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.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression test algorithm reproduces GH issue 3239, where the stopLoss order
+    /// place on <see cref="OnOrderEvent"/> was not being filled.
+    /// </summary>
+    public class StopLossOnOrderEventRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private bool _alreadyTraded;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+            _spy = AddEquity("SPY").Symbol;
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug($"{orderEvent}");
+            var order = Transactions.GetOrderById(orderEvent.OrderId);
+            if (order.Tag == "Entry" && orderEvent.Status == OrderStatus.Filled)
+            {
+                // Entry short $2 below
+                var stopPrice = orderEvent.FillPrice - 2;
+                var currencySymbol = Currencies.GetCurrencySymbol(order.PriceCurrency);
+                Debug($"Enter short at {orderEvent.FillPrice} set STOPLOSS at {currencySymbol}{stopPrice}");
+                StopMarketOrder(order.Symbol, -order.Quantity, stopPrice, tag: "StopLoss");
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested && !_alreadyTraded)
+            {
+                _alreadyTraded = true;
+                MarketOrder(_spy, -100, false, "Entry");
+                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 => 3943;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0.00%"},
+            {"Compounding Annual Return", "-0.359%"},
+            {"Drawdown", "0.000%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99995.41"},
+            {"Net Profit", "-0.005%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-8.91"},
+            {"Tracking Error", "0.223"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$2.00"},
+            {"Estimated Strategy Capacity", "$18000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "5.79%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d448232662a0cada4bf83ef8334bcb5b"}
+        };
+    }
+}