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 +1,128 @@
+/*
+ * 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 QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing the behavior of the algorithm when a security is removed and re-added.
+    /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
+    /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
+    ///
+    /// Additionally, it tests that the security is initialized after every addition, and no more.
+    ///
+    /// This specific algorithm tests this behavior for manually added option contracts.
+    /// </summary>
+    public class SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm : SecurityInitializationOnReAdditionForEquityRegressionAlgorithm
+    {
+        private static readonly Symbol _optionContractSymbol = QuantConnect.Symbol.CreateOption(
+            QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
+            Market.USA,
+            OptionStyle.American,
+            OptionRight.Call,
+            342.9m,
+            new DateTime(2014, 07, 19));
+
+        private int _securityAdditionsCount;
+
+        protected override DateTime StartTimeToUse => new DateTime(2014, 06, 04);
+
+        protected override DateTime EndTimeToUse => new DateTime(2014, 06, 20);
+
+        protected override Security AddSecurity()
+        {
+            _securityAdditionsCount++;
+            return AddOptionContract(_optionContractSymbol, Resolution.Daily);
+        }
+
+        protected override void AssertSecurityInitializationCount(Dictionary<Security, int> securityInializationCounts, Security security)
+        {
+            // The first time the contract is added, the underlying equity will be added and initialized as well.
+            // The following times the contract is added, the underlying equity will not be added again.
+            var expectedSecuritiesInitialized = 1;
+            if (_securityAdditionsCount == 1)
+            {
+                expectedSecuritiesInitialized = 2;
+            }
+
+            if (securityInializationCounts.Count != expectedSecuritiesInitialized)
+            {
+                throw new RegressionTestException($"Expected {expectedSecuritiesInitialized} security to be initialized. " +
+                    $"Got {securityInializationCounts.Count}");
+            }
+
+            if (!securityInializationCounts.TryGetValue(security, out var count) || count != 1)
+            {
+                throw new RegressionTestException($"Expected the option contract to be initialized once and once only, " +
+                    $"but was initialized {count} times");
+            }
+
+            if (expectedSecuritiesInitialized == 2 &&
+                !securityInializationCounts.TryGetValue(Securities[security.Symbol.Underlying], out count) || count != 1)
+            {
+                throw new RegressionTestException($"Expected the underlying security to be initialized once and once only, " +
+                    $"but was initialized {count} times");
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 139;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 5;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override 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", "-6.27"},
+            {"Tracking Error", "0.056"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}