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.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing portfolio construction model control over rebalancing,
+    /// when setting 'PortfolioConstructionModel.RebalanceOnSecurityChanges' to false, see GH 4075.
+    /// </summary>
+    public class PortfolioRebalanceOnSecurityChangesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private int _generatedInsightsCount;
+        private Dictionary<Symbol, DateTime> _lastOrderFilled;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            SetStartDate(2015, 1, 1);
+            SetEndDate(2017, 1, 1);
+
+            Settings.RebalancePortfolioOnSecurityChanges = false;
+            Settings.RebalancePortfolioOnInsightChanges = false;
+
+            SetUniverseSelection(new CustomUniverseSelectionModel("CustomUniverseSelectionModel",
+                time =>
+                {
+                    if (new[] { DayOfWeek.Friday, DayOfWeek.Thursday }.Contains(time.DayOfWeek))
+                    {
+                        return new List<string> { "FB", "SPY" };
+                    }
+                    return new List<string> { "AAPL", "IBM" };
+                }
+            ));
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(
+                time => time.AddDays(30)));
+            SetExecution(new ImmediateExecutionModel());
+
+            _lastOrderFilled = new Dictionary<Symbol, DateTime>();
+
+            InsightsGenerated += (_, e) => _generatedInsightsCount += e.Insights.Length;
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Submitted)
+            {
+                DateTime lastOrderFilled;
+                if (_lastOrderFilled.TryGetValue(orderEvent.Symbol, out lastOrderFilled))
+                {
+                    if (UtcTime - lastOrderFilled < TimeSpan.FromDays(30))
+                    {
+                        throw new RegressionTestException($"{UtcTime} {orderEvent.Symbol} {UtcTime - lastOrderFilled}");
+                    }
+                }
+                _lastOrderFilled[orderEvent.Symbol] = UtcTime;
+
+                Debug($"{orderEvent}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Insights.Count == _generatedInsightsCount)
+            {
+                // The number of insights is modified by the Portfolio Construction Model,
+                // since it removes expired insights and insights from removed securities 
+                throw new RegressionTestException($"The number of insights in the insight manager should be different of the number of all insights generated ({_generatedInsightsCount})");
+            }
+        }
+
+        /// <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 => 5485;
+
+        /// <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", "64"},
+            {"Average Win", "2.71%"},
+            {"Average Loss", "-2.34%"},
+            {"Compounding Annual Return", "2.256%"},
+            {"Drawdown", "25.500%"},
+            {"Expectancy", "0.079"},
+            {"Start Equity", "100000"},
+            {"End Equity", "104560.59"},
+            {"Net Profit", "4.561%"},
+            {"Sharpe Ratio", "0.117"},
+            {"Sortino Ratio", "0.106"},
+            {"Probabilistic Sharpe Ratio", "6.672%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "1.16"},
+            {"Alpha", "-0.01"},
+            {"Beta", "0.569"},
+            {"Annual Standard Deviation", "0.125"},
+            {"Annual Variance", "0.016"},
+            {"Information Ratio", "-0.243"},
+            {"Tracking Error", "0.117"},
+            {"Treynor Ratio", "0.026"},
+            {"Total Fees", "$271.25"},
+            {"Estimated Strategy Capacity", "$44000000.00"},
+            {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
+            {"Portfolio Turnover", "4.37%"},
+            {"Drawdown Recovery", "57"},
+            {"OrderListHash", "d6286db83c9d034251491fae4c937d76"}
+        };
+    }
+}