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 datetime import timedelta
+from AlgorithmImports import *
+
+### <summary>
+### Adds a universe with a custom data type and retrieves historical data 
+### while preserving the custom data type.
+### </summary>
+class PersistentCustomDataUniverseRegressionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.set_start_date(2018, 6, 1)
+        self.set_end_date(2018, 6, 19)
+
+        universe = self.add_universe(StockDataSource, "my-stock-data-source", Resolution.DAILY, self.universe_selector)
+        self._universe_symbol = universe.symbol
+        self.retrieve_historical_data()
+        self._data_received = False
+
+    def universe_selector(self, data):
+        return [x.symbol for x in data]
+    
+    def retrieve_historical_data(self):
+        history = list(self.history[StockDataSource](self._universe_symbol, datetime(2018, 1, 1), datetime(2018, 6, 1), Resolution.DAILY))
+        if (len(history) == 0):
+            raise AssertionError(f"No historical data received for symbol {self._universe_symbol}.")
+
+        # Ensure all values are of type StockDataSource
+        for item in history:
+            if not isinstance(item, StockDataSource):
+                raise AssertionError(f"Unexpected data type in history. Expected StockDataSource but received {type(item).__name__}.")
+    
+    def OnData(self, slice: Slice):
+        if self._universe_symbol not in slice:
+            raise AssertionError(f"No data received for the universe symbol: {self._universe_symbol}.")
+        if (not self._data_received):
+            self.retrieve_historical_data()
+        self._data_received = True
+        
+    def OnEndOfAlgorithm(self) -> None:
+        if not self._data_received:
+            raise AssertionError("No data was received after the universe selection.")
+
+class StockDataSource(PythonData):
+
+    def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live: bool) -> SubscriptionDataSource:
+        source = "../../../Tests/TestData/daily-stock-picker-backtest.csv"
+        return SubscriptionDataSource(source)
+
+    def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live: bool) -> BaseData:
+        if not (line.strip() and line[0].isdigit()): return None
+
+        stocks = StockDataSource()
+        stocks.symbol = config.symbol
+
+        try:
+            csv = line.split(',')
+            stocks.time = datetime.strptime(csv[0], "%Y%m%d")
+            stocks.end_time = stocks.time + self.period
+            stocks["Symbols"] = csv[1:]
+
+        except ValueError:
+            return None
+
+        return stocks
+    @property
+    def period(self) -> timedelta:
+        return timedelta(days=1)