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>
+### Regression algorithm asserting that tick history request includes both trade and quote data
+### </summary>
+class HistoryTickRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 12)
+        self.set_end_date(2013, 10, 13)
+
+        self._symbol = self.add_equity("SPY", Resolution.TICK).symbol
+
+        trades_count = 0
+        quotes_count = 0
+        for point in self.history[Tick](self._symbol, timedelta(days=1), Resolution.TICK):
+            if point.tick_type == TickType.TRADE:
+                trades_count += 1
+            elif point.tick_type == TickType.QUOTE:
+                quotes_count += 1
+
+            if trades_count > 0 and quotes_count > 0:
+                # We already found at least one tick of each type, we can exit the loop
+                break
+
+        if trades_count == 0 or quotes_count == 0:
+            raise AssertionError("Expected to find at least one tick of each type (quote and trade)")
+
+        self.quit()