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 QuantConnect.Data;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing the effect of No <see cref="IAlgorithmSettings.MinimumOrderMarginPortfolioPercentage"/>
+    /// causing multiple trades to be filled, see <see cref="MinimumOrderMarginRegressionAlgorithm"/> instead
+    /// </summary>
+    public class NoMinimumOrderMarginRegressionAlgorithm : 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);  //Set Start Date
+            SetEndDate(2013, 10, 11);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+
+            AddEquity("SPY", Resolution.Minute);
+        }
+
+        /// <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", 0.25);
+        }
+
+        /// <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 => 3943;
+
+        /// <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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "5"},
+            {"Average Win", "0.00%"},
+            {"Average Loss", "0.00%"},
+            {"Compounding Annual Return", "38.897%"},
+            {"Drawdown", "0.600%"},
+            {"Expectancy", "-0.118"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100420.97"},
+            {"Net Profit", "0.421%"},
+            {"Sharpe Ratio", "5.45"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "66.749%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "0.76"},
+            {"Alpha", "-0.19"},
+            {"Beta", "0.249"},
+            {"Annual Standard Deviation", "0.055"},
+            {"Annual Variance", "0.003"},
+            {"Information Ratio", "-10.01"},
+            {"Tracking Error", "0.167"},
+            {"Treynor Ratio", "1.213"},
+            {"Total Fees", "$5.00"},
+            {"Estimated Strategy Capacity", "$63000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "5.15%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "72d5203e9911bad556de371750fe0278"}
+        };
+    }
+}