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.
+
+from AlgorithmImports import *
+
+### <summary>
+### A demonstration of consolidating futures data into larger bars for your algorithm.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="benchmarks" />
+### <meta name="tag" content="consolidating data" />
+### <meta name="tag" content="futures" />
+class BasicTemplateFuturesConsolidationAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+        self.set_cash(1000000)
+
+        # Subscribe and set our expiry filter for the futures chain
+        futureSP500 = self.add_future(Futures.Indices.SP_500_E_MINI)
+        # set our expiry filter for this future chain
+        # SetFilter method accepts timedelta objects or integer for days.
+        # The following statements yield the same filtering criteria
+        futureSP500.set_filter(0, 182)
+        # future.set_filter(timedelta(0), timedelta(182))
+
+        self.consolidators = dict()
+
+    def on_data(self,slice):
+        pass
+
+    def on_data_consolidated(self, sender, quote_bar):
+        self.log("OnDataConsolidated called on " + str(self.time))
+        self.log(str(quote_bar))
+        
+    def on_securities_changed(self, changes):
+        for security in changes.added_securities:
+            consolidator = QuoteBarConsolidator(timedelta(minutes=5))
+            consolidator.data_consolidated += self.on_data_consolidated
+            self.subscription_manager.add_consolidator(security.symbol, consolidator)
+            self.consolidators[security.symbol] = consolidator
+            
+        for security in changes.removed_securities:
+            consolidator = self.consolidators.pop(security.symbol)
+            self.subscription_manager.remove_consolidator(security.symbol, consolidator)
+            consolidator.data_consolidated -= self.on_data_consolidated