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 MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm(QCAlgorithm):
+    '''This regression test is a version of "MarketOnCloseOrderBufferRegressionAlgorithm"
+     where we test market-on-close modeling with data from the post market.'''
+    _valid_order_ticket = None
+    _invalid_order_ticket = None
+    _valid_order_ticket_extended_market_hours = None
+
+    def initialize(self) -> None:
+        self.set_start_date(2013,10,7)   #Set Start Date
+        self.set_end_date(2013,10,8)    #Set End Date
+
+        self.add_equity("SPY", Resolution.MINUTE, extended_market_hours = True)
+
+        def moc_at_mid_night():
+            self._valid_order_ticket_at_midnight = self.market_on_close_order("SPY", 2)
+
+        self.schedule.on(self.date_rules.tomorrow, self.time_rules.midnight, moc_at_mid_night)
+
+        # Modify our submission buffer time to 10 minutes
+        MarketOnCloseOrder.submission_time_buffer = timedelta(minutes=10)
+
+    def on_data(self, data: Slice) -> None:
+        # Test our ability to submit MarketOnCloseOrders
+        # Because we set our buffer to 10 minutes, any order placed
+        # before 3:50PM should be accepted, any after marked invalid
+
+        # Will not throw an order error and execute
+        if self.time.hour == 15 and self.time.minute == 49 and not self._valid_order_ticket:
+            self._valid_order_ticket = self.market_on_close_order("SPY", 2)
+
+        # Will throw an order error and be marked invalid
+        if self.time.hour == 15 and self.time.minute == 51 and not self._invalid_order_ticket:
+            self._invalid_order_ticket = self.market_on_close_order("SPY", 2)
+
+        # Will not throw an order error and execute
+        if self.time.hour == 16 and self.time.minute == 48 and not self._valid_order_ticket_extended_market_hours:
+            self._valid_order_ticket_extended_market_hours = self.market_on_close_order("SPY", 2)
+
+    def on_end_of_algorithm(self) -> None:
+        # Set it back to default for other regressions
+        MarketOnCloseOrder.submission_time_buffer = MarketOnCloseOrder.DEFAULT_SUBMISSION_TIME_BUFFER
+
+        if self._valid_order_ticket.status != OrderStatus.FILLED:
+            raise AssertionError("Valid order failed to fill")
+
+        if self._invalid_order_ticket.status != OrderStatus.INVALID:
+            raise AssertionError("Invalid order was not rejected")
+
+        if self._valid_order_ticket_extended_market_hours.status != OrderStatus.FILLED:
+            raise AssertionError("Valid order during extended market hours failed to fill")