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 *
+
+### <summary>
+### Custom data universe selection regression algorithm asserting it's behavior. See GH issue #6396
+### </summary>
+class NoUniverseSelectorRegressionAlgorithm(QCAlgorithm):
+    def initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+        self.set_start_date(2014, 3, 24)
+        self.set_end_date(2014, 3, 31)
+
+        self.universe_settings.resolution = Resolution.DAILY
+        self.add_universe(CoarseFundamental)
+        self.changes = None
+
+    def on_data(self, data):
+        # if we have no changes, do nothing
+        if not self.changes: return
+
+        # liquidate removed securities
+        for security in self.changes.removed_securities:
+            if security.invested:
+                self.liquidate(security.symbol)
+
+        active_and_with_data_securities = sum(x.value.has_data for x in self.active_securities)
+        # we want 1/N allocation in each security in our universe
+        for security in self.changes.added_securities:
+            if security.has_data:
+                self.set_holdings(security.symbol, 1 / active_and_with_data_securities)
+        self.changes = None
+
+    def on_securities_changed(self, changes):
+        self.changes = changes