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
@@ -0,0 +1,62 @@
+### 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 which tests that a two leg currency conversion happens correctly
+### </summary>
+class TwoLegCurrencyConversionRegressionAlgorithm(QCAlgorithm):
+    def initialize(self):
+        self.set_start_date(2018, 4, 4)
+        self.set_end_date(2018, 4, 4)
+        self.set_brokerage_model(BrokerageName.GDAX, AccountType.CASH)
+        # GDAX doesn't have LTCETH or ETHLTC, but they do have ETHUSD and LTCUSD to form a path between ETH and LTC
+        self.set_account_currency("ETH")
+        self.set_cash("ETH", 100000)
+        self.set_cash("LTC", 100000)
+        self.set_cash("USD", 100000)
+
+        self._eth_usd_symbol = self.add_crypto("ETHUSD", Resolution.MINUTE).symbol
+        self._ltc_usd_symbol = self.add_crypto("LTCUSD", Resolution.MINUTE).symbol
+
+    def on_data(self, data):
+        if not self.portfolio.invested:
+            self.market_order(self._ltc_usd_symbol, 1)
+
+    def on_end_of_algorithm(self):
+        ltc_cash = self.portfolio.cash_book["LTC"]
+
+        conversion_symbols = [x.symbol for x in ltc_cash.currency_conversion.conversion_rate_securities]
+
+        if len(conversion_symbols) != 2:
+            raise ValueError(
+                f"Expected two conversion rate securities for LTC to ETH, is {len(conversion_symbols)}")
+
+        if conversion_symbols[0] != self._ltc_usd_symbol:
+            raise ValueError(
+                f"Expected first conversion rate security from LTC to ETH to be {self._ltc_usd_symbol}, is {conversion_symbols[0]}")
+
+        if conversion_symbols[1] != self._eth_usd_symbol:
+            raise ValueError(
+                f"Expected second conversion rate security from LTC to ETH to be {self._eth_usd_symbol}, is {conversion_symbols[1]}")
+
+        ltc_usd_value = self.securities[self._ltc_usd_symbol].get_last_data().value
+        eth_usd_value = self.securities[self._eth_usd_symbol].get_last_data().value
+
+        expected_conversion_rate = ltc_usd_value / eth_usd_value
+        actual_conversion_rate = ltc_cash.conversion_rate
+
+        if actual_conversion_rate != expected_conversion_rate:
+            raise ValueError(
+                f"Expected conversion rate from LTC to ETH to be {expected_conversion_rate}, is {actual_conversion_rate}")