chore: import upstream snapshot with attribution

Algorithm.Python/SetHoldingsLiquidateExistingHoldingsMultipleTargetsRegressionAlgorithm.py

@@ -0,0 +1,27 @@
+# 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 *
+from SetHoldingsMultipleTargetsRegressionAlgorithm import SetHoldingsMultipleTargetsRegressionAlgorithm
+
+### <summary>
+### Regression algorithm testing GH feature 3790, using SetHoldings with a collection of targets
+### which will be ordered by margin impact before being executed, with the objective of avoiding any
+### margin errors
+### Asserts that liquidate_existing_holdings equal false does not close positions inadvertedly (GH 7008) 
+### </summary>
+class SetHoldingsLiquidateExistingHoldingsMultipleTargetsRegressionAlgorithm(SetHoldingsMultipleTargetsRegressionAlgorithm):
+    def on_data(self, data):
+        if not self.portfolio.invested:
+            self.set_holdings([PortfolioTarget(self._spy, 0.8), PortfolioTarget(self._ibm, 0.2)],
+                             liquidate_existing_holdings=True)