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "-0.200"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99931.07"},
+            {"Net Profit", "-0.069%"},
+            {"Sharpe Ratio", "-1.105"},
+            {"Sortino Ratio", "-1.712"},
+            {"Probabilistic Sharpe Ratio", "40.992%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "0.60"},
+            {"Alpha", "-0.223"},
+            {"Beta", "0.1"},
+            {"Annual Standard Deviation", "0.023"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-9.985"},
+            {"Tracking Error", "0.2"},
+            {"Treynor Ratio", "-0.254"},
+            {"Total Fees", "$34.00"},
+            {"Estimated Strategy Capacity", "$180000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "9.86%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "b25621656830fb81b093f3c315830ea3"}
+        };
+    }
+}