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>
+### Custom data universe selection regression algorithm asserting it's behavior. See GH issue #6396
+### </summary>
+class CustomDataUniverseRegressionAlgorithm(QCAlgorithm):
+    def initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+        self.set_start_date(2014, 3, 24)
+        self.set_end_date(2014, 3, 31)
+
+        self.current_underlying_symbols = set()
+        self.universe_settings.resolution = Resolution.DAILY
+        self.add_universe(CoarseFundamental, "custom-data-universe", self.selection)
+
+        self._selection_time = [datetime(2014, 3, 24), datetime(2014, 3, 25), datetime(2014, 3, 26),
+                              datetime(2014, 3, 27), datetime(2014, 3, 28), datetime(2014, 3, 29)]
+
+    def selection(self, coarse):
+        self.debug(f"Universe selection called: {self.time} Count: {len(coarse)}")
+
+        expected_time = self._selection_time.pop(0)
+        if expected_time != self.time:
+            raise ValueError(f"Unexpected selection time {self.time} expected {expected_time}")
+
+        # sort descending by daily dollar volume
+        sorted_by_dollar_volume = sorted(coarse, key=lambda x: x.dollar_volume, reverse=True)
+
+        # return the symbol objects of the top entries from our sorted collection
+        underlying_symbols = [ x.symbol for x in sorted_by_dollar_volume[:10] ]
+        custom_symbols = []
+        for symbol in underlying_symbols:
+            custom_symbols.append(Symbol.create_base(MyPyCustomData, symbol))
+        return underlying_symbols + custom_symbols
+
+    def on_data(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if not self.portfolio.invested:
+            custom_data = data.get(MyPyCustomData)
+            if len(custom_data) > 0:
+                for symbol in sorted(self.current_underlying_symbols, key=lambda x: x.id.symbol):
+                    if not self.securities[symbol].has_data:
+                        continue
+                    self.set_holdings(symbol, 1 / len(self.current_underlying_symbols))
+
+                    if len([x for x in custom_data.keys() if x.underlying == symbol]) == 0:
+                        raise ValueError(f"Custom data was not found for symbol {symbol}")
+
+    def on_end_of_algorithm(self):
+        if len(self._selection_time) != 0:
+            raise ValueError(f"Unexpected selection times, missing {len(self._selection_time)}")
+
+    def on_securities_changed(self, changes):
+        for security in changes.added_securities:
+            if security.symbol.security_type == SecurityType.BASE:
+                continue
+            self.current_underlying_symbols.add(security.symbol)
+
+        for security in changes.removed_securities:
+            if (security.symbol.security_type == SecurityType.BASE or
+                # This check can be removed after GH issue #9055 is resolved
+                not security.symbol in self.current_underlying_symbols):
+                continue
+            self.current_underlying_symbols.remove(security.symbol)
+
+class MyPyCustomData(PythonData):
+
+    def get_source(self, config, date, is_live_mode):
+        source = f"{Globals.data_folder}/equity/usa/daily/{LeanData.generate_zip_file_name(config.symbol, date, config.resolution, config.tick_type)}"
+        return SubscriptionDataSource(source)
+
+    def reader(self, config, line, date, is_live_mode):
+        csv = line.split(',')
+        _scaleFactor = 1 / 10000
+
+        custom = MyPyCustomData()
+        custom.symbol = config.symbol
+        custom.time =  datetime.strptime(csv[0], '%Y%m%d %H:%M')
+        custom.open = float(csv[1]) * _scaleFactor
+        custom.high = float(csv[2]) * _scaleFactor
+        custom.low = float(csv[3]) * _scaleFactor
+        custom.close = float(csv[4]) * _scaleFactor
+        custom.value = float(csv[4]) * _scaleFactor
+        custom.period = Time.ONE_DAY
+        custom.end_time = custom.time + custom.period
+
+        return custom