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 +1,144 @@
+/*
+ * 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 System.Collections.Generic;
+
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Util;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that option orders are not allowed on split dates
+    /// </summary>
+    public class OptionOrdersOnSplitRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _aapl;
+
+        private OrderTicket _ticket;
+
+        public override void Initialize()
+        {
+            SetStartDate(2014, 6, 5);
+            SetEndDate(2014, 6, 11);
+            SetCash(100000);
+
+            _aapl = AddEquity("AAPL", Resolution.Minute, extendedMarketHours: true, dataNormalizationMode: DataNormalizationMode.Raw).Symbol;
+
+            var option = AddOption(_aapl, Resolution.Minute);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1).Expiration(0, 365));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (slice.Splits.TryGetValue(_aapl, out var split))
+            {
+                Debug($"Split: {Time} - {split}");
+
+                if (split.Type == SplitType.SplitOccurred)
+                {
+                    var contract = Securities.Values
+                        .Where(x => x.Type.IsOption() && !x.Symbol.IsCanonical())
+                        .OrderBy(x => x.Symbol.ID.StrikePrice)
+                        .First();
+                    _ticket = MarketOrder(contract.Symbol, 1);
+
+                    // The actual error received now is "zero price" since it's midnight and the selection options have not been updated yet
+                    if (_ticket.Status != OrderStatus.Invalid ||
+                        _ticket.SubmitRequest.Response.IsSuccess ||
+                        _ticket.SubmitRequest.Response.ErrorCode != OrderResponseErrorCode.SecurityPriceZero ||
+                        !_ticket.SubmitRequest.Response.ErrorMessage.Contains("The security does not have an accurate price as it has not yet received a bar of data", StringComparison.InvariantCulture))
+                    {
+                        throw new RegressionTestException(
+                            $"Expected invalid order ticket with error code {nameof(OrderResponseErrorCode.SecurityPriceZero)}, " +
+                            $"but received {_ticket.SubmitRequest.Response.ErrorCode} - {_ticket.SubmitRequest.Response.ErrorMessage}");
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_ticket == null)
+            {
+                throw new RegressionTestException("Expected invalid order ticket with error code OptionOrderOnStockSplit, but no order was submitted");
+            }
+        }
+
+        /// <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 => 67775;
+
+        /// <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", "-2.491"},
+            {"Tracking Error", "0.042"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}