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 System.Linq;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that the option chain APIs return consistent values.
+    /// See <see cref="QCAlgorithm.OptionChain(Symbol)"/> and <see cref="QCAlgorithm.OptionChainProvider"/>
+    /// </summary>
+    public class OptionChainApisConsistencyRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected virtual DateTime TestDate => new DateTime(2015, 12, 25);
+
+        public override void Initialize()
+        {
+            SetStartDate(TestDate);
+            SetEndDate(TestDate);
+
+            var option = GetOption();
+
+            var optionChainFromAlgorithmApi = OptionChain(option.Symbol).Contracts.Keys.ToList();
+
+            var exchangeTime = UtcTime.ConvertFromUtc(option.Exchange.TimeZone);
+            var optionChainFromProviderApi = OptionChainProvider.GetOptionContractList(option.Symbol, exchangeTime).Order().ToList();
+
+            if (optionChainFromAlgorithmApi.Count == 0)
+            {
+                throw new RegressionTestException("No options in chain from algorithm API");
+            }
+
+            if (optionChainFromProviderApi.Count == 0)
+            {
+                throw new RegressionTestException("No options in chain from provider API");
+            }
+
+            if (optionChainFromAlgorithmApi.Count != optionChainFromProviderApi.Count)
+            {
+                throw new RegressionTestException($"Expected {optionChainFromProviderApi.Count} options in chain from provider API, " +
+                    $"but got {optionChainFromAlgorithmApi.Count}");
+            }
+
+            for (var i = 0; i < optionChainFromAlgorithmApi.Count; i++)
+            {
+                var symbol1 = optionChainFromAlgorithmApi[i];
+                var symbol2 = optionChainFromProviderApi[i];
+
+                if (symbol1 != symbol2)
+                {
+                    throw new RegressionTestException($"Expected {symbol2} in chain from provider API, but got {symbol1}");
+                }
+            }
+        }
+
+        protected virtual Option GetOption()
+        {
+            return AddOption("GOOG");
+        }
+
+        /// <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 => 2021;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual int AlgorithmHistoryDataPoints => 2;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public virtual 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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}