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.Interfaces;
+using QuantConnect.Securities.CurrencyConversion;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression test reproduces the issue where a Cash instance is added
+    /// during execution by the BrokerageTransactionHandler, in this case the
+    /// algorithm will be adding it in OnData() to reproduce the same scenario.
+    /// </summary>
+    public class SetCashOnDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+        private bool _added;
+
+        /// <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(2014, 12, 01);  //Set Start Date
+            SetEndDate(2014, 12, 21);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+
+            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 (!_added)
+            {
+                _added = true;
+                // this should not be done by users but could be done by the BrokerageTransactionHandler
+                // Users: see and use SetCash()
+                Portfolio.CashBook.Add("EUR", 10,0);
+            }
+            else
+            {
+                var cash = Portfolio.CashBook["EUR"];
+                if (Time > new DateTime(2014, 12, 2, 16, 0, 0))
+                {
+                    if (cash.CurrencyConversion.GetType() == typeof(ConstantCurrencyConversion) || cash.ConversionRate == 0)
+                    {
+                        throw new RegressionTestException("Expected 'EUR' Cash to be fully set");
+                    }
+                }
+
+                var eurUsdSubscription = SubscriptionManager.SubscriptionDataConfigService
+                    .GetSubscriptionDataConfigs(QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
+                        includeInternalConfigs: true)
+                    .Single();
+                if (!eurUsdSubscription.IsInternalFeed)
+                {
+                    throw new RegressionTestException("Unexpected not internal 'EURUSD' Subscription");
+                }
+            }
+
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_spy, 1);
+                Debug("Purchased Stock");
+            }
+        }
+
+        /// <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 => 144;
+
+        /// <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", "14.647%"},
+            {"Drawdown", "4.800%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100819.38"},
+            {"Net Profit", "0.819%"},
+            {"Sharpe Ratio", "0.717"},
+            {"Sortino Ratio", "1.053"},
+            {"Probabilistic Sharpe Ratio", "46.309%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.001"},
+            {"Beta", "0.996"},
+            {"Annual Standard Deviation", "0.149"},
+            {"Annual Variance", "0.022"},
+            {"Information Ratio", "1.091"},
+            {"Tracking Error", "0.001"},
+            {"Treynor Ratio", "0.108"},
+            {"Total Fees", "$2.75"},
+            {"Estimated Strategy Capacity", "$690000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "4.50%"},
+            {"Drawdown Recovery", "2"},
+            {"OrderListHash", "a87b5796613e060569335f95ec560bdc"}
+        };
+    }
+}