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.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression algorithm has two different Universe using the same Security but with
+    /// different SubscriptionDataConfig. One of them will add and remove it in a toggle fashion and it should also remove the
+    /// corresponding SubscriptionDataConfig.
+    /// Also will test manually adding and removing a security.
+    /// </summary>
+    /// <meta name="tag" content="regression test" />
+    public class UniverseSharingSecurityDifferentSubscriptionRequestRegressionAlgorithm
+        : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+        private readonly Symbol _aig = QuantConnect.Symbol.Create("AIG", SecurityType.Equity, Market.USA);
+        private int _onDataCalls;
+        private bool _alreadyRemoved;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);  //Set Start Date
+            SetEndDate(2013, 10, 11);    //Set End Date
+            SetCash(100000); //Set Strategy Cash
+
+            AddEquity("SPY");
+            AddEquity("AIG");
+
+            UniverseSettings.Resolution = Resolution.Minute;
+            UniverseSettings.ExtendedMarketHours = true;
+            AddUniverse(SecurityType.Equity,
+                "SecondUniverse",
+                Resolution.Daily,
+                Market.USA,
+                UniverseSettings,
+                time => time.Day % 2 == 0 ? new[] { "SPY" } : Enumerable.Empty<string>()
+            );
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            _onDataCalls++;
+
+            if (_alreadyRemoved)
+            {
+                var config = SubscriptionManager
+                    .SubscriptionDataConfigService
+                    .GetSubscriptionDataConfigs(_aig);
+                if (config.Any())
+                {
+                    throw new RegressionTestException($"Unexpected SubscriptionDataConfig: {config}");
+                }
+            }
+
+            if (!_alreadyRemoved)
+            {
+                _alreadyRemoved = true;
+                var config = SubscriptionManager
+                    .SubscriptionDataConfigService
+                    .GetSubscriptionDataConfigs(_aig);
+                if (!config.Any())
+                {
+                    throw new RegressionTestException("Expecting to find a SubscriptionDataConfig for AIG");
+                }
+                RemoveSecurity(_aig);
+            }
+
+            var isExtendedMarketHours = SubscriptionManager
+                .SubscriptionDataConfigService
+                .GetSubscriptionDataConfigs(_spy)
+                .IsExtendedMarketHours();
+
+            if (Time.Day % 2 == 0)
+            {
+                if (!isExtendedMarketHours)
+                {
+                    throw new RegressionTestException($"Unexpected isExtendedMarketHours value: {false}");
+                }
+            }
+            else
+            {
+                if (isExtendedMarketHours)
+                {
+                    throw new RegressionTestException($"Unexpected isExtendedMarketHours value: {true}");
+                }
+
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_onDataCalls == 0)
+            {
+                throw new RegressionTestException($"Unexpected OnData() calls count {_onDataCalls}");
+            }
+        }
+
+        /// <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 => 7001;
+
+        /// <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", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"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", "-57.739"},
+            {"Tracking Error", "0.178"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}