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 QuantConnect.Orders;
+using QuantConnect.Securities;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using Newtonsoft.Json;
+using Newtonsoft.Json.Serialization;
+
+namespace QuantConnect.Report
+{
+    /// <summary>
+    /// Lightweight portfolio at a point in time
+    /// </summary>
+    public class PointInTimePortfolio
+    {
+        /// <summary>
+        /// Time that this point in time portfolio is for
+        /// </summary>
+        public DateTime Time { get; private set; }
+
+        /// <summary>
+        /// The total value of the portfolio. This is cash + absolute value of holdings
+        /// </summary>
+        public decimal TotalPortfolioValue { get; private set; }
+
+        /// <summary>
+        /// The cash the portfolio has
+        /// </summary>
+        public decimal Cash { get; private set; }
+
+        /// <summary>
+        /// The order we just processed
+        /// </summary>
+        [JsonIgnore]
+        public Order Order { get; private set; }
+
+        /// <summary>
+        /// A list of holdings at the current moment in time
+        /// </summary>
+        public List<PointInTimeHolding> Holdings { get; private set; }
+
+        /// <summary>
+        /// Portfolio leverage - provided for convenience
+        /// </summary>
+        public decimal Leverage { get; private set; }
+
+        /// <summary>
+        /// Creates an instance of the PointInTimePortfolio object
+        /// </summary>
+        /// <param name="order">Order applied to the portfolio</param>
+        /// <param name="portfolio">Algorithm portfolio at a point in time</param>
+        public PointInTimePortfolio(Order order, SecurityPortfolioManager portfolio)
+        {
+            Time = order.Time;
+            Order = order;
+            TotalPortfolioValue = portfolio.TotalPortfolioValue;
+            Cash = portfolio.Cash;
+            Holdings = portfolio.Securities.Values.Select(x => new PointInTimeHolding(x.Symbol, x.Holdings.HoldingsValue, x.Holdings.Quantity)).ToList();
+            Leverage = Holdings.Sum(x => x.AbsoluteHoldingsValue) / TotalPortfolioValue;
+        }
+
+        /// <summary>
+        /// Clones the provided portfolio
+        /// </summary>
+        /// <param name="portfolio">Portfolio</param>
+        /// <param name="time">Time</param>
+        public PointInTimePortfolio(PointInTimePortfolio portfolio, DateTime time)
+        {
+            Time = time;
+            Order = portfolio.Order;
+            TotalPortfolioValue = portfolio.TotalPortfolioValue;
+            Cash = portfolio.Cash;
+            Holdings = portfolio.Holdings.Select(x => new PointInTimeHolding(x.Symbol, x.HoldingsValue, x.Quantity)).ToList();
+            Leverage = portfolio.Leverage;
+        }
+
+        /// <summary>
+        /// Filters out any empty holdings from the current <see cref="Holdings"/>
+        /// </summary>
+        /// <returns>Current object, but without empty holdings</returns>
+        public PointInTimePortfolio NoEmptyHoldings()
+        {
+            Holdings = Holdings.Where(h => h.Quantity != 0).ToList();
+            return this;
+        }
+
+        /// <summary>
+        /// Holding of an asset at a point in time
+        /// </summary>
+        public class PointInTimeHolding
+        {
+            /// <summary>
+            /// Symbol of the holding
+            /// </summary>
+            public Symbol Symbol { get; private set; }
+
+            /// <summary>
+            /// Value of the holdings of the asset. Can be negative if shorting an asset
+            /// </summary>
+            public decimal HoldingsValue { get; private set; }
+
+            /// <summary>
+            /// Quantity of the asset. Can be negative if shorting an asset
+            /// </summary>
+            public decimal Quantity { get; private set; }
+
+            /// <summary>
+            /// Absolute value of the holdings.
+            /// </summary>
+            [JsonIgnore]
+            public decimal AbsoluteHoldingsValue => Math.Abs(HoldingsValue);
+
+            /// <summary>
+            /// Absolute value of the quantity
+            /// </summary>
+            [JsonIgnore]
+            public decimal AbsoluteHoldingsQuantity => Math.Abs(Quantity);
+
+            /// <summary>
+            /// Creates an instance of PointInTimeHolding, representing a holding at a given point in time
+            /// </summary>
+            /// <param name="symbol">Symbol of the holding</param>
+            /// <param name="holdingsValue">Value of the holding</param>
+            /// <param name="holdingsQuantity">Quantity of the holding</param>
+            public PointInTimeHolding(Symbol symbol, decimal holdingsValue, decimal holdingsQuantity)
+            {
+                Symbol = symbol;
+                HoldingsValue = holdingsValue;
+                Quantity = holdingsQuantity;
+            }
+        }
+    }
+}