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 *
+from collections import deque
+
+### <summary>
+### Regression algorithm show casing and asserting the behavior of creating a consolidator specifying the start time
+### </summary>
+class ConsolidatorStartTimeRegressionAlgorithm(QCAlgorithm):
+    def initialize(self):
+        self.set_start_date(2013, 10, 4)
+        self.set_end_date(2013, 10, 4)
+
+        self.add_equity("SPY", Resolution.MINUTE)
+
+        consolidator = TradeBarConsolidator(timedelta(hours=1), start_time=timedelta(hours=9, minutes=30))
+        consolidator.data_consolidated += self.bar_handler
+        self.subscription_manager.add_consolidator("SPY", consolidator)
+
+        self._expectedConsolidationTime = deque()
+        self._expectedConsolidationTime.append(time(14, 30))
+        self._expectedConsolidationTime.append(time(13, 30))
+        self._expectedConsolidationTime.append(time(12, 30))
+        self._expectedConsolidationTime.append(time(11, 30))
+        self._expectedConsolidationTime.append(time(10, 30))
+        self._expectedConsolidationTime.append(time(9, 30))
+
+    def bar_handler(self, _, bar):
+        if self.time != bar.end_time:
+            raise RegressionTestException(f"Unexpected consolidation time {bar.Time} != {Time}!")
+
+        self.debug(f"{self.time} - Consolidation")
+        expected = self._expectedConsolidationTime.pop()
+        if bar.time.time() != expected:
+            raise RegressionTestException(f"Unexpected consolidation time {bar.time.time()} != {expected}!")
+
+        if bar.period != timedelta(hours=1):
+            raise RegressionTestException(f"Unexpected consolidation period {bar.period}!")
+
+    def on_end_of_algorithm(self):
+        if len(self._expectedConsolidationTime) > 0:
+            raise RegressionTestException("Unexpected consolidation times!")