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.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm that ensures margin call orders are only triggered during regular market hours.
+    /// This test sets up a short position that would cause a margin call near market close.
+    /// The algorithm is expected to throw an exception if margin call orders are submitted while the market is closed.
+    /// </summary>
+    public class NoMarginCallOutsideRegularHoursRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        Symbol _spy;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            // Set portfolio to fully allocated for margin call triggering
+            Settings.FreePortfolioValuePercentage = 0m;
+            var equity = AddEquity("SPY", Resolution.Minute, extendedMarketHours: true);
+            equity.BuyingPowerModel = new PatternDayTradingMarginModel(2m, 4m);
+            _spy = equity.Symbol;
+        }
+
+        /// <summary>
+        /// Sets a short position large enough to trigger a margin call.
+        /// The position is opened just before market close to simulate after-hours behavior.
+        /// </summary>
+        public override void OnData(Slice data)
+        {
+            if (!Portfolio.Invested && Time.Hour == 15 && Time.Minute == 48)
+            {
+                SetHoldings(_spy, -2.1m);
+            }
+        }
+
+        /// <summary>
+        /// Margin call event handler. This method is called right before the margin call orders are placed in the market.
+        /// </summary>
+        /// <param name="requests">The orders to be executed to bring this algorithm within margin limits</param>
+        public override void OnMarginCall(List<SubmitOrderRequest> requests)
+        {
+            foreach (var request in requests)
+            {
+                var security = Portfolio.Securities[request.Symbol];
+
+                // Ensure margin call orders only happen when the exchange is open
+                if (!security.Exchange.ExchangeOpen)
+                {
+                    throw new RegressionTestException("Margin calls should not occur outside regular market hours!");
+                }
+            }
+        }
+
+        /// <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 => 9643;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "-93.216%"},
+            {"Drawdown", "7.100%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "96499.74"},
+            {"Net Profit", "-3.500%"},
+            {"Sharpe Ratio", "-2.407"},
+            {"Sortino Ratio", "-5.131"},
+            {"Probabilistic Sharpe Ratio", "18.781%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "2.363"},
+            {"Beta", "-1.662"},
+            {"Annual Standard Deviation", "0.382"},
+            {"Annual Variance", "0.146"},
+            {"Information Ratio", "-4.824"},
+            {"Tracking Error", "0.6"},
+            {"Treynor Ratio", "0.554"},
+            {"Total Fees", "$7.24"},
+            {"Estimated Strategy Capacity", "$14000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "41.81%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "6cc0fe6a302a15043b93b6c04336771b"}
+        };
+    }
+}