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 for testing ScheduledUniverseSelectionModel scheduling functions.
+### </summary>
+class ScheduledUniverseSelectionModelRegressionAlgorithm(QCAlgorithm):
+    '''Regression algorithm for testing ScheduledUniverseSelectionModel scheduling functions.'''
+
+    def initialize(self):
+
+        self.universe_settings.resolution = Resolution.HOUR
+
+        # 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
+
+        self.set_start_date(2017, 1, 1)
+        self.set_end_date(2017, 2, 1)
+
+        # selection will run on mon/tues/thurs at 00:00/06:00/12:00/18:00
+        self.set_universe_selection(ScheduledUniverseSelectionModel(
+            self.date_rules.every(DayOfWeek.MONDAY, DayOfWeek.TUESDAY, DayOfWeek.THURSDAY),
+            self.time_rules.every(timedelta(hours = 12)),
+            self.select_symbols
+            ))
+
+        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1)))
+        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
+
+        # some days of the week have different behavior the first time -- less securities to remove
+        self.seen_days = []
+
+    def select_symbols(self, dateTime):
+
+        symbols = []
+        weekday = dateTime.weekday()
+
+        if weekday == 0 or weekday == 1:
+            symbols.append(Symbol.create('SPY', SecurityType.EQUITY, Market.USA))
+        elif weekday == 2:
+            # given the date/time rules specified in Initialize, this symbol will never be selected (not invoked on wednesdays)
+            symbols.append(Symbol.create('AAPL', SecurityType.EQUITY, Market.USA))
+        else:
+            symbols.append(Symbol.create('IBM', SecurityType.EQUITY, Market.USA))
+
+        if weekday == 1 or weekday == 3:
+            symbols.append(Symbol.create('EURUSD', SecurityType.FOREX, Market.OANDA))
+        elif weekday == 4:
+            # given the date/time rules specified in Initialize, this symbol will never be selected (every 6 hours never lands on hour==1)
+            symbols.append(Symbol.create('EURGBP', SecurityType.FOREX, Market.OANDA))
+        else:
+            symbols.append(Symbol.create('NZDUSD', SecurityType.FOREX, Market.OANDA))
+
+        return symbols
+
+    def on_securities_changed(self, changes):
+        self.log("{}: {}".format(self.time, changes))
+
+        weekday = self.time.weekday()
+
+        if weekday == 0:
+            self.expect_additions(changes, 'SPY', 'NZDUSD')
+            if weekday not in self.seen_days:
+                self.seen_days.append(weekday)
+                self.expect_removals(changes, None)
+            else:
+                self.expect_removals(changes, 'EURUSD', 'IBM')
+
+        if weekday == 1:
+            self.expect_additions(changes, 'EURUSD')
+            if weekday not in self.seen_days:
+                self.seen_days.append(weekday)
+                self.expect_removals(changes, 'NZDUSD')
+            else:
+                self.expect_removals(changes, 'NZDUSD')
+
+        if weekday == 2 or weekday == 4:
+            # selection function not invoked on wednesdays (2) or friday (4)
+            self.expect_additions(changes, None)
+            self.expect_removals(changes, None)
+
+        if weekday == 3:
+            self.expect_additions(changes, "IBM")
+            self.expect_removals(changes, "SPY")
+
+
+    def on_order_event(self, orderEvent):
+        self.log("{}: {}".format(self.time, orderEvent))
+
+    def expect_additions(self, changes, *tickers):
+        if tickers is None and changes.added_securities.count > 0:
+            raise AssertionError("{}: Expected no additions: {}".format(self.time, self.time.weekday()))
+
+        for ticker in tickers:
+            if ticker is not None and ticker not in [s.symbol.value for s in changes.added_securities]:
+                raise AssertionError("{}: Expected {} to be added: {}".format(self.time, ticker, self.time.weekday()))
+
+    def expect_removals(self, changes, *tickers):
+        if tickers is None and changes.removed_securities.count > 0:
+            raise AssertionError("{}: Expected no removals: {}".format(self.time, self.time.weekday()))
+
+        for ticker in tickers:
+            if ticker is not None and ticker not in [s.symbol.value for s in changes.removed_securities]:
+                raise AssertionError("{}: Expected {} to be removed: {}".format(self.time, ticker, self.time.weekday()))