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.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Algorithm.Framework.Selection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm reproducing GH issue #3914 where the option chain subscriptions wouldn't get removed
+    /// </summary>
+    public class OptionChainSubscriptionRemovalRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private int _optionCount;
+        public override void Initialize()
+        {
+            UniverseSettings.Resolution = Resolution.Minute;
+            SetStartDate(2014, 06, 05);
+            SetEndDate(2014, 06, 09);
+
+            // this line is the key of this test it changed the behavior if the resolution used
+            // is < that Minute which is the Option resolution
+            AddEquity("SPY", Resolution.Second);
+            SetUniverseSelection(new TestOptionUniverseSelectionModel(SelectOptionChainSymbols));
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            _optionCount += changes.AddedSecurities.Count(security => security.Symbol.SecurityType == SecurityType.Option);
+
+            Log($"{GetStatusLog()} CHANGES: {changes}");
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_optionCount != 45)
+            {
+                throw new RegressionTestException($"Unexpected option count {_optionCount}, expected 45");
+            }
+        }
+
+        private static IEnumerable<Symbol> SelectOptionChainSymbols(DateTime utcTime)
+        {
+            var newYorkTime = utcTime.ConvertFromUtc(TimeZones.NewYork);
+            if (newYorkTime.Date < new DateTime(2014, 06, 06))
+            {
+                yield return QuantConnect.Symbol.Create("TWX", SecurityType.Option, Market.USA, "?TWX");
+            }
+
+            if (newYorkTime.Date >= new DateTime(2014, 06, 06))
+            {
+                yield return QuantConnect.Symbol.Create("AAPL", SecurityType.Option, Market.USA, "?AAPL");
+            }
+        }
+
+        private string GetStatusLog()
+        {
+            Plot("Status", "UniverseCount", UniverseManager.Count);
+            Plot("Status", "SubscriptionCount", SubscriptionManager.Subscriptions.Count());
+            Plot("Status", "ActiveSymbolsCount", UniverseManager.ActiveSecurities.Count);
+
+            // why 50? we select 15 option contracts, which add trade/quote/openInterest = 45 + SPY & underlying trade/quote + universe subscription => 50
+            if (SubscriptionManager.Subscriptions.Count() > 50)
+            {
+                throw new RegressionTestException("Subscriptions aren't getting removed as expected!");
+            }
+
+            return $"{Time} | UniverseCount {UniverseManager.Count}. " +
+                $"SubscriptionCount {SubscriptionManager.Subscriptions.Count()}. " +
+                $"ActiveSymbols {string.Join(",", UniverseManager.ActiveSecurities.Keys)}";
+        }
+
+        class TestOptionUniverseSelectionModel : OptionUniverseSelectionModel
+        {
+            public TestOptionUniverseSelectionModel(Func<DateTime, IEnumerable<Symbol>> optionChainSymbolSelector)
+                : base(TimeSpan.FromDays(1), optionChainSymbolSelector)
+            {
+            }
+
+            protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
+            {
+                return filter.StandardsOnly().BackMonth().Contracts(contracts => contracts.Take(15));
+            }
+        }
+
+        /// <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 => 2155694;
+
+        /// <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", "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", "-11.639"},
+            {"Tracking Error", "0.037"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}