chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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.
+
+# region imports
+from AlgorithmImports import *
+from Execution.ImmediateExecutionModel import ImmediateExecutionModel
+from QuantConnect.Orders import OrderEvent
+# endregion
+
+### <summary>
+### Regression algorithm to test ImmediateExecutionModel places orders with the
+### correct quantity (taking into account the fee's) so that the fill quantity
+### is the expected one.
+### </summary>
+class ImmediateExecutionModelWorksWithBinanceFeeModel(QCAlgorithm):
+
+    def Initialize(self):
+        # *** initial configurations and backtest ***
+        self.set_start_date(2022, 12, 13)  # Set Start Date
+        self.set_end_date(2022, 12, 14)  # Set End Date
+        self.set_account_currency("BUSD") # Set Account Currency
+        self.set_cash("BUSD", 100000, 1)  # Set Strategy Cash
+
+        self.universe_settings.resolution = Resolution.MINUTE
+
+        symbols = [ Symbol.create("BTCBUSD", SecurityType.CRYPTO, Market.BINANCE) ]
+
+        # set algorithm framework models
+        self.set_universe_selection(ManualUniverseSelectionModel(symbols))
+        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
+
+        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(Resolution.MINUTE))
+        self.set_execution(ImmediateExecutionModel())
+        
+        
+        self.set_brokerage_model(BrokerageName.BINANCE, AccountType.MARGIN)
+    
+    def on_order_event(self, order_event: OrderEvent) -> None:
+        if order_event.status == OrderStatus.FILLED:
+            if abs(order_event.quantity - 5.8) > 0.01:
+                raise AssertionError(f"The expected quantity was 5.8 but the quantity from the order was {order_event.quantity}")