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 collections import deque
+
+### <summary>
+### Basic algorithm demonstrating how to place LimitIfTouched orders.
+### </summary>
+### <meta name="tag" content="trading and orders" />
+### <meta name="tag" content="placing orders" />`
+### <meta name="tag" content="limit if touched order"/>
+class LimitIfTouchedRegressionAlgorithm(QCAlgorithm):
+
+    asynchronous_orders = False
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+        self.set_cash(100000)
+        self.add_equity("SPY")
+
+        self.expected_events = deque([
+            "Time: 10/10/2013 13:31:00 OrderID: 72 EventID: 399 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: $144.6434 LimitPrice: $144.3551 TriggerPrice: $143.61 OrderFee: 1 USD",
+            "Time: 10/10/2013 15:57:00 OrderID: 73 EventID: 156 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: $145.6636 LimitPrice: $145.6434 TriggerPrice: $144.89 OrderFee: 1 USD",
+            "Time: 10/11/2013 15:37:00 OrderID: 74 EventID: 380 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: $146.7185 LimitPrice: $146.6723 TriggerPrice: $145.92 OrderFee: 1 USD"
+        ])
+
+    def on_data(self, data):
+        if data.contains_key("SPY"):
+            if len(self.transactions.get_open_orders()) == 0:
+                self._negative = 1 if self.time.day < 9 else -1
+                order_request = SubmitOrderRequest(OrderType.LIMIT_IF_TOUCHED, SecurityType.EQUITY, "SPY",
+                                                  self._negative * 10, 0,
+                                                  data["SPY"].price - self._negative,
+                                                  data["SPY"].price - 0.25 * self._negative, self.utc_time,
+                                                  f"LIT - Quantity: {self._negative * 10}",
+                                                  asynchronous=self.asynchronous_orders)
+                self._request = self.transactions.add_order(order_request)
+                return
+
+            if self._request is not None:
+                if self._request.quantity == 1:
+                    self.transactions.cancel_open_orders()
+                    self._request = None
+                    return
+
+                new_quantity = int(self._request.quantity - self._negative)
+                self._request.update_quantity(new_quantity, f"LIT - Quantity: {new_quantity}")
+                self._request.update_trigger_price(Extensions.round_to_significant_digits(self._request.get(OrderField.TRIGGER_PRICE), 5))
+
+    def on_order_event(self, order_event):
+        if order_event.status == OrderStatus.FILLED:
+            expected = self.expected_events.popleft()
+            if str(order_event) != expected:
+                raise AssertionError(f"order_event {order_event.id} differed from {expected}. Actual {order_event}")
+
+    def on_end_of_algorithm(self):
+        for ticket in self.transactions.get_order_tickets():
+            if ticket.submit_request.asynchronous != self.asynchronous_orders:
+                raise AssertionError("Expected all orders to have the same asynchronous flag as the algorithm.")