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 to test we can specify a custom brokerage model, and override some of its methods
+### </summary>
+class CustomBrokerageModelRegressionAlgorithm(QCAlgorithm):
+    def initialize(self):
+        self.set_start_date(2013,10,7)
+        self.set_end_date(2013,10,11)
+        self.set_brokerage_model(CustomBrokerageModel())
+        self.add_equity("SPY", Resolution.DAILY)
+        self.add_equity("AIG", Resolution.DAILY)
+        self.update_request_submitted = False
+
+        if self.brokerage_model.default_markets[SecurityType.EQUITY] != Market.USA:
+            raise AssertionError(f"The default market for Equity should be {Market.USA}")
+        if self.brokerage_model.default_markets[SecurityType.CRYPTO] != Market.BINANCE:
+            raise AssertionError(f"The default market for Crypto should be {Market.BINANCE}")
+
+    def on_data(self, slice):
+        if not self.portfolio.invested:
+            self.market_order("SPY", 100.0)
+            self.aig_ticket = self.market_order("AIG", 100.0)
+
+    def on_order_event(self, order_event):
+        spy_ticket = self.transactions.get_order_ticket(order_event.order_id)
+        if self.update_request_submitted == False:
+            update_order_fields = UpdateOrderFields()
+            update_order_fields.quantity = spy_ticket.quantity + 10
+            spy_ticket.update(update_order_fields)
+            self.spy_ticket = spy_ticket
+            self.update_request_submitted = True
+
+    def on_end_of_algorithm(self):
+        submit_expected_message = "BrokerageModel declared unable to submit order: [2] Information - Code:  - Symbol AIG can not be submitted"
+        if self.aig_ticket.submit_request.response.error_message != submit_expected_message:
+            raise AssertionError(f"Order with ID: {self.aig_ticket.order_id} should not have submitted symbol AIG")
+        update_expected_message = "OrderID: 1 Information - Code:  - This order can not be updated"
+        if self.spy_ticket.update_requests[0].response.error_message != update_expected_message:
+            raise AssertionError(f"Order with ID: {self.spy_ticket.order_id} should have been updated")
+
+class CustomBrokerageModel(DefaultBrokerageModel):
+    default_markets = { SecurityType.EQUITY: Market.USA, SecurityType.CRYPTO : Market.BINANCE  }
+
+    def can_submit_order(self, security: Security, order: Order, message: BrokerageMessageEvent):
+        if security.symbol.value == "AIG":
+            message = BrokerageMessageEvent(BrokerageMessageType.INFORMATION, "", "Symbol AIG can not be submitted")
+            return False, message
+        return True, None
+
+    def can_update_order(self, security: Security, order: Order, request: UpdateOrderRequest, message: BrokerageMessageEvent):
+        message = BrokerageMessageEvent(BrokerageMessageType.INFORMATION, "", "This order can not be updated")
+        return False, message