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
@@ -0,0 +1,61 @@
+# 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>
+### Regrssion algorithm to assert we can update indicators that inherit from IndicatorBase<TradeBar> with RenkoBar's
+### </summary>
+### <meta name="tag" content="renko" />
+### <meta name="tag" content="indicators" />
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="consolidating data" />
+class IndicatorWithRenkoBarsRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self) -> None:
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 9)
+
+        self.add_equity("SPY")
+        self.add_equity("AIG")
+
+        spy_renko_consolidator = RenkoConsolidator(0.1)
+        spy_renko_consolidator.data_consolidated += self.on_spy_data_consolidated
+
+        aig_renko_consolidator = RenkoConsolidator(0.05)
+        aig_renko_consolidator.data_consolidated += self.on_aig_data_consolidated
+
+        self.subscription_manager.add_consolidator("SPY", spy_renko_consolidator)
+        self.subscription_manager.add_consolidator("AIG", aig_renko_consolidator)
+
+        self._mi = MassIndex("MassIndex", 9, 25)
+        self._wasi = WilderAccumulativeSwingIndex("WilderAccumulativeSwingIndex", 8)
+        self._wsi = WilderSwingIndex("WilderSwingIndex", 8)
+        self._b = Beta("Beta", 3, "AIG", "SPY")
+        self._indicators = [self._mi, self._wasi, self._wsi, self._b]
+
+    def on_spy_data_consolidated(self, sender: object, renko_bar: RenkoBar) -> None:
+        self._mi.update(renko_bar)
+        self._wasi.update(renko_bar)
+        self._wsi.update(renko_bar)
+        self._b.update(renko_bar)
+
+    def on_aig_data_consolidated(self, sender: object, renko_bar: RenkoBar) -> None:
+        self._b.update(renko_bar)
+
+    def on_end_of_algorithm(self) -> None:
+        for indicator in self._indicators:
+            if not indicator.is_ready:
+                raise AssertionError(f"{indicator.name} indicator should be ready")
+            elif indicator.current.value == 0:
+                raise AssertionError(f"The current value of the {indicator.name} indicator should be different than zero")