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.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that a <see cref="MarketHourAwareConsolidator"/> with an intraday period
+    /// anchors each bar to the market open and never lets a bar extend past the market close.
+    /// </summary>
+    public class MarketHourAwareIntradayConsolidationRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly TimeSpan _period = TimeSpan.FromMinutes(7);
+        private Future _future;
+        private SecurityExchangeHours _hours;
+        private int _consolidatedBarCount;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 06);
+            SetEndDate(2013, 10, 11);
+
+            _future = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, extendedMarketHours: true);
+            _hours = _future.Exchange.Hours;
+
+            var consolidator = new MarketHourAwareConsolidator(false, _period, typeof(TradeBar), TickType.Trade, extendedMarketHours: true);
+            consolidator.DataConsolidated += OnSevenMinuteBar;
+            SubscriptionManager.AddConsolidator(_future.Symbol, consolidator);
+        }
+
+        private void OnSevenMinuteBar(object sender, IBaseData consolidated)
+        {
+            var bar = (TradeBar)consolidated;
+            var marketOpen = _hours.GetPreviousMarketOpen(bar.Time.AddTicks(1), extendedMarketHours: true);
+            var marketClose = _hours.GetNextMarketClose(marketOpen, extendedMarketHours: true);
+
+            // the bar must be anchored to the market open
+            if ((bar.Time - marketOpen).Ticks % _period.Ticks != 0)
+            {
+                throw new RegressionTestException($"Bar starting at {bar.Time} is not anchored to the market open {marketOpen}");
+            }
+
+            // the bar must not extend past the market close
+            if (bar.EndTime > marketClose)
+            {
+                throw new RegressionTestException($"Bar ending at {bar.EndTime} extends past the market close {marketClose}");
+            }
+
+            // bars span the full period unless the last one is clipped at the market close
+            var barPeriod = bar.EndTime - bar.Time;
+            if (barPeriod != _period && bar.EndTime != marketClose)
+            {
+                throw new RegressionTestException($"Bar from {bar.Time} to {bar.EndTime} has period {barPeriod} instead of {_period}");
+            }
+
+            _consolidatedBarCount++;
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_consolidatedBarCount == 0)
+            {
+                throw new RegressionTestException("The consolidator did not produce any bar");
+            }
+        }
+
+        /// <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 => 41486;
+
+        /// <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", "-2.564"},
+            {"Tracking Error", "0.214"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}