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>
+    /// Regression algorithm asserting that equities can be traded even if they are not added to the algorithm.
+    /// They will be automatically added as tradable securities an seeded when an order is placed for them.
+    /// </summary>
+    public class TradingNotAddedEquitiesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly Symbol _equitySymbol = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 04);
+            SetEndDate(2013, 10, 04);
+            SetCash(1000000);
+
+            // We won't trade IBM, but we need data to trigger the SPY trade in OnData
+            AddEquity("IBM");
+        }
+
+        protected void AssertSecurityIsAdded(Symbol symbol)
+        {
+            if (!Securities.TryGetValue(symbol, out var security) || ActiveSecurities.ContainsKey(symbol) || !security.IsTradable)
+            {
+                throw new RegressionTestException($"Contract {symbol} was not added as tradable security");
+            }
+        }
+
+        protected void AssertSecurityIsNotAdded(Symbol symbol)
+        {
+            if (Securities.TryGetValue(symbol, out var security) && ActiveSecurities.ContainsKey(symbol) && security.IsTradable)
+            {
+                throw new RegressionTestException($"Contract {symbol} was added as tradable security when it should not have been");
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                AssertSecurityIsNotAdded(_equitySymbol);
+                
+                var ticket = Buy(_equitySymbol, 1);
+                if (ticket.Status == OrderStatus.Invalid)
+                {
+                    throw new RegressionTestException($"Order for {_equitySymbol} was rejected");
+                }
+
+                AssertSecurityIsAdded(_equitySymbol);
+
+                // We are done
+                Quit();
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log(orderEvent.ToString());
+        }
+
+        /// <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 virtual bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 10;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual int AlgorithmHistoryDataPoints => 7;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public virtual 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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "999999"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$1.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.01%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "0bb919a1b4258ad8983506f2843f4db5"}
+        };
+    }
+}