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 *
+
+class MarketImpactSlippageModelRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 13)
+        self.set_cash(10000000)
+
+        spy = self.add_equity("SPY", Resolution.DAILY)
+        aapl = self.add_equity("AAPL", Resolution.DAILY)
+
+        spy.set_slippage_model(MarketImpactSlippageModel(self))
+        aapl.set_slippage_model(MarketImpactSlippageModel(self))
+
+    def on_data(self, data):
+        self.set_holdings("SPY", 0.5)
+        self.set_holdings("AAPL", -0.5)
+
+    def on_order_event(self, order_event):
+        if order_event.status == OrderStatus.FILLED:
+            self.debug(f"Price: {self.securities[order_event.symbol].price}, filled price: {order_event.fill_price}, quantity: {order_event.fill_quantity}")