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.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm that reproduces an issue where on end of day events would be removed when an internal security is removed
+    /// </summary>
+    public class OnEndOfDayInternalSecurityRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Dictionary<DateTime, HashSet<Symbol>> _onEndOfDaySymbols = new();
+        private Future _futureGold;
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 15);
+            SetEndDate(2013, 10, 20);
+
+            _futureGold = AddFuture(Futures.Metals.Gold, Resolution.Daily);
+            _futureGold.SetFilter(0, 182);
+        }
+
+        /// <summary>
+        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
+            {
+                Debug($"{Time} {changedEvent}");
+            }
+        }
+
+        public override void OnEndOfDay(Symbol symbol)
+        {
+            if (Time.Day == 15)
+            {
+                return;
+            }
+            Debug($"{Time} {symbol}");
+            if (!_onEndOfDaySymbols.TryGetValue(Time, out var symbols))
+            {
+                _onEndOfDaySymbols[Time] = symbols = new();
+            }
+            symbols.Add(symbol);
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_onEndOfDaySymbols.Count != 2)
+            {
+                throw new RegressionTestException($"Unexpected {_onEndOfDaySymbols.Count} on end of day symbols call");
+            }
+
+            if (_onEndOfDaySymbols.Any(x => x.Value.Count != 5))
+            {
+                throw new RegressionTestException($"Expected 5 symbols on end of day, but found " +
+                    $"{string.Join(", ", _onEndOfDaySymbols.Select(x => $"{x.Key:yyyyMMdd}: {x.Value.Count}"))}");
+            }
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 88;
+
+        /// <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", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"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", "-133.472"},
+            {"Tracking Error", "0.065"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}