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.Brokerages;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm which tests that a two leg currency conversion happens correctly
+    /// </summary>
+    public class TwoLegCurrencyConversionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _ethUsdSymbol;
+        private Symbol _ltcUsdSymbol;
+
+        public override void Initialize()
+        {
+            SetStartDate(2018, 04, 04);
+            SetEndDate(2018, 04, 04);
+            SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
+
+            // GDAX doesn't have LTCETH or ETHLTC, but they do have ETHUSD and LTCUSD to form a path between ETH and LTC
+            SetAccountCurrency("ETH");
+            SetCash("ETH", 100000);
+            SetCash("LTC", 100000);
+            SetCash("USD", 100000);
+
+            _ethUsdSymbol = AddCrypto("ETHUSD", Resolution.Minute).Symbol;
+            _ltcUsdSymbol = AddCrypto("LTCUSD", Resolution.Minute).Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                MarketOrder(_ltcUsdSymbol, 1);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            var ltcCash = Portfolio.CashBook["LTC"];
+
+            var conversionSymbols = ltcCash.CurrencyConversion.ConversionRateSecurities
+                .Select(x => x.Symbol)
+                .ToList();
+
+            if (conversionSymbols.Count != 2)
+            {
+                throw new RegressionTestException(
+                    $"Expected two conversion rate securities for LTC to ETH, is {conversionSymbols.Count}");
+            }
+
+            if (conversionSymbols[0] != _ltcUsdSymbol)
+            {
+                throw new RegressionTestException(
+                    $"Expected first conversion rate security from LTC to ETH to be {_ltcUsdSymbol}, is {conversionSymbols[0]}");
+            }
+
+            if (conversionSymbols[1] != _ethUsdSymbol)
+            {
+                throw new RegressionTestException(
+                    $"Expected second conversion rate security from LTC to ETH to be {_ethUsdSymbol}, is {conversionSymbols[1]}");
+            }
+
+            var ltcUsdValue = Securities[_ltcUsdSymbol].GetLastData().Value;
+            var ethUsdValue = Securities[_ethUsdSymbol].GetLastData().Value;
+
+            var expectedConversionRate = ltcUsdValue / ethUsdValue;
+            var actualConversionRate = ltcCash.ConversionRate;
+
+            if (actualConversionRate != expectedConversionRate)
+            {
+                throw new RegressionTestException(
+                    $"Expected conversion rate from LTC to ETH to be {expectedConversionRate}, is {actualConversionRate}");
+            }
+        }
+
+        /// <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 => 5765;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 20;
+
+        /// <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%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "132337.76"},
+            {"End Equity", "131620.05"},
+            {"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", "Ξ0.00"},
+            {"Estimated Strategy Capacity", "Ξ2000.00"},
+            {"Lowest Capacity Asset", "LTCUSD 2XR"},
+            {"Portfolio Turnover", "0.00%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "c5d6001a28b12bd2d6c714a9aaa3aa07"}
+        };
+    }
+}