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 +1,87 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Statistics;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Adds daily data, then switches over to minute data after a few days.
+    /// This is to test the behavior of the sampling that occurs while the algorithm
+    /// is executing and its final alignment to the benchmark series in the <see cref="StatisticsBuilder"/> class.
+    /// </summary>
+    /// <remarks>
+    /// -=-=-= WARNING =-=-=-
+    ///
+    /// if you are a user of the platform looking for how to switch the resolution of a symbol, we recommend
+    /// you add data in a high resolution (i.e. minute, second) and use a <see cref="TradeBarConsolidator"/> to aggregate the
+    /// data to your desired resolution.
+    ///
+    /// This algorithm exists to test the internals of LEAN, and should not be used in any algorithm.
+    ///
+    /// -=-=-= WARNING =-=-=-
+    /// </remarks>
+    public class ResolutionSwitchingAlgorithm : QCAlgorithm
+    {
+        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+
+        /// <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()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            AddEquity("SPY", Resolution.Daily);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested &&
+                // Wait for the security to be re-added in the OnSecuritiesChanged event before trying to trade it
+                Securities.TryGetValue(_spy, out var security) && security.IsTradable)
+            {
+                MarketOrder(_spy, 651); // QTY 651 is equal to `SetHoldings(_spy, 1)`
+                Debug("Purchased Stock");
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (changes.RemovedSecurities.Count > 0)
+            {
+                AddEquity("SPY", Resolution.Minute);
+            }
+        }
+
+        public override void OnEndOfDay(Symbol symbol)
+        {
+            if (UtcTime.Date == new DateTime(2013, 10, 9))
+            {
+                RemoveSecurity(symbol);
+            }
+        }
+    }
+}