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 QuantConnect.Brokerages.Backtesting;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Lean.Engine.Results;
+using QuantConnect.Logging;
+using QuantConnect.Orders;
+using QuantConnect.Util;
+
+namespace QuantConnect.Lean.Engine.TransactionHandlers
+{
+    /// <summary>
+    /// This transaction handler is used for processing transactions during backtests
+    /// </summary>
+    public class BacktestingTransactionHandler : BrokerageTransactionHandler
+    {
+        // save off a strongly typed version of the brokerage
+        private BacktestingBrokerage _brokerage;
+        private IAlgorithm _algorithm;
+        private Delistings _lastestDelistings;
+
+        /// <summary>
+        /// Gets current time UTC. This is here to facilitate testing
+        /// </summary>
+        protected override DateTime CurrentTimeUtc => _algorithm.UtcTime;
+
+        /// <summary>
+        /// Creates a new BacktestingTransactionHandler using the BacktestingBrokerage
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="brokerage">The BacktestingBrokerage</param>
+        /// <param name="resultHandler"></param>
+        public override void Initialize(IAlgorithm algorithm, IBrokerage brokerage, IResultHandler resultHandler)
+        {
+            if (!(brokerage is BacktestingBrokerage))
+            {
+                throw new ArgumentException("Brokerage must be of type BacktestingBrokerage for use wth the BacktestingTransactionHandler");
+            }
+
+            _brokerage = (BacktestingBrokerage)brokerage;
+            _algorithm = algorithm;
+
+            base.Initialize(algorithm, brokerage, resultHandler);
+        }
+
+        /// <summary>
+        /// For backtesting order requests are processed synchronously by the algorithm thread, only live
+        /// deployments with a concurrency enabled brokerage use background transaction threads
+        /// </summary>
+        protected override bool SynchronousProcessing => !(ConcurrencyEnabled && _algorithm.LiveMode);
+
+        /// <summary>
+        /// Processes all synchronous events that must take place before the next time loop for the algorithm
+        /// </summary>
+        public override void ProcessSynchronousEvents()
+        {
+            if (SynchronousProcessing)
+            {
+                // we process pending order requests our selves
+                ProcessPendingRequests();
+            }
+
+            base.ProcessSynchronousEvents();
+
+            _brokerage.Scan();
+
+            // Run our delistings processing, only do this once a slice
+            if (_algorithm.CurrentSlice != null && _algorithm.CurrentSlice.Delistings != _lastestDelistings)
+            {
+                _lastestDelistings = _algorithm.CurrentSlice.Delistings;
+                _brokerage.ProcessDelistings(_algorithm.CurrentSlice.Delistings);
+            }
+        }
+
+        /// <summary>
+        /// Processes asynchronous events on the transaction handler's thread
+        /// </summary>
+        public override void ProcessAsynchronousEvents()
+        {
+            base.ProcessAsynchronousEvents();
+
+            _brokerage.Scan();
+        }
+
+        /// <summary>
+        /// For backtesting we will submit the order ourselves
+        /// </summary>
+        /// <param name="ticket">The <see cref="OrderTicket"/> expecting to be submitted</param>
+        protected override void WaitForOrderSubmission(OrderTicket ticket)
+        {
+            if (!SynchronousProcessing)
+            {
+                // let the base class handle this
+                base.WaitForOrderSubmission(ticket);
+                return;
+            }
+
+            // we submit the order request our selves
+            ProcessPendingRequests();
+
+            if (!ticket.OrderSet.WaitOne(0))
+            {
+                // this could happen if there was some error handling the order
+                // and it was not set
+                Log.Error("BacktestingTransactionHandler.WaitForOrderSubmission(): " +
+                    $"The order request (Id={ticket.OrderId}) was not submitted. " +
+                    "See the OrderRequest.Response for more information");
+            }
+        }
+    }
+}