chore: import upstream snapshot with attribution

Common/Benchmarks/FuncBenchmark.cs

@@ -0,0 +1,63 @@
+/*
+ * 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.
+*/
+
+using System;
+using Python.Runtime;
+
+namespace QuantConnect.Benchmarks
+{
+    /// <summary>
+    /// Creates a benchmark defined by a function
+    /// </summary>
+    public class FuncBenchmark : IBenchmark
+    {
+        private readonly Func<DateTime, decimal> _benchmark;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuncBenchmark"/> class
+        /// </summary>
+        /// <param name="benchmark">The functional benchmark implementation</param>
+        public FuncBenchmark(Func<DateTime, decimal> benchmark)
+        {
+            if (benchmark == null)
+            {
+                throw new ArgumentNullException(nameof(benchmark));
+            }
+            _benchmark = benchmark;
+        }
+
+        /// <summary>
+        /// Create a function benchmark from a Python function
+        /// </summary>
+        /// <param name="pyFunc"></param>
+        public FuncBenchmark(PyObject pyFunc)
+        {
+            if (!pyFunc.TrySafeAs(out _benchmark))
+            {
+                throw new ArgumentException($"FuncBenchmark(): {Messages.FuncBenchmark.UnableToConvertPythonFunctionToBenchmarkFunction}");
+            }
+        }
+
+        /// <summary>
+        /// Evaluates this benchmark at the specified time
+        /// </summary>
+        /// <param name="time">The time to evaluate the benchmark at</param>
+        /// <returns>The value of the benchmark at the specified time</returns>
+        public decimal Evaluate(DateTime time)
+        {
+            return _benchmark(time);
+        }
+    }
+}

Common/Benchmarks/IBenchmark.cs

@@ -0,0 +1,32 @@
+/*
+ * 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.
+*/
+
+using System;
+
+namespace QuantConnect.Benchmarks
+{
+    /// <summary>
+    /// Specifies how to compute a benchmark for an algorithm
+    /// </summary>
+    public interface IBenchmark
+    {
+        /// <summary>
+        /// Evaluates this benchmark at the specified time
+        /// </summary>
+        /// <param name="time">The time to evaluate the benchmark at</param>
+        /// <returns>The value of the benchmark at the specified time</returns>
+        decimal Evaluate(DateTime time);
+    }
+}

Common/Benchmarks/SecurityBenchmark.cs

@@ -0,0 +1,64 @@
+/*
+ * 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.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Benchmarks
+{
+    /// <summary>
+    /// Creates a benchmark defined by the closing price of a <see cref="Security"/> instance
+    /// </summary>
+    public class SecurityBenchmark : IBenchmark
+    {
+        /// <summary>
+        /// The benchmark security
+        /// </summary>
+        public Security Security { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="SecurityBenchmark"/> class
+        /// </summary>
+        public SecurityBenchmark(Security security)
+        {
+            Security = security;
+        }
+
+        /// <summary>
+        /// Evaluates this benchmark at the specified time in units of the account's currency.
+        /// </summary>
+        /// <param name="time">The time to evaluate the benchmark at</param>
+        /// <returns>The value of the benchmark at the specified time
+        /// in units of the account's currency.</returns>
+        public decimal Evaluate(DateTime time)
+        {
+            return Security.Price * Security.QuoteCurrency.ConversionRate;
+        }
+
+        /// <summary>
+        /// Helper function that will create a security with the given SecurityManager
+        /// for a specific symbol and then create a SecurityBenchmark for it
+        /// </summary>
+        /// <param name="securities">SecurityService to create the security</param>
+        /// <param name="symbol">The symbol to create a security benchmark with</param>
+        /// <returns>The new SecurityBenchmark</returns>
+        public static SecurityBenchmark CreateInstance(SecurityManager securities, Symbol symbol)
+        {
+            return new SecurityBenchmark(securities.CreateBenchmarkSecurity(symbol));
+        }
+    }
+}