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.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression test algorithm reproduces issue https://github.com/QuantConnect/Lean/issues/4834
+    /// fixed in PR https://github.com/QuantConnect/Lean/pull/4836
+    /// Adjusted data of fill forward bars should use original scale factor
+    /// </summary>
+    public class ScaledFillForwardDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private TradeBar _lastRealBar;
+        private Symbol _twx;
+        public override void Initialize()
+        {
+            SetStartDate(2014, 6, 5);
+            SetEndDate(2014, 6, 9);
+
+            _twx = AddEquity("TWX", Resolution.Minute, extendedMarketHours: true).Symbol;
+            Schedule.On(DateRules.EveryDay(_twx), TimeRules.Every(TimeSpan.FromHours(1)), PlotPrice);
+        }
+
+        private void PlotPrice()
+        {
+            Plot($"{_twx}", "Ask", Securities[_twx].AskPrice);
+            Plot($"{_twx}", "Bid", Securities[_twx].BidPrice);
+            Plot($"{_twx}", "Price", Securities[_twx].Price);
+            Plot("Portfolio.TPV", "Value", Portfolio.TotalPortfolioValue);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var current = slice.Bars.FirstOrDefault().Value;
+            if (current != null)
+            {
+                if (Time == new DateTime(2014, 06, 09, 4, 1, 0) && !Portfolio.Invested)
+                {
+                    if (!current.IsFillForward)
+                    {
+                        throw new RegressionTestException($"Was expecting a first fill forward bar {Time}");
+                    }
+
+                    // trade on the first bar after a factor price scale change. +10 so we fill ASAP. Limit so it fills in extended market hours
+                    LimitOrder(_twx, 1000, _lastRealBar.Close + 10);
+                }
+
+                if (_lastRealBar == null || !current.IsFillForward)
+                {
+                    _lastRealBar = current;
+                }
+                else if (_lastRealBar.Close != current.Close)
+                {
+                    throw new RegressionTestException($"FillForwarded data point at {Time} was scaled. Actual: {current.Close}; Expected: {_lastRealBar.Close}");
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_lastRealBar == null)
+            {
+                throw new RegressionTestException($"Not all expected data points were received.");
+            }
+        }
+
+        /// <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 => 5507;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "45.475%"},
+            {"Drawdown", "0.800%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100497.59"},
+            {"Net Profit", "0.498%"},
+            {"Sharpe Ratio", "9.126"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "94.905%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.439"},
+            {"Beta", "-0.184"},
+            {"Annual Standard Deviation", "0.039"},
+            {"Annual Variance", "0.002"},
+            {"Information Ratio", "-1.093"},
+            {"Tracking Error", "0.059"},
+            {"Treynor Ratio", "-1.956"},
+            {"Total Fees", "$5.00"},
+            {"Estimated Strategy Capacity", "$26000.00"},
+            {"Lowest Capacity Asset", "AOL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "12.68%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "409eed1832c1cf1db6afaa160e85c639"}
+        };
+    }
+}