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 +1,140 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that option contracts added via universe selection get automatically seeded by default
+    /// </summary>
+    public class OptionsAutomaticSeedRegressionAlgorithm : AutomaticSeedBaseRegressionAlgorithm
+    {
+        private bool _contractsAdded;
+
+        protected override bool ShouldHaveTradeData => true;
+        protected override bool ShouldHaveQuoteData => true;
+        protected override bool ShouldHaveOpenInterestData => true;
+
+        // SPY will be added with daily resolution, will not have quotes
+        protected override List<string> SecuritiesToIgnoreForChecking => ["SPY"];
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 28);
+            SetCash(100000);
+
+            Settings.SeedInitialPrices = true;
+            UniverseSettings.Resolution = Resolution.Minute;
+
+            var equity = AddEquity("GOOG");
+
+            // This security should haven been seeded right away
+            if (!equity.HasData || equity.Price == 0)
+            {
+                throw new RegressionTestException("Equity security was not seeded");
+            }
+
+            var option = AddOption(equity.Symbol);
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Time.TimeOfDay.Hours > 12)
+            {
+                var anotherEquity = AddEquity("SPY", Resolution.Daily);
+
+                // This security should haven been seeded right away
+                if (!anotherEquity.HasData || anotherEquity.Price == 0)
+                {
+                    throw new RegressionTestException("Equity security was not seeded");
+                }
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            base.OnSecuritiesChanged(changes);
+
+            if (!_contractsAdded)
+            {
+                foreach (var addedSecurity in changes.AddedSecurities)
+                {
+                    // Just making sure we had the data to select and seed options
+                    _contractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.Option;
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_contractsAdded)
+            {
+                throw new RegressionTestException("No option contracts were added");
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 38649;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 185;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override 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", "7.438"},
+            {"Tracking Error", "0.017"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}