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>
+### Regression algorithm testing portfolio construction model control over rebalancing,
+### specifying a date rules, see GH 4075.
+### </summary>
+class PortfolioRebalanceOnDateRulesRegressionAlgorithm(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.universe_settings.resolution = Resolution.DAILY
+
+        # Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
+        # Commented so regression algorithm is more sensitive
+        #self.settings.minimum_order_margin_portfolio_percentage = 0.005
+
+        # let's use 0 minimum order margin percentage so we can assert trades are only submitted immediately after rebalance on Wednesday
+        # if not, due to TPV variations happening every day we might no cross the minimum on wednesday but yes another day of the week
+        self.settings.minimum_order_margin_portfolio_percentage = 0
+
+        self.set_start_date(2015,1,1)
+        self.set_end_date(2017,1,1)
+
+        self.settings.rebalance_portfolio_on_insight_changes = False
+        self.settings.rebalance_portfolio_on_security_changes = False
+
+        self.set_universe_selection(CustomUniverseSelectionModel("CustomUniverseSelectionModel", lambda time: [ "AAPL", "IBM", "FB", "SPY" ]))
+        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, TimeSpan.from_minutes(20), 0.025, None))
+        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(self.date_rules.every(DayOfWeek.WEDNESDAY)))
+        self.set_execution(ImmediateExecutionModel())
+
+    def on_order_event(self, order_event):
+        if order_event.status == OrderStatus.SUBMITTED:
+            self.debug(str(order_event))
+            if self.utc_time.weekday() != 2:
+                raise ValueError(str(self.utc_time) + " " + str(order_event.symbol) + " " + str(self.utc_time.weekday()))