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.
+*/
+
+using System;
+using System.Linq;
+using System.Collections.Generic;
+
+namespace QuantConnect.Securities.Positions
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IPositionGroupResolver"/> that invokes multiple wrapped implementations
+    /// in succession. Each successive call to <see cref="IPositionGroupResolver.Resolve"/> will receive
+    /// the remaining positions that have yet to be grouped. Any non-grouped positions are placed into identity groups.
+    /// </summary>
+    public class CompositePositionGroupResolver : IPositionGroupResolver
+    {
+        /// <summary>
+        /// Gets the count of registered resolvers
+        /// </summary>
+        public int Count => _resolvers.Count;
+
+        private readonly List<IPositionGroupResolver> _resolvers;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CompositePositionGroupResolver"/> class
+        /// </summary>
+        /// <param name="resolvers">The position group resolvers to be invoked in order</param>
+        public CompositePositionGroupResolver(params IPositionGroupResolver[] resolvers)
+            : this((IEnumerable<IPositionGroupResolver>)resolvers)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CompositePositionGroupResolver"/> class
+        /// </summary>
+        /// <param name="resolvers">The position group resolvers to be invoked in order</param>
+        public CompositePositionGroupResolver(IEnumerable<IPositionGroupResolver> resolvers)
+        {
+            _resolvers = resolvers.ToList();
+        }
+
+        /// <summary>
+        /// Adds the specified <paramref name="resolver"/> to the end of the list of resolvers. This resolver will run last.
+        /// </summary>
+        /// <param name="resolver">The resolver to be added</param>
+        public void Add(IPositionGroupResolver resolver)
+        {
+            _resolvers.Add(resolver);
+        }
+
+        /// <summary>
+        /// Inserts the specified <paramref name="resolver"/> into the list of resolvers at the specified index.
+        /// </summary>
+        /// <param name="resolver">The resolver to be inserted</param>
+        /// <param name="index">The zero based index indicating where to insert the resolver, zero inserts to the beginning
+        /// of the list making this resolver un first and <see cref="Count"/> inserts the resolver to the end of the list
+        /// making this resolver run last</param>
+        public void Add(IPositionGroupResolver resolver, int index)
+        {
+            // insert handles bounds checking
+            _resolvers.Insert(index, resolver);
+        }
+
+        /// <summary>
+        /// Removes the specified <paramref name="resolver"/> from the list of resolvers
+        /// </summary>
+        /// <param name="resolver">The resolver to be removed</param>
+        /// <returns>True if the resolver was removed, false if it wasn't found in the list</returns>
+        public bool Remove(IPositionGroupResolver resolver)
+        {
+            return _resolvers.Remove(resolver);
+        }
+
+        /// <summary>
+        /// Resolves the optimal set of <see cref="IPositionGroup"/> from the provided <paramref name="positions"/>.
+        /// Implementations are required to deduct grouped positions from the <paramref name="positions"/> collection.
+        /// </summary>
+        public PositionGroupCollection Resolve(PositionCollection positions)
+        {
+            // we start with no groups, each resolver's result will get merged in
+            var groups = PositionGroupCollection.Empty;
+
+            // each call to ResolvePositionGroups is expected to deduct grouped positions from the PositionCollection
+            foreach (var resolver in _resolvers)
+            {
+                var resolved = resolver.Resolve(positions);
+                groups = groups.CombineWith(resolved);
+            }
+
+            if (positions.Count > 0)
+            {
+                throw new InvalidOperationException("All positions must be resolved into groups.");
+            }
+
+            return groups;
+        }
+
+        /// <summary>
+        /// Attempts to group the specified positions into a new <see cref="IPositionGroup"/> using an
+        /// appropriate <see cref="IPositionGroupBuyingPowerModel"/> for position groups created via this
+        /// resolver.
+        /// </summary>
+        /// <param name="newPositions">The positions to be grouped</param>
+        /// <param name="currentPositions">The currently grouped positions</param>
+        /// <param name="group">The grouped positions when this resolver is able to, otherwise null</param>
+        /// <returns>True if this resolver can group the specified positions, otherwise false</returns>
+        public bool TryGroup(IReadOnlyCollection<IPosition> newPositions, PositionGroupCollection currentPositions, out IPositionGroup group)
+        {
+            foreach (var resolver in _resolvers)
+            {
+                if (resolver.TryGroup(newPositions, currentPositions, out group))
+                {
+                    return true;
+                }
+            }
+
+            group = null;
+            return false;
+        }
+
+        /// <summary>
+        /// Determines the position groups that would be evaluated for grouping of the specified
+        /// positions were passed into the <see cref="Resolve"/> method.
+        /// </summary>
+        /// <remarks>
+        /// This function allows us to determine a set of impacted groups and run the resolver on just
+        /// those groups in order to support what-if analysis
+        /// </remarks>
+        /// <param name="groups">The existing position groups</param>
+        /// <param name="positions">The positions being changed</param>
+        /// <returns>An enumerable containing the position groups that could be impacted by the specified position changes</returns>
+        public IEnumerable<IPositionGroup> GetImpactedGroups(PositionGroupCollection groups, IReadOnlyCollection<IPosition> positions)
+        {
+            // we keep track of yielded groups for all resolvers
+            var seen = new HashSet<PositionGroupKey>();
+            foreach (var resolver in _resolvers)
+            {
+                foreach (var group in resolver.GetImpactedGroups(groups, positions))
+                {
+                    if (seen.Add(group.Key))
+                    {
+                        yield return group;
+                    }
+                }
+            }
+        }
+    }
+}