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 QuantConnect.Data;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the split is handled correctly. Specifically GH issue #5765, where cash
+    /// difference applied due to share count difference was using the split reference price instead of the new price,
+    /// increasing cash holdings by a higher amount than it should have
+    /// </summary>
+    public class SplitPartialShareRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private decimal _cash;
+        private SplitType? _splitType;
+        public override void Initialize()
+        {
+            SetStartDate(2014, 06, 05);
+            SetEndDate(2014, 06, 09);
+
+            UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
+
+            AddEquity("AAPL");
+        }
+
+        public override void OnData(Slice slice)
+        {
+            foreach (var dataSplit in slice.Splits)
+            {
+                if (_splitType == null || _splitType < dataSplit.Value.Type)
+                {
+                    _splitType = dataSplit.Value.Type;
+
+                    if (_splitType == SplitType.Warning && _cash != Portfolio.CashBook[Currencies.USD].Amount)
+                    {
+                        throw new RegressionTestException("Unexpected cash amount change before split");
+                    }
+
+                    if (_splitType == SplitType.SplitOccurred)
+                    {
+                        var newCash = Portfolio.CashBook[Currencies.USD].Amount;
+                        if (_cash == newCash || newCash - _cash >= dataSplit.Value.SplitFactor * dataSplit.Value.ReferencePrice)
+                        {
+                            throw new RegressionTestException("Unexpected cash amount change after split");
+                        }
+                    }
+                }
+                else
+                {
+                    throw new RegressionTestException($"Unexpected split event {dataSplit.Value.Type}");
+                }
+            }
+
+            if (!Portfolio.Invested)
+            {
+                Buy("AAPL", 1);
+                _cash = Portfolio.CashBook[Currencies.USD].Amount;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_splitType == null)
+            {
+                throw new RegressionTestException("No split was emitted!");
+            }
+        }
+
+        /// <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 => 2371;
+
+        /// <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", "0.562%"},
+            {"Drawdown", "0.000%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100007.16"},
+            {"Net Profit", "0.007%"},
+            {"Sharpe Ratio", "-3.983"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "32.788%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0"},
+            {"Beta", "-0.007"},
+            {"Annual Standard Deviation", "0.001"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-11.436"},
+            {"Tracking Error", "0.037"},
+            {"Treynor Ratio", "0.431"},
+            {"Total Fees", "$1.00"},
+            {"Estimated Strategy Capacity", "$4200000000.00"},
+            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.13%"},
+            {"Drawdown Recovery", "2"},
+            {"OrderListHash", "87f55de4577d35a6ff70a7fd335e14a4"}
+        };
+    }
+}