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 QuantConnect.Data;
+using QuantConnect.Securities;
+using System;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test we can specify a custom settlement model using Security.SetSettlementModel() method
+    /// </summary>
+    public class SetCustomSettlementModelRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Security _spy;
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 11);
+            SetCash(10000);
+            _spy = AddEquity("SPY", Resolution.Daily);
+            _spy.SetSettlementModel(new CustomSettlementModel());
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Portfolio.CashBook[Currencies.USD].Amount == 10000)
+            {
+                var parameters = new ApplyFundsSettlementModelParameters(Portfolio, _spy, Time, new CashAmount(101, Currencies.USD), null);
+                _spy.SettlementModel.ApplyFunds(parameters);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Portfolio.CashBook[Currencies.USD].Amount != 10101)
+            {
+                throw new RegressionTestException($"It was expected to have 10101 USD in Portfolio, but was {Portfolio.CashBook[Currencies.USD].Amount}");
+            }
+
+            var parameters = new ScanSettlementModelParameters(Portfolio, _spy, new DateTime(2013, 10, 6));
+            _spy.SettlementModel.Scan(parameters);
+
+            if (Portfolio.CashBook[Currencies.USD].Amount != 10000)
+            {
+                throw new RegressionTestException($"It was expected to have 10000 USD in Portfolio, but was {Portfolio.CashBook[Currencies.USD].Amount}");
+            }
+        }
+
+        /// <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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 48;
+
+        /// <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", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "119.460%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "10000"},
+            {"End Equity", "10101"},
+            {"Net Profit", "1.010%"},
+            {"Sharpe Ratio", "-5.989"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "1.011%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.411"},
+            {"Beta", "-0.033"},
+            {"Annual Standard Deviation", "0.079"},
+            {"Annual Variance", "0.006"},
+            {"Information Ratio", "-10.086"},
+            {"Tracking Error", "0.243"},
+            {"Treynor Ratio", "14.619"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+
+    public class CustomSettlementModel : ISettlementModel
+    {
+        private string _currency;
+        private decimal _amount;
+        public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
+        {
+            _currency = applyFundsParameters.CashAmount.Currency;
+            _amount = applyFundsParameters.CashAmount.Amount;
+            applyFundsParameters.Portfolio.CashBook[_currency].AddAmount(_amount);
+        }
+
+        public void Scan(ScanSettlementModelParameters settlementParameters)
+        {
+            if (settlementParameters.UtcTime == new DateTime(2013, 10, 6))
+            {
+                settlementParameters.Portfolio.CashBook[_currency].AddAmount(-_amount);
+            }
+        }
+
+        /// <summary>
+        /// Gets the unsettled cash amount for the security
+        /// </summary>
+        public CashAmount GetUnsettledCash()
+        {
+            return default;
+        }
+    }
+}