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 *
+from Selection.ManualUniverseSelectionModel import ManualUniverseSelectionModel
+
+class G10CurrencySelectionModel(ManualUniverseSelectionModel):
+    '''Provides an implementation of IUniverseSelectionModel that simply subscribes to G10 currencies'''
+    def __init__(self):
+        '''Initializes a new instance of the G10CurrencySelectionModel class
+        using the algorithm's security initializer and universe settings'''
+        super().__init__([Symbol.create(x, SecurityType.FOREX, Market.OANDA)
+                            for x in [ "EURUSD",
+                                    "GBPUSD",
+                                    "USDJPY",
+                                    "AUDUSD",
+                                    "NZDUSD",
+                                    "USDCAD",
+                                    "USDCHF",
+                                    "USDNOK",
+                                    "USDSEK" ]])
+
+### <summary>
+### Framework algorithm that uses the G10CurrencySelectionModel,
+### a Universe Selection Model that inherits from ManualUniverseSelectionModel
+### </summary>
+class G10CurrencySelectionModelFrameworkAlgorithm(QCAlgorithm):
+    '''Framework algorithm that uses the G10CurrencySelectionModel,
+    a Universe Selection Model that inherits from ManualUniverseSelectionMode'''
+
+    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.'''
+
+        # Set requested data resolution
+        self.universe_settings.resolution = Resolution.MINUTE
+
+        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
+
+        # set algorithm framework models
+        self.set_universe_selection(G10CurrencySelectionModel())
+        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
+        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
+        self.set_execution(ImmediateExecutionModel())
+        self.set_risk_management(MaximumDrawdownPercentPerSecurity(0.01))
+
+    def on_order_event(self, order_event):
+        if order_event.status == OrderStatus.FILLED:
+            self.debug("Purchased Stock: {0}".format(order_event.symbol))