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>
+### This algorithm demonstrates extended market hours trading.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="assets" />
+### <meta name="tag" content="regression test" />
+class ExtendedMarketTradingRegressionAlgorithm(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(2013,10,7)   #Set Start Date
+        self.set_end_date(2013,10,11)    #Set End Date
+        self.set_cash(100000)           #Set Strategy Cash
+        # Find more symbols here: http://quantconnect.com/data
+        self.spy = self.add_equity("SPY", Resolution.MINUTE, Market.USA, True, 1, True)
+
+        self._last_action = None
+
+    def on_data(self, data):
+        '''on_data event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
+        if self._last_action is not None and self._last_action.date() == self.time.date():
+            return
+
+        spy_bar = data.bars['SPY']
+
+        if not self.in_market_hours():
+            self.limit_order("SPY", 10, spy_bar.low)
+            self._last_action = self.time
+
+    def on_order_event(self, order_event):
+        self.log(str(order_event))
+        if self.in_market_hours():
+            raise AssertionError("Order processed during market hours.")
+
+    def in_market_hours(self):
+        now = self.time.time()
+        open = time(9,30,0)
+        close = time(16,0,0)
+        return (open < now) and (close > now)
+