chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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.
+ *
+*/
+
+using System;
+using System.Linq;
+using QuantConnect.Util;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect
+{
+    /// <summary>
+    /// Estimates dollar volume capacity of algorithm (in account currency) using all Symbols in the portfolio.
+    /// </summary>
+    /// <remarks>
+    /// Any mention of dollar volume is volume in account currency, but "dollar volume" is used
+    /// to maintain consistency with financial terminology and our use
+    /// case of having alphas measured capacity be in USD.
+    /// </remarks>
+    public class CapacityEstimate
+    {
+        private readonly IAlgorithm _algorithm;
+        private readonly Dictionary<Symbol, SymbolCapacity> _capacityBySymbol;
+        private List<SymbolCapacity> _monitoredSymbolCapacity;
+        // We use multiple collections to avoid having to perform an O(n) lookup whenever
+        // we're wanting to check whether a particular SymbolData instance is being "monitored",
+        // but still want to preserve indexing via an integer index
+        // (monitored meaning it is currently aggregating market dollar volume for its capacity calculation).
+        // For integer indexing, we use the List above, v.s. for lookup we use this HashSet.
+        private HashSet<SymbolCapacity> _monitoredSymbolCapacitySet;
+        private DateTime _nextSnapshotDate;
+        private TimeSpan _snapshotPeriod;
+        private Symbol _smallestAssetSymbol;
+
+        /// <summary>
+        /// Private capacity member, We wrap this value type because it's being
+        /// read and written by multiple threads.
+        /// </summary>
+        private ReferenceWrapper<decimal> _capacity;
+
+        /// <summary>
+        /// The total capacity of the strategy at a point in time
+        /// </summary>
+        public decimal Capacity
+        {
+            // Round our capacity to the nearest 1000
+            get => _capacity.Value.DiscretelyRoundBy(1000.00m);
+            private set => _capacity = new ReferenceWrapper<decimal>(value);
+        }
+
+        /// <summary>
+        /// Provide a reference to the lowest capacity symbol used in scaling down the capacity for debugging.
+        /// </summary>
+        public Symbol LowestCapacityAsset => _smallestAssetSymbol; 
+
+        /// <summary>
+        /// Initializes an instance of the class.
+        /// </summary>
+        /// <param name="algorithm">Used to get data at the current time step and access the portfolio state</param>
+        public CapacityEstimate(IAlgorithm algorithm)
+        {
+            _algorithm = algorithm;
+            _capacityBySymbol = new Dictionary<Symbol, SymbolCapacity>();
+            _monitoredSymbolCapacity = new List<SymbolCapacity>();
+            _monitoredSymbolCapacitySet = new HashSet<SymbolCapacity>();
+            // Set the minimum snapshot period to one day, but use algorithm start/end if the algo runtime is less than seven days
+            _snapshotPeriod = TimeSpan.FromDays(Math.Max(Math.Min((_algorithm.EndDate - _algorithm.StartDate).TotalDays - 1, 7), 1)); 
+            _nextSnapshotDate = _algorithm.StartDate + _snapshotPeriod;
+            _capacity = new ReferenceWrapper<decimal>(0);
+        }
+
+        /// <summary>
+        /// Processes an order whenever it's encountered so that we can calculate the capacity
+        /// </summary>
+        /// <param name="orderEvent">Order event to use to calculate capacity</param>
+        public void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status != OrderStatus.Filled && orderEvent.Status != OrderStatus.PartiallyFilled)
+            {
+                return;
+            }
+
+            SymbolCapacity symbolCapacity;
+            if (!_capacityBySymbol.TryGetValue(orderEvent.Symbol, out symbolCapacity))
+            {
+                symbolCapacity = new SymbolCapacity(_algorithm, orderEvent.Symbol);
+                _capacityBySymbol[orderEvent.Symbol] = symbolCapacity;
+            }
+
+            symbolCapacity.OnOrderEvent(orderEvent);
+            if (_monitoredSymbolCapacitySet.Contains(symbolCapacity))
+            {
+                return;
+            }
+
+            _monitoredSymbolCapacity.Add(symbolCapacity);
+            _monitoredSymbolCapacitySet.Add(symbolCapacity);
+        }
+
+        #pragma warning disable CS1574
+        /// <summary>
+        /// Updates the market capacity for any Symbols that require a market update.
+        /// Sometimes, after the specified <seealso cref="_snapshotPeriod"/>, we
+        /// take a "snapshot" (point-in-time capacity) of the portfolio's capacity.
+        ///
+        /// This result will be written into the Algorithm Statistics via the <see cref="BacktestingResultHandler"/>
+        /// </summary>
+        #pragma warning restore CS1574
+        public void UpdateMarketCapacity(bool forceProcess)
+        {
+            for (var i = _monitoredSymbolCapacity.Count - 1; i >= 0; --i)
+            {
+                var capacity = _monitoredSymbolCapacity[i];
+                if (capacity.UpdateMarketCapacity())
+                {
+                    _monitoredSymbolCapacity.RemoveAt(i);
+                    _monitoredSymbolCapacitySet.Remove(capacity);
+                }
+            }
+
+            var utcDate = _algorithm.UtcTime.Date;
+            if (forceProcess || utcDate >= _nextSnapshotDate && _capacityBySymbol.Count != 0)
+            {
+                var totalPortfolioValue = _algorithm.Portfolio.TotalPortfolioValue;
+                var totalSaleVolume = _capacityBySymbol.Values
+                    .Sum(s => s.SaleVolume);
+
+                if (totalPortfolioValue == 0 || _capacityBySymbol.Count == 0)
+                {
+                    return;
+                }
+
+                var smallestAsset = _capacityBySymbol.Values
+                    .OrderBy(c => c.MarketCapacityDollarVolume)
+                    .First();
+
+                _smallestAssetSymbol = smallestAsset.Security.Symbol;
+
+                // When there is no trading, rely on the portfolio holdings
+                var percentageOfSaleVolume = totalSaleVolume != 0
+                    ? smallestAsset.SaleVolume / totalSaleVolume
+                    : 0;
+
+                var buyingPowerUsed = smallestAsset.Security.MarginModel.GetReservedBuyingPowerForPosition(new ReservedBuyingPowerForPositionParameters(smallestAsset.Security))
+                    .AbsoluteUsedBuyingPower * smallestAsset.Security.Leverage;
+
+                var percentageOfHoldings = buyingPowerUsed / totalPortfolioValue;
+
+                var scalingFactor = Math.Max(percentageOfSaleVolume, percentageOfHoldings);
+                var dailyMarketCapacityDollarVolume = smallestAsset.MarketCapacityDollarVolume / smallestAsset.Trades;
+
+                var newCapacity = scalingFactor == 0
+                    ? _capacity.Value
+                    : dailyMarketCapacityDollarVolume / scalingFactor;
+
+                // Weight our capacity based on previous value if we have one
+                if (_capacity.Value != 0)
+                {
+                    newCapacity = (0.33m * newCapacity) + (_capacity.Value * 0.66m);
+                }
+
+                // Set our new capacity value
+                Capacity = newCapacity;
+
+                foreach (var capacity in _capacityBySymbol.Select(pair => pair.Value).ToList())
+                {
+                    if (!capacity.ShouldRemove())
+                    {
+                        capacity.Reset();
+                        continue;
+                    }
+
+                    // we remove non invested and non tradable (delisted, deselected) securities this will allow the 'smallestAsset'
+                    // to be changing between snapshots, and avoid the collections to grow
+                    _capacityBySymbol.Remove(capacity.Security.Symbol);
+                    _monitoredSymbolCapacity.Remove(capacity);
+                    _monitoredSymbolCapacitySet.Remove(capacity);
+                }
+
+                _nextSnapshotDate = utcDate + _snapshotPeriod;
+            }
+        }
+    }
+}