chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Demonstration on how to access order tickets right after placing an order.
+    /// </summary>
+    public class OrderTicketAssignmentDemoAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _symbol;
+
+        private OrderTicket _ticket;
+
+        private int _tradeCount;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            _symbol = AddEquity("SPY", Resolution.Minute).Symbol;
+
+            Consolidate(_symbol, TimeSpan.FromHours(1), (TradeBar bar) =>
+            {
+                // Reset _ticket to null on each new bar
+                _ticket = null;
+                _ticket = MarketOrder(_symbol, 1, asynchronous: true);
+                Debug($"{Time}: Buy: Price {bar.Price}, orderId: {_ticket.OrderId}");
+                _tradeCount++;
+            });
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            // We cannot access _ticket directly because it is assigned asynchronously:
+            // this order event could be triggered before _ticket is assigned.
+            var ticket = orderEvent.Ticket;
+            if (ticket == null)
+            {
+                throw new RegressionTestException("Expected order ticket in order event to not be null");
+            }
+            if (orderEvent.Status == OrderStatus.Submitted && _ticket != null)
+            {
+                throw new RegressionTestException("Field _ticket not expected no be assigned on the first order event");
+            }
+
+            Debug(ticket.ToString());
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // Just checking that orders were placed
+            if (!Portfolio.Invested || _tradeCount != Transactions.OrdersCount)
+            {
+                throw new RegressionTestException($"Expected the portfolio to have holdings and to have {_tradeCount} trades, but had {Transactions.OrdersCount}");
+            }
+        }
+
+        /// <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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 3943;
+
+        /// <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", "35"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "3.632%"},
+            {"Drawdown", "0.000%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100045.62"},
+            {"Net Profit", "0.046%"},
+            {"Sharpe Ratio", "4.618"},
+            {"Sortino Ratio", "13.697"},
+            {"Probabilistic Sharpe Ratio", "67.022%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.025"},
+            {"Beta", "0.027"},
+            {"Annual Standard Deviation", "0.006"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-8.991"},
+            {"Tracking Error", "0.217"},
+            {"Treynor Ratio", "1.042"},
+            {"Total Fees", "$34.00"},
+            {"Estimated Strategy Capacity", "$36000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.99%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "ac3803a8abaf1d1e77e009c418ba68e2"}
+        };
+    }
+}