chore: import upstream snapshot with attribution

Algorithm.Python/CustomBrokerageSideOrderHandlingRegressionPartialAlgorithm.py

@@ -0,0 +1,59 @@
+# 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>
+### Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
+### This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
+###
+### All orders are sent from the brokerage, none of them will be placed by the algorithm.
+### </summary>
+class CustomBrokerageSideOrderHandlingRegressionPartialAlgorithm(QCAlgorithm):
+    '''Algorithm demonstrating the usage of custom brokerage message handler and the new brokerage-side order handling/filtering.
+     This test is supposed to be ran by the CustomBrokerageMessageHandlerTests unit test fixture.
+
+     All orders are sent from the brokerage, none of them will be placed by the algorithm.'''
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+        self.set_cash(100000)
+
+        self.set_brokerage_message_handler(CustomBrokerageMessageHandler(self))
+
+        self._spy = Symbol.create("SPY", SecurityType.EQUITY, Market.USA)
+
+    def on_end_of_algorithm(self):
+        # The security should have been added
+        if not self.securities.contains_key(self._spy):
+            raise AssertionError("Expected security to have been added")
+
+        if self.transactions.orders_count == 0:
+            raise AssertionError("Expected orders to be added from brokerage side")
+
+        if len(list(self.portfolio.positions.groups)) != 1:
+            raise AssertionError("Expected only one position")
+
+class CustomBrokerageMessageHandler(DefaultBrokerageMessageHandler):
+    def __init__(self, algorithm):
+        super().__init__(algorithm)
+        self._algorithm = algorithm
+
+    def handle_order(self, event_args):
+        order = event_args.order
+        if order.tag is None or not order.tag.isdigit():
+            raise AssertionError("Expected all new brokerage-side orders to have a valid tag")
+
+        # We will only process orders with even tags
+        return int(order.tag) % 2 == 0