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.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Orders.Slippage;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class MarketImpactSlippageModelRegressionAlgorithm : 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);
+            SetEndDate(2013, 10, 13);
+            SetCash(10000000);
+
+            var spy = AddEquity("SPY", Resolution.Daily);
+            var aapl = AddEquity("AAPL", Resolution.Daily);
+
+            spy.SetSlippageModel(new MarketImpactSlippageModel(this));
+            aapl.SetSlippageModel(new MarketImpactSlippageModel(this));
+        }
+
+        /// <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)
+        {
+            SetHoldings("SPY", 0.5d);
+            SetHoldings("AAPL", -0.5d);
+        }
+
+        /// <summary>
+        /// OnOrderEvent is called whenever an order is updated
+        /// </summary>
+        /// <param name="orderEvent">Order Event</param>
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Filled)
+            { 
+                Debug($"Price: {Securities[orderEvent.Symbol].Price}, filled price: {orderEvent.FillPrice}, quantity: {orderEvent.FillQuantity}");
+            }
+            
+        }
+
+        /// <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 => 53;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 506;
+
+        /// <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", "9"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.04%"},
+            {"Compounding Annual Return", "-93.847%"},
+            {"Drawdown", "4.200%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "10000000"},
+            {"End Equity", "9649801.20"},
+            {"Net Profit", "-3.502%"},
+            {"Sharpe Ratio", "-2.93"},
+            {"Sortino Ratio", "-2.869"},
+            {"Probabilistic Sharpe Ratio", "7.243%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-3.355"},
+            {"Beta", "1.244"},
+            {"Annual Standard Deviation", "0.306"},
+            {"Annual Variance", "0.094"},
+            {"Information Ratio", "-20.203"},
+            {"Tracking Error", "0.142"},
+            {"Treynor Ratio", "-0.722"},
+            {"Total Fees", "$1859.00"},
+            {"Estimated Strategy Capacity", "$470000000.00"},
+            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "21.04%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "fc0626f660981cb698f6a9a5d5d1389a"}
+        };
+    }
+}