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 +1,138 @@
+# 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
+
+### <summary>
+### Regression test to check python indicator is keeping backwards compatibility 
+### with indicators that do not set WarmUpPeriod or do not inherit from PythonIndicator class.
+### </summary>
+### <meta name="tag" content="indicators" />
+### <meta name="tag" content="indicator classes" />
+### <meta name="tag" content="custom indicator" />
+### <meta name="tag" content="regression test" />
+class CustomWarmUpPeriodIndicatorAlgorithm(QCAlgorithm):
+    def initialize(self) -> None:
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+        self.add_equity("SPY", Resolution.SECOND)
+
+        # Create three python indicators
+        # - custom_not_warm_up does not define WarmUpPeriod parameter
+        # - custom_warm_up defines WarmUpPeriod parameter
+        # - custom_not_inherit defines WarmUpPeriod parameter but does not inherit from PythonIndicator class
+        # - csharp_indicator defines WarmUpPeriod parameter and represents the traditional LEAN C# indicator
+        self._custom_not_warm_up = CSMANotWarmUp('custom_not_warm_up', 60)
+        self._custom_warm_up = CSMAWithWarmUp('custom_warm_up', 60)
+        self._custom_not_inherit = CustomSMA('custom_not_inherit', 60)
+        self._csharp_indicator = SimpleMovingAverage('csharp_indicator', 60)
+
+        # Register the daily data of "SPY" to automatically update the indicators
+        self.register_indicator("SPY", self._custom_warm_up, Resolution.MINUTE)
+        self.register_indicator("SPY", self._custom_not_warm_up, Resolution.MINUTE)
+        self.register_indicator("SPY", self._custom_not_inherit, Resolution.MINUTE)
+        self.register_indicator("SPY", self._csharp_indicator, Resolution.MINUTE)
+
+        # Warm up custom_warm_up indicator
+        self.warm_up_indicator("SPY", self._custom_warm_up, Resolution.MINUTE)
+
+        # Check custom_warm_up indicator has already been warmed up with the requested data
+        assert(self._custom_warm_up.is_ready), "custom_warm_up indicator was expected to be ready"
+        assert(self._custom_warm_up.samples == 60), "custom_warm_up indicator was expected to have processed 60 datapoints already"
+
+        # Try to warm up custom_not_warm_up indicator. It's expected from LEAN to skip the warm up process
+        # because this indicator doesn't define WarmUpPeriod parameter
+        self.warm_up_indicator("SPY", self._custom_not_warm_up, Resolution.MINUTE)
+
+        # Check custom_not_warm_up indicator is not ready and is using the default WarmUpPeriod value
+        assert(not self._custom_not_warm_up.is_ready), "custom_not_warm_up indicator wasn't expected to be warmed up"
+        assert(self._custom_not_warm_up.warm_up_period == 0), "custom_not_warm_up indicator WarmUpPeriod parameter was expected to be 0"
+
+        # Warm up custom_not_inherit indicator. Though it does not inherit from PythonIndicator class,
+        # it defines WarmUpPeriod parameter so it's expected to be warmed up from LEAN
+        self.warm_up_indicator("SPY", self._custom_not_inherit, Resolution.MINUTE)
+
+        # Check custom_not_inherit indicator has already been warmed up with the requested data
+        assert(self._custom_not_inherit.is_ready), "custom_not_inherit indicator was expected to be ready"
+        assert(self._custom_not_inherit.samples == 60), "custom_not_inherit indicator was expected to have processed 60 datapoints already"
+
+        # Warm up csharp_indicator
+        self.warm_up_indicator("SPY", self._csharp_indicator, Resolution.MINUTE)
+
+        # Check csharp_indicator indicator has already been warmed up with the requested data
+        assert(self._csharp_indicator.is_ready), "csharp_indicator indicator was expected to be ready"
+        assert(self._csharp_indicator.samples == 60), "csharp_indicator indicator was expected to have processed 60 datapoints already"
+
+    def on_data(self, data: Slice) -> None:
+        if not self.portfolio.invested:
+            self.set_holdings("SPY", 1)
+
+        if self.time.second == 0:
+            # Compute the difference between indicators values
+            diff = abs(self._custom_not_warm_up.current.value - self._custom_warm_up.current.value)
+            diff += abs(self._custom_not_inherit.value - self._custom_not_warm_up.current.value)
+            diff += abs(self._custom_not_inherit.value - self._custom_warm_up.current.value)
+            diff += abs(self._csharp_indicator.current.value - self._custom_warm_up.current.value)
+            diff += abs(self._csharp_indicator.current.value - self._custom_not_warm_up.current.value)
+            diff += abs(self._csharp_indicator.current.value - self._custom_not_inherit.value)
+
+            # Check custom_not_warm_up indicator is ready when the number of samples is bigger than its WarmUpPeriod parameter
+            assert(self._custom_not_warm_up.is_ready == (self._custom_not_warm_up.samples >= 60)), "custom_not_warm_up indicator was expected to be ready when the number of samples were bigger that its WarmUpPeriod parameter"
+
+            # Check their values are the same. We only need to check if custom_not_warm_up indicator is ready because the other ones has already been asserted to be ready
+            assert(diff <= 1e-10 or (not self._custom_not_warm_up.is_ready)), f"The values of the indicators are not the same. Indicators difference is {diff}"
+            
+# Python implementation of SimpleMovingAverage.
+# Represents the traditional simple moving average indicator (SMA) without Warm Up Period parameter defined
+class CSMANotWarmUp(PythonIndicator):
+    def __init__(self, name: str, period: int) -> None:
+        super().__init__()
+        self.name = name
+        self.value = 0
+        self._queue = deque(maxlen=period)
+
+    # Update method is mandatory
+    def update(self, input: IndicatorDataPoint) -> bool:
+        self._queue.appendleft(input.value)
+        count = len(self._queue)
+        self.value = np.sum(self._queue) / count
+        return count == self._queue.maxlen
+
+# Python implementation of SimpleMovingAverage.
+# Represents the traditional simple moving average indicator (SMA) With Warm Up Period parameter defined
+class CSMAWithWarmUp(CSMANotWarmUp):
+    def __init__(self, name: str, period: int) -> None:
+        super().__init__(name, period)
+        self.warm_up_period = period
+
+# Custom python implementation of SimpleMovingAverage.
+# Represents the traditional simple moving average indicator (SMA)
+class CustomSMA():
+    def __init__(self, name: str, period: int) -> None:
+        self.name = name
+        self.value = 0
+        self._queue = deque(maxlen=period)
+        self.warm_up_period = period
+        self.is_ready = False
+        self.samples = 0
+
+    # Update method is mandatory
+    def update(self, input: IndicatorDataPoint) -> bool:
+        self.samples += 1
+        self._queue.appendleft(input.value)
+        count = len(self._queue)
+        self.value = np.sum(self._queue) / count
+        if count == self._queue.maxlen:
+            self.is_ready = True
+        return self.is_ready