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 +1,76 @@
+# 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>
+### Tests the delisting of the composite Symbol (ETF symbol) and the removal of
+### the universe and the symbol from the algorithm, without adding a subscription via AddEquity
+### </summary>
+class ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF(QCAlgorithm):
+    def initialize(self):
+        self.set_start_date(2020, 12, 1)
+        self.set_end_date(2021, 1, 31)
+        self.set_cash(100000)
+
+        self.universe_symbol_count = 0
+        self.universe_selection_done = False
+        self.universe_added = False
+        self.universe_removed = False
+
+        self.universe_settings.resolution = Resolution.HOUR
+        self.delisting_date = date(2021, 1, 21)
+
+        self.aapl = self.add_equity("AAPL", Resolution.HOUR).symbol
+        self.gdvd = Symbol.create("GDVD", SecurityType.EQUITY, Market.USA)
+
+        self.add_universe(self.universe.etf(self.gdvd, self.universe_settings, self.filter_etfs))
+
+    def filter_etfs(self, constituents):
+        self.universe_selection_done = True
+
+        if self.utc_time.date() > self.delisting_date:
+            raise AssertionError(f"Performing constituent universe selection on {self.utc_time.strftime('%Y-%m-%d %H:%M:%S.%f')} after composite ETF has been delisted")
+
+        constituent_symbols = [i.symbol for i in constituents]
+        self.universe_symbol_count = len(set(constituent_symbols))
+
+        return constituent_symbols
+
+    def on_data(self, data):
+        if self.utc_time.date() > self.delisting_date and any([i != self.aapl for i in data.keys()]):
+            raise AssertionError("Received unexpected slice in OnData(...) after universe was deselected")
+
+        if not self.portfolio.invested:
+            self.set_holdings(self.aapl, 0.5)
+
+    def on_securities_changed(self, changes):
+        if len(changes.added_securities) != 0 and self.utc_time.date() > self.delisting_date:
+            raise AssertionError("New securities added after ETF constituents were delisted")
+
+        if self.universe_selection_done:
+            self.universe_added = self.universe_added or len(changes.added_securities) == self.universe_symbol_count - 1
+
+        # TODO: shouldn't be sending AAPL as a removed security since it was added by another universe
+        self.universe_removed = self.universe_removed or (
+            len(changes.removed_securities) == self.universe_symbol_count and
+            self.utc_time.date() >= self.delisting_date and
+            self.utc_time.date() < self.end_date.date())
+
+    def on_end_of_algorithm(self):
+        if not self.universe_added:
+            raise AssertionError("ETF constituent universe was never added to the algorithm")
+        if not self.universe_removed:
+            raise AssertionError("ETF constituent universe was not removed from the algorithm after delisting")
+        if len(self.active_securities) > 2:
+            raise AssertionError(f"Expected less than 2 securities after algorithm ended, found {len(self.securities)}")