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.Data.Market;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm for testing that period-based history requests are not allowed with tick resolution
+    /// </summary>
+    public class PeriodBasedHistoryRequestNotAllowedWithTickResolutionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 10, 09);
+
+            var spy = AddEquity("SPY", Resolution.Tick).Symbol;
+
+            // Tick resolution is not allowed for period-based history requests
+            AssertThatHistoryThrowsForTickResolution(() => History<Tick>(spy, 1),
+                "Tick history call with implicit tick resolution");
+            AssertThatHistoryThrowsForTickResolution(() => History<Tick>(spy, 1, Resolution.Tick),
+                "Tick history call with explicit tick resolution");
+            AssertThatHistoryThrowsForTickResolution(() => History<Tick>(new [] { spy }, 1),
+                "Tick history call with symbol array with implicit tick resolution");
+            AssertThatHistoryThrowsForTickResolution(() => History<Tick>(new [] { spy }, 1, Resolution.Tick),
+                "Tick history call with symbol array with explicit tick resolution");
+
+            var history = History<Tick>(spy, TimeSpan.FromHours(12));
+            if (!history.Any())
+            {
+                throw new RegressionTestException("On history call with implicit tick resolution: history returned no results");
+            }
+
+            history = History<Tick>(spy, TimeSpan.FromHours(12), Resolution.Tick);
+            if (!history.Any())
+            {
+                throw new RegressionTestException("On history call with explicit tick resolution: history returned no results");
+            }
+
+            // We already tested what we wanted to test, we can quit now
+            Quit();
+        }
+
+        private void AssertThatHistoryThrowsForTickResolution(Action historyCall, string historyCallDescription)
+        {
+            try
+            {
+                historyCall();
+                throw new RegressionTestException($"{historyCallDescription}: expected an exception to be thrown");
+            }
+            catch (InvalidOperationException)
+            {
+                // expected
+            }
+        }
+
+        /// <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 => 0;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 12;
+
+        /// <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", "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"}
+        };
+    }
+}