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 used to test a fine and coarse selection methods returning Universe.UNCHANGED
+### </summary>
+class UniverseUnchangedRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.universe_settings.resolution = Resolution.DAILY
+
+        # 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(2014,3,25)
+        self.set_end_date(2014,4,7)
+
+        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(days = 1), 0.025, None))
+        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
+
+        self.add_universe(self.coarse_selection_function, self.fine_selection_function)
+
+        self.number_of_symbols_fine = 2
+
+    def coarse_selection_function(self, coarse):
+        # the first and second selection
+        if self.time.date() <= date(2014, 3, 26):
+            tickers = [ "AAPL", "AIG", "IBM" ]
+            return [ Symbol.create(x, SecurityType.EQUITY, Market.USA) for x in tickers ]
+
+        # will skip fine selection
+        return Universe.UNCHANGED
+
+    def fine_selection_function(self, fine):
+        if self.time.date() == date(2014, 3, 25):
+            sorted_by_pe_ratio = sorted(fine, key=lambda x: x.valuation_ratios.pe_ratio, reverse=True)
+            return [ x.symbol for x in sorted_by_pe_ratio[:self.number_of_symbols_fine] ]
+
+        # the second selection will return unchanged, in the following fine selection will be skipped
+        return Universe.UNCHANGED
+
+    # assert security changes, throw if called more than once
+    def on_securities_changed(self, changes):
+        added_symbols = [ x.symbol for x in changes.added_securities ]
+        if (len(changes.added_securities) != 2
+            or self.time.date() != date(2014, 3, 25)
+            or Symbol.create("AAPL", SecurityType.EQUITY, Market.USA) not in added_symbols
+            or Symbol.create("IBM", SecurityType.EQUITY, Market.USA) not in added_symbols):
+            raise ValueError("Unexpected security changes")
+        self.log(f"OnSecuritiesChanged({self.time}):: {changes}")