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>
+### Demonstration algorithm of time in force order settings.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="using quantconnect" />
+### <meta name="tag" content="trading and orders" />
+class TimeInForceAlgorithm(QCAlgorithm):
+
+    # Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+    def initialize(self):
+
+        self.set_start_date(2013,10,7)
+        self.set_end_date(2013,10,11)
+        self.set_cash(100000)
+
+        # The default time in force setting for all orders is GoodTilCancelled (GTC),
+        # uncomment this line to set a different time in force.
+        # We currently only support GTC and DAY.
+        # self.default_order_properties.time_in_force = TimeInForce.day
+
+        self._symbol = self.add_equity("SPY", Resolution.MINUTE).symbol
+
+        self._gtc_order_ticket1 = None
+        self._gtc_order_ticket2 = None
+        self._day_order_ticket1 = None
+        self._day_order_ticket2 = None
+        self._gtd_order_ticket1 = None
+        self._gtd_order_ticket2 = None
+        self._expected_order_statuses = {}
+
+    # OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+    # Arguments:
+    #    data: Slice object keyed by symbol containing the stock data
+    def on_data(self, data):
+
+        if not self._gtc_order_ticket1:
+            # These GTC orders will never expire and will not be canceled automatically.
+
+            self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_CANCELED
+
+            # this order will not be filled before the end of the backtest
+            self._gtc_order_ticket1 = self.limit_order(self._symbol, 10, 100)
+            self._expected_order_statuses[self._gtc_order_ticket1.order_id] = OrderStatus.SUBMITTED
+
+            # this order will be filled before the end of the backtest
+            self._gtc_order_ticket2 = self.limit_order(self._symbol, 10, 160)
+            self._expected_order_statuses[self._gtc_order_ticket2.order_id] = OrderStatus.FILLED
+
+        if not self._day_order_ticket1:
+            # These DAY orders will expire at market close,
+            # if not filled by then they will be canceled automatically.
+
+            self.default_order_properties.time_in_force = TimeInForce.DAY
+
+            # this order will not be filled before market close and will be canceled
+            self._day_order_ticket1 = self.limit_order(self._symbol, 10, 140)
+            self._expected_order_statuses[self._day_order_ticket1.order_id] = OrderStatus.CANCELED
+
+            # this order will be filled before market close
+            self._day_order_ticket2 = self.limit_order(self._symbol, 10, 180)
+            self._expected_order_statuses[self._day_order_ticket2.order_id] = OrderStatus.FILLED
+
+        if not self._gtd_order_ticket1:
+            # These GTD orders will expire on October 10th at market close,
+            # if not filled by then they will be canceled automatically.
+
+            self.default_order_properties.time_in_force = TimeInForce.GOOD_TIL_DATE(datetime(2013, 10, 10))
+
+            # this order will not be filled before expiry and will be canceled
+            self._gtd_order_ticket1 = self.limit_order(self._symbol, 10, 100)
+            self._expected_order_statuses[self._gtd_order_ticket1.order_id] = OrderStatus.CANCELED
+
+            # this order will be filled before expiry
+            self._gtd_order_ticket2 = self.limit_order(self._symbol, 10, 160)
+            self._expected_order_statuses[self._gtd_order_ticket2.order_id] = OrderStatus.FILLED
+
+    # Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
+    # This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects
+    def on_order_event(self, orderEvent):
+        self.debug(f"{self.time} {orderEvent}")
+
+    # End of algorithm run event handler. This method is called at the end of a backtest or live trading operation.
+    def on_end_of_algorithm(self):
+        for orderId, expectedStatus in self._expected_order_statuses.items():
+            order = self.transactions.get_order_by_id(orderId)
+            if order.status != expectedStatus:
+                raise AssertionError(f"Invalid status for order {orderId} - Expected: {expectedStatus}, actual: {order.status}")