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>
+### Demonstration of using custom margin interest rate model in backtesting.
+### </summary>
+class CustomMarginInterestRateModelAlgorithm(QCAlgorithm):
+    def initialize(self):
+        self.set_start_date(2013, 10, 1)
+        self.set_end_date(2013, 10, 31)
+
+        security = self.add_equity("SPY", Resolution.HOUR)
+        self._spy = security.symbol
+
+        # set the margin interest rate model
+        self._margin_interest_rate_model = CustomMarginInterestRateModel()
+        security.set_margin_interest_rate_model(self._margin_interest_rate_model)
+
+        self._cash_after_order = 0
+
+    def on_data(self, data: Slice):
+        if not self.portfolio.invested:
+            self.set_holdings(self._spy, 1)
+
+    def on_order_event(self, order_event: OrderEvent):
+        if order_event.status == OrderStatus.FILLED:
+            self._cash_after_order = self.portfolio.cash
+
+    def on_end_of_algorithm(self):
+        if self._margin_interest_rate_model.call_count == 0:
+            raise AssertionError("CustomMarginInterestRateModel was not called")
+
+        expected_cash = self._cash_after_order * pow(1 + self._margin_interest_rate_model.interest_rate, self._margin_interest_rate_model.call_count)
+
+        if abs(self.portfolio.cash - expected_cash) > 1e-10:
+            raise AssertionError(f"Expected cash {expected_cash} but got {self.portfolio.cash}")
+
+
+class CustomMarginInterestRateModel:
+    def __init__(self):
+        self.interest_rate = 0.01
+        self.call_count = 0
+
+    def apply_margin_interest_rate(self, parameters: MarginInterestRateParameters):
+        security = parameters.security
+        position_value = security.holdings.get_quantity_value(security.holdings.quantity)
+
+        if position_value.amount > 0:
+            position_value.cash.add_amount(self.interest_rate * position_value.cash.amount)
+            self.call_count += 1