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 +1,138 @@
+/*
+ * 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.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class SecuritySessionWithOptionRegressionAlgorithm : SecuritySessionRegressionAlgorithm
+    {
+        private MarketHourAwareConsolidator _optionContractConsolidator;
+        private decimal _previousOpenInterest;
+        public override void InitializeSecurity()
+        {
+            SetStartDate(2014, 06, 06);
+            SetEndDate(2014, 06, 09);
+
+            UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
+            UniverseSettings.MinimumTimeInUniverse = TimeSpan.Zero;
+
+            var aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
+
+            var _contract = OptionChain(aapl)
+                .OrderBy(symbol => symbol.ID.OptionRight)
+                .ThenBy(symbol => symbol.ID.StrikePrice)
+                .ThenBy(symbol => symbol.ID.Date)
+                .ThenBy(symbol => symbol.ID)
+                .FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call);
+            Security = AddOptionContract(_contract);
+
+            // Manually add consolidators to simulate Session behavior
+            _optionContractConsolidator = new MarketHourAwareConsolidator(false, Resolution.Daily, typeof(QuoteBar), TickType.Quote, false);
+            SubscriptionManager.AddConsolidator(_contract.Symbol, _optionContractConsolidator, TickType.Quote);
+        }
+
+        protected override void AccumulateSessionData(Slice slice)
+        {
+            if (CurrentDate.Date != slice.Time.Date)
+            {
+                // Check the previous session bar
+                var consolidated = (QuoteBar)_optionContractConsolidator.Consolidated;
+                var futureSession = Security.Session;
+                if (futureSession[1].Open != consolidated.Open
+                    || futureSession[1].High != consolidated.High
+                    || futureSession[1].Low != consolidated.Low
+                    || futureSession[1].Close != consolidated.Close
+                    || futureSession[1].OpenInterest != _previousOpenInterest)
+                {
+                    throw new RegressionTestException("Mismatch in previous session bar (OHLCV)");
+                }
+                CurrentDate = slice.Time;
+            }
+        }
+
+        protected override void ValidateSessionBars()
+        {
+            var futureSession = Security.Session;
+
+            _previousOpenInterest = Security.OpenInterest;
+            var workingData = (QuoteBar)_optionContractConsolidator.WorkingData;
+            if (futureSession.Open != workingData.Open
+                || futureSession.High != workingData.High
+                || futureSession.Low != workingData.Low
+                || futureSession.Close != workingData.Close
+                || futureSession.OpenInterest != Security.OpenInterest)
+            {
+                throw new RegressionTestException("Mismatch in current session bar (OHLCV)");
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 3147;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 1;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <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", "-9.486"},
+            {"Tracking Error", "0.008"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}