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>
+### Universe Selection regression algorithm simulates an edge case. In one week, Google listed two new symbols, delisted one of them and changed tickers.
+### </summary>
+### <meta name="tag" content="regression test" />
+class UniverseSelectionRegressionAlgorithm(QCAlgorithm):
+    
+    def initialize(self):
+        
+        self.set_start_date(2014,3,22)   #Set Start Date
+        self.set_end_date(2014,4,7)      #Set End Date
+        self.set_cash(100000)           #Set Strategy Cash
+        # Find more symbols here: http://quantconnect.com/data
+        # security that exists with no mappings
+        self.add_equity("SPY", Resolution.DAILY)
+        # security that doesn't exist until half way in backtest (comes in as GOOCV)
+        self.add_equity("GOOG", Resolution.DAILY)
+
+        self.universe_settings.resolution = Resolution.DAILY
+        self.add_universe(self.coarse_selection_function)
+
+        self.delisted_symbols = []
+        self.changes = None
+
+
+    def coarse_selection_function(self, coarse):
+        return [ c.symbol for c in coarse if c.symbol.value == "GOOG" or c.symbol.value == "GOOCV" or c.symbol.value == "GOOAV" or c.symbol.value == "GOOGL" ]
+
+
+    def on_data(self, data):
+        if self.transactions.orders_count == 0:
+            self.market_order("SPY", 100)
+
+        for kvp in data.delistings:
+            self.delisted_symbols.append(kvp.key)
+        
+        if self.changes is None:
+            return
+
+        if not all(data.bars.contains_key(x.symbol) for x in self.changes.added_securities):
+            return 
+        
+        for security in self.changes.added_securities:
+            self.log("{0}: Added Security: {1}".format(self.time, security.symbol))
+            self.market_on_open_order(security.symbol, 100)
+
+        for security in self.changes.removed_securities:
+            self.log("{0}: Removed Security: {1}".format(self.time, security.symbol))
+            if security.symbol not in self.delisted_symbols:
+                self.log("Not in delisted: {0}:".format(security.symbol))
+                self.market_on_open_order(security.symbol, -100)
+
+        self.changes = None 
+
+
+    def on_securities_changed(self, changes):
+        self.changes = changes
+
+
+    def on_order_event(self, orderEvent):
+        if orderEvent.status == OrderStatus.SUBMITTED:
+            self.log("{0}: Submitted: {1}".format(self.time, self.transactions.get_order_by_id(orderEvent.order_id)))
+        if orderEvent.status == OrderStatus.FILLED:
+            self.log("{0}: Filled: {1}".format(self.time, self.transactions.get_order_by_id(orderEvent.order_id)))