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.IO;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Adds a universe with a custom data type and retrieves historical data 
+    /// while preserving the custom data type.
+    /// </summary>
+    public class PersistentCustomDataUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _universeSymbol;
+        private bool _dataReceived;
+
+        public override void Initialize()
+        {
+            SetStartDate(2018, 6, 1);
+            SetEndDate(2018, 6, 19);
+
+            var universe = AddUniverse<StockDataSource>("my-stock-data-source", Resolution.Daily, UniverseSelector);
+            _universeSymbol = universe.Symbol;
+            RetrieveHistoricalData();
+        }
+
+        private IEnumerable<Symbol> UniverseSelector(IEnumerable<BaseData> data)
+        {
+            foreach (var item in data.OfType<StockDataSource>())
+            {
+                yield return item.Symbol;
+            }
+        }
+
+        private void RetrieveHistoricalData()
+        {
+            var history = History<StockDataSource>(_universeSymbol, new DateTime(2018, 1, 1), new DateTime(2018, 6, 1), Resolution.Daily).ToList();
+            if (history.Count == 0)
+            {
+                throw new RegressionTestException($"No historical data received for the symbol {_universeSymbol}.");
+            }
+
+            // Ensure all values are of type StockDataSource
+            foreach (var item in history)
+            {
+                if (item is not StockDataSource)
+                {
+                    throw new RegressionTestException($"Unexpected data type in history. Expected StockDataSource but received {item.GetType().Name}.");
+                }
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!slice.ContainsKey(_universeSymbol))
+            {
+                throw new RegressionTestException($"No data received for the universe symbol: {_universeSymbol}.");
+            }
+            if (!_dataReceived)
+            {
+                RetrieveHistoricalData();
+            }
+            _dataReceived = true;
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_dataReceived)
+            {
+                throw new RegressionTestException("No data was received after the universe selection.");
+            }
+        }
+
+
+        /// <summary>
+        /// Our custom data type that defines where to get and how to read our backtest and live data.
+        /// </summary>
+        public class StockDataSource : BaseData
+        {
+            public List<string> Symbols { get; set; }
+
+            public StockDataSource()
+            {
+                Symbols = new List<string>();
+            }
+
+            public override DateTime EndTime
+            {
+                get { return Time + Period; }
+                set { Time = value - Period; }
+            }
+
+            public TimeSpan Period
+            {
+                get { return QuantConnect.Time.OneDay; }
+            }
+
+            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+            {
+                var source = Path.Combine("..", "..", "..", "Tests", "TestData", "daily-stock-picker-backtest.csv");
+                return new SubscriptionDataSource(source);
+            }
+
+            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+            {
+                if (string.IsNullOrWhiteSpace(line) || !char.IsDigit(line[0]))
+                {
+                    return null;
+                }
+
+                var stocks = new StockDataSource { Symbol = config.Symbol };
+
+                try
+                {
+                    var csv = line.ToCsv();
+                    stocks.Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null);
+                    stocks.Symbols.AddRange(csv[1..]);
+                }
+                catch (FormatException)
+                {
+                    return null;
+                }
+
+                return stocks;
+            }
+        }
+
+        /// <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 => 8767;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 298;
+
+        /// <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", "-3.9"},
+            {"Tracking Error", "0.045"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}