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
@@ -0,0 +1,87 @@
+# 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
+from math import isclose
+
+class CustomIndicatorWithExtensionAlgorithm(QCAlgorithm):
+    def initialize(self) -> None:
+        self.set_start_date(2013, 10, 9)
+        self.set_end_date(2013, 10, 9)
+
+        self._spy = self.add_equity("SPY", Resolution.MINUTE).symbol
+
+        self._sma_values = []
+        self._period = 10
+
+        self._sma = self.sma(self._spy, self._period, Resolution.MINUTE)
+        self._sma.updated += self.on_sma_updated
+
+        self._custom_sma = CustomSimpleMovingAverage("My SMA", self._period)
+        self._ext = IndicatorExtensions.of(self._custom_sma, self._sma)
+        self._ext.updated += self.on_indicator_extension_updated
+
+        self._sma_minus_custom = IndicatorExtensions.minus(self._sma, self._custom_sma)
+        self._sma_minus_custom.updated += self.on_minus_updated
+
+        self._sma_was_updated = False
+        self._custom_sma_was_updated = False
+        self._sma_minus_custom_was_updated = False
+
+    def on_sma_updated(self, sender: object, updated: IndicatorDataPoint) -> None:
+        self._sma_was_updated = True
+
+        if self._sma.is_ready:
+            self._sma_values.append(self._sma.current.value)
+
+    def on_indicator_extension_updated(self, sender: object, updated: IndicatorDataPoint) -> None:
+        self._custom_sma_was_updated = True
+
+        sma_last_values = self._sma_values[-self._period:]
+        expected = sum(sma_last_values) / len(sma_last_values)
+
+        if not isclose(expected, self._custom_sma.value):
+            raise AssertionError(f"Expected the custom SMA to calculate the moving average of the last {self._period} values of the SMA. "
+                            f"Current expected: {expected}. Actual {self._custom_sma.value}.")
+
+        self.debug(f"{self._sma.current.value} :: {self._custom_sma.value} :: {updated}")
+
+    def on_minus_updated(self, sender: object, updated: IndicatorDataPoint) -> None:
+        self._sma_minus_custom_was_updated = True
+
+        expected = self._sma.current.value - self._custom_sma.value
+
+        if not isclose(expected, self._sma_minus_custom.current.value):
+            raise AssertionError(f"Expected the composite minus indicator to calculate the difference between the SMA and custom SMA indicators. "
+                            f"Expected: {expected}. Actual {self._sma_minus_custom.current.value}.")
+
+    def on_end_of_algorithm(self) -> None:
+        if not (self._sma_was_updated and self._custom_sma_was_updated and self._sma_minus_custom_was_updated):
+            raise AssertionError("Expected all indicators to have been updated.")
+
+# Custom indicator
+class CustomSimpleMovingAverage(PythonIndicator):
+    def __init__(self, name: str, period: int) -> None:
+        self.name = name
+        self.value = 0
+        self.warm_up_period = period
+        self._queue = deque(maxlen=period)
+
+    def update(self, input: BaseData) -> bool:
+        self._queue.appendleft(input.value)
+        count = len(self._queue)
+        self.value = sum(self._queue) / count
+
+        return count == self._queue.maxlen