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 example demonstrates how to create future 'stop_market_order' in extended Market Hours time
+# </summary>
+
+class FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm(QCAlgorithm):
+    # Keep new created instance of stop_market_order
+    _stop_market_ticket = None
+    
+    # Initialize the Algorithm and Prepare Required Data
+    def initialize(self) -> None:
+        self.set_start_date(2013, 10, 6)
+        self.set_end_date(2013, 10, 12)
+
+        # Add mini SP500 future with extended Market hours flag
+        self._sp_500_e_mini = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, extended_market_hours=True)
+
+        # Init new schedule event with params: every_day, 19:00:00 PM, what should to do
+        self.schedule.on(self.date_rules.every_day(),self.time_rules.at(19, 0),self.make_market_and_stop_market_order)
+
+    # This method is opened 2 new orders by scheduler
+    def make_market_and_stop_market_order(self) -> None:
+        # Don't place orders at the end of the last date, the market-on-stop order won't have time to fill
+        if self.time.date() == self.end_date.date() - timedelta(1) or  not self._sp_500_e_mini.mapped:
+            return
+
+        self.market_order(self._sp_500_e_mini.mapped, 1)
+        self._stop_market_ticket = self.stop_market_order(self._sp_500_e_mini.mapped, -1, self._sp_500_e_mini.price * 1.1)
+
+    # New Data Event handler receiving all subscription data in a single event
+    def on_data(self, slice: Slice) -> None:
+        if (self._stop_market_ticket == None or self._stop_market_ticket.status != OrderStatus.SUBMITTED):
+            return None
+
+        self.stop_price = self._stop_market_ticket.get(OrderField.STOP_PRICE)
+        self.bar = self.securities[self._stop_market_ticket.symbol].cache.get_data()
+
+    # An order fill update the resulting information is passed to this method.
+    def on_order_event(self, order_event: OrderEvent) -> None:
+        if self.transactions.get_order_by_id(order_event.order_id).type is not OrderType.STOP_MARKET:
+            return None
+
+        if order_event.status == OrderStatus.FILLED:
+            # Get Exchange Hours for specific security
+            exchange_hours = self.market_hours_database.get_exchange_hours(self._sp_500_e_mini.subscription_data_config)
+
+            # Validate, Exchange is opened explicitly
+            if (not exchange_hours.is_open(order_event.utc_time, self._sp_500_e_mini.is_extended_market_hours)):
+                raise AssertionError("The Exchange hours was closed, verify 'extended_market_hours' flag in Initialize() when added new security(ies)")
+
+    def on_end_of_algorithm(self) -> None:
+        self.stop_market_orders = self.transactions.get_orders(lambda o: o.type is OrderType.STOP_MARKET)
+
+        for o in self.stop_market_orders:
+            if o.status != OrderStatus.FILLED:
+                raise AssertionError("The Algorithms was not handled any StopMarketOrders")