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>
+### Regression algorithm asserting that consolidators expose a built-in rolling window
+### </summary>
+class ConsolidatorRollingWindowRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+
+        self.add_equity("SPY", Resolution.MINUTE)
+
+        self._consolidation_count = 0
+        self._consolidator = TradeBarConsolidator(timedelta(minutes=10))
+        self._consolidator.data_consolidated += self._on_data_consolidated
+        self.subscription_manager.add_consolidator("SPY", self._consolidator)
+
+    def _on_data_consolidated(self, sender, bar):
+        self._consolidation_count += 1
+
+        if self._consolidator.current != self._consolidator[0]:
+            raise AssertionError("Expected current to be the same as window[0]")
+
+        # consolidator[0] must always match the bar just fired
+        current_bar = self._consolidator[0]
+        if current_bar.time != bar.time:
+            raise AssertionError(f"Expected consolidator[0].time == {bar.time} but was {current_bar.time}")
+        if current_bar.value != bar.close:
+            raise AssertionError(f"Expected consolidator[0].value == {bar.close} but was {current_bar.value}")
+
+        # After the second consolidation the previous bar must be at index 1
+        if self._consolidator.window.count >= 2:
+            previous = self._consolidator[1]
+            if self._consolidator.previous != self._consolidator[1]:
+                raise AssertionError("Expected previous to be the same as window[1]")
+            if previous.time >= bar.time:
+                raise AssertionError(
+                    f"consolidator[1].time ({previous.time}) should be earlier "
+                    f"than consolidator[0].time ({bar.time})"
+                )
+            if previous.value <= 0:
+                raise AssertionError("consolidator[1].value should be greater than zero")
+
+    def on_data(self, data):
+        pass
+
+    def on_end_of_algorithm(self):
+        if self._consolidation_count == 0:
+            raise AssertionError("Expected at least one consolidation but got zero")
+
+        # Default window size is 2, it must be full
+        if self._consolidator.window.count != 2:
+            raise AssertionError(f"Expected window count of 2 but was {self._consolidator.window.count}")