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
@@ -0,0 +1,169 @@
+/*
+ * 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.Linq;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Positions;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the behavior of specifying a null position group allowing us to fill orders which would be invalid if not
+    /// </summary>
+    public class NullMarginMultipleOrdersRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private bool _placedTrades;
+        protected Symbol OptionSymbol { get; private set; }
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(10000);
+
+            OverrideMarginModels();
+
+            var equity = AddEquity("GOOG", leverage: 4);
+            var option = AddOption(equity.Symbol);
+            OptionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
+        }
+
+        protected virtual void OverrideMarginModels()
+        {
+            Portfolio.SetPositions(SecurityPositionGroupModel.Null);
+            SetSecurityInitializer(security =>
+            {
+                security.SetBuyingPowerModel(new ConstantBuyingPowerModel(1));
+            });
+        }
+
+        /// <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)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(OptionSymbol) && slice.OptionChains.TryGetValue(OptionSymbol, out chain))
+                {
+                    // we find at the money (ATM) call contract with farthest expiration
+                    var atmContracts = chain
+                        .Where(contract => contract.Right == OptionRight.Call)
+                        .OrderByDescending(x => x.Expiry)
+                        .ThenBy(x => x.Strike)
+                        .First();
+
+                    if (!_placedTrades)
+                    {
+                        _placedTrades = true;
+                        PlaceTrades(atmContracts);
+                    }
+                }
+            }
+        }
+
+        protected virtual void PlaceTrades(OptionContract optionContract)
+        {
+            AssertState(MarketOrder(optionContract.Symbol.Underlying, 1000), 1, 1000);
+            AssertState(MarketOrder(optionContract.Symbol, -10), 2, 1010);
+        }
+
+        protected virtual void AssertState(OrderTicket ticket, int expectedGroupCount, int expectedMarginUsed)
+        {
+            if (ticket.Status != OrderStatus.Filled)
+            {
+                throw new RegressionTestException($"Unexpected order status {ticket.Status} for symbol {ticket.Symbol} and quantity {ticket.Quantity}");
+            }
+            if (Portfolio.Positions.Groups.Count != expectedGroupCount)
+            {
+                throw new RegressionTestException($"Unexpected position group count {Portfolio.Positions.Groups.Count} for symbol {ticket.Symbol} and quantity {ticket.Quantity}");
+            }
+            if (Portfolio.TotalMarginUsed != expectedMarginUsed)
+            {
+                throw new RegressionTestException($"Unexpected margin used {expectedMarginUsed}");
+            }
+        }
+
+        /// <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 virtual bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 15023;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual 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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "10000"},
+            {"End Equity", "10658.5"},
+            {"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", "$11.50"},
+            {"Estimated Strategy Capacity", "$13000000.00"},
+            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "7580.62%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "4b36a135ed647a66c1ef3f1d9439cf02"}
+        };
+    }
+}