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.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that the check for market on close orders time buffer
+    /// is done properly regardless of the algorithm and exchange time zones.
+    /// </summary>
+    public class MarketOnCloseOrderBufferCheckRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly TimeSpan _buffer = TimeSpan.FromMinutes(10);
+
+        private Symbol _symbol;
+        private OrderTicket _validOrderTicket;
+        private OrderTicket _invalidOrderTicket;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 7);
+
+            // Let's set the algorithm time zone to one that is ahead of the security's exchange time zone to test the MOC orders buffer check.
+            SetTimeZone(TimeZones.London);
+
+            _symbol = AddEquity("SPY").Symbol;
+
+            Orders.MarketOnCloseOrder.SubmissionTimeBuffer = _buffer;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (_validOrderTicket != null && _invalidOrderTicket != null)
+            {
+                return;
+            }
+
+            var security = Securities[_symbol];
+            var nextUtcMarketCloseTime = security.Exchange.Hours
+                .GetNextMarketClose(security.LocalTime, false)
+                .ConvertToUtc(security.Exchange.TimeZone);
+
+            var latestSubmissionTime = nextUtcMarketCloseTime - _buffer;
+            // Place an order when we are close to the latest allowed submission time
+            if (_validOrderTicket == null && UtcTime >= latestSubmissionTime - TimeSpan.FromMinutes(5) && UtcTime <= latestSubmissionTime)
+            {
+                _validOrderTicket = MarketOnCloseOrder(_symbol, 1);
+
+                if (_validOrderTicket.Status == OrderStatus.Invalid)
+                {
+                    throw new RegressionTestException("MOC order placed at the last minute was expected to be valid.");
+                }
+            }
+
+            // Place an order when we are past the latest allowed submission time
+            if (_invalidOrderTicket == null && UtcTime > latestSubmissionTime)
+            {
+                _invalidOrderTicket = MarketOnCloseOrder(_symbol, 1);
+
+                if (_invalidOrderTicket.Status != OrderStatus.Invalid ||
+                    _invalidOrderTicket.SubmitRequest.Response.ErrorCode != OrderResponseErrorCode.MarketOnCloseOrderTooLate)
+                {
+                    throw new RegressionTestException(
+                        "MOC order placed after the latest allowed submission time was not rejected or the reason was not the submission time");
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // Set it back to default for other regressions
+            Orders.MarketOnCloseOrder.SubmissionTimeBuffer = Orders.MarketOnCloseOrder.DefaultSubmissionTimeBuffer;
+
+            if (_validOrderTicket == null)
+            {
+                throw new RegressionTestException("Valid MOC order was not placed");
+            }
+
+            // Verify that our good order filled
+            if (_validOrderTicket.Status != OrderStatus.Filled)
+            {
+                throw new RegressionTestException("MOC order failed to fill");
+            }
+
+            if (_invalidOrderTicket == null)
+            {
+                throw new RegressionTestException("Invalid MOC order was not placed");
+            }
+        }
+
+        /// <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 => 795;
+
+        /// <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()
+        {
+            {"Total Orders", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99999"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$1.00"},
+            {"Estimated Strategy Capacity", "$67000000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.14%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "e44ec9a38c118cc34a487dcfa645a658"}
+        };
+    }
+}