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 System.Linq;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// A regression test algorithm that places market and limit orders, then liquidates all holdings,
+    /// ensuring orders are canceled and the portfolio is empty.
+    /// </summary>
+    public class LiquidateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected List<OrderTicket> OrderTickets { get; private set; }
+        protected Symbol Spy { get; private set; }
+        protected Symbol Ibm { get; private set; }
+        public override void Initialize()
+        {
+            SetStartDate(2018, 1, 4);
+            SetEndDate(2018, 1, 10);
+            Spy = AddEquity("SPY", Resolution.Daily).Symbol;
+            Ibm = AddEquity("IBM", Resolution.Daily).Symbol;
+            OrderTickets = new List<OrderTicket>();
+
+            // Schedule Rebalance method to be called on specific dates
+            Schedule.On(DateRules.On(2018, 1, 5), TimeRules.Midnight, Rebalance);
+            Schedule.On(DateRules.On(2018, 1, 8), TimeRules.Midnight, Rebalance);
+        }
+
+        public virtual void Rebalance()
+        {
+            // Place a MarketOrder
+            MarketOrder(Ibm, 10);
+
+            // Place a LimitOrder to sell 1 share at a price below the current market price
+            LimitOrder(Ibm, 1, Securities[Ibm].Price - 5);
+
+            LimitOrder(Spy, 1, Securities[Spy].Price - 5);
+
+            // Liquidate all remaining holdings immediately
+            PerformLiquidation();
+        }
+
+        public virtual void PerformLiquidation()
+        {
+            Liquidate();
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // Check if there are any orders that should have been canceled
+            var orders = Transactions.GetOrders().ToList();
+            var nonCanceledOrdersCount = orders.Where(e => e.Status != OrderStatus.Canceled).Count();
+            if (nonCanceledOrdersCount > 0)
+            {
+                throw new RegressionTestException($"There are {nonCanceledOrdersCount} orders that should have been cancelled");
+            }
+
+            if (OrderTickets.Count > 0)
+            {
+                throw new RegressionTestException("The number of order tickets must be zero because all orders were cancelled");
+            }
+
+            // Check if there are any holdings left in the portfolio
+            foreach (var kvp in Portfolio)
+            {
+                var symbol = kvp.Key;
+                var holdings = kvp.Value;
+                if (holdings.Quantity != 0)
+                {
+                    throw new RegressionTestException($"There are {holdings.Quantity} holdings of {symbol} in the portfolio");
+                }
+            }
+        }
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <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 => 53;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <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", "6"},
+            {"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", "-10.398"},
+            {"Tracking Error", "0.045"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "9423c872a626fb856b7c377686c28d85"}
+        };
+    }
+}