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>
+### Futures framework algorithm that uses open interest to select the active contract.
+### </summary>
+### <meta name="tag" content="regression test" />
+### <meta name="tag" content="futures" />
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="filter selection" />
+class OpenInterestFuturesRegressionAlgorithm(QCAlgorithm):
+
+    expected_expiry_dates = {datetime(2013, 12, 27), datetime(2014,2,26)}
+
+    def initialize(self):
+        self.universe_settings.resolution = Resolution.TICK
+        self.set_start_date(2013,10,8)
+        self.set_end_date(2013,10,11)
+        self.set_cash(10000000)
+
+        # set framework models
+        universe = OpenInterestFutureUniverseSelectionModel(self, lambda date_time: [Symbol.create(Futures.Metals.GOLD, SecurityType.FUTURE, Market.COMEX)], None, len(self.expected_expiry_dates))
+        self.set_universe_selection(universe)
+
+    def on_data(self,data):
+        if self.transactions.orders_count == 0 and data.has_data:
+            matched = list(filter(lambda s: not (s.id.date in self.expected_expiry_dates) and not s.is_canonical(), data.keys()))
+            if len(matched) != 0:
+                raise AssertionError(f"{len(matched)}/{len(data.keys())} were unexpected expiry date(s): " + ", ".join(list(map(lambda x: x.id.date, matched))))
+
+            for symbol in data.keys():
+                self.market_order(symbol, 1)
+        elif any(p.value.invested for p in self.portfolio):
+            self.liquidate()