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 QuantConnect.Algorithm;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using System.Linq;
+using System.Reflection;
+
+namespace QuantConnect.Report
+{
+    /// <summary>
+    /// Fake algorithm that initializes portfolio and algorithm securities. Never ran.
+    /// </summary>
+    public class PortfolioLooperAlgorithm : QCAlgorithm
+    {
+        private decimal _startingCash;
+        private List<Order> _orders;
+        private AlgorithmConfiguration _algorithmConfiguration;
+
+        /// <summary>
+        /// Initialize an instance of <see cref="PortfolioLooperAlgorithm"/>
+        /// </summary>
+        /// <param name="startingCash">Starting algorithm cash</param>
+        /// <param name="orders">Orders to use</param>
+        /// <param name="algorithmConfiguration">Optional parameter to override default algorithm configuration</param>
+        public PortfolioLooperAlgorithm(decimal startingCash, IEnumerable<Order> orders, AlgorithmConfiguration algorithmConfiguration = null) : base()
+        {
+            _startingCash = startingCash;
+            _orders = orders.ToList();
+            _algorithmConfiguration = algorithmConfiguration;
+        }
+
+        /// <summary>
+        /// Initializes all the proper Securities from the orders provided by the user
+        /// </summary>
+        /// <param name="orders">Orders to use</param>
+        public void FromOrders(IEnumerable<Order> orders)
+        {
+            foreach (var symbol in orders.Select(x => x.Symbol).Distinct())
+            {
+                Resolution resolution;
+                switch (symbol.SecurityType)
+                {
+                    case SecurityType.Option:
+                    case SecurityType.Future:
+                        resolution = Resolution.Minute;
+                        break;
+                    default:
+                        resolution = Resolution.Daily;
+                        break;
+                }
+
+                var configs = SubscriptionManager.SubscriptionDataConfigService.Add(symbol, resolution, false, false);
+                var security = Securities.CreateSecurity(symbol, configs, 0m);
+                if (symbol.SecurityType == SecurityType.Crypto)
+                {
+                    security.BuyingPowerModel = new SecurityMarginModel();
+                }
+
+                // Set leverage to 10000 to account for unknown leverage values in user algorithms
+                security.SetLeverage(10000m);
+
+                var method = typeof(QCAlgorithm).GetMethod("AddToUserDefinedUniverse", BindingFlags.NonPublic | BindingFlags.Instance);
+                method.Invoke(this, new object[] { security, configs });
+            }
+        }
+
+        /// <summary>
+        /// Initialize this algorithm
+        /// </summary>
+        public override void Initialize()
+        {
+            if (_algorithmConfiguration != null)
+            {
+                SetAccountCurrency(_algorithmConfiguration.AccountCurrency);
+                SetBrokerageModel(_algorithmConfiguration.Brokerage, _algorithmConfiguration.AccountType);
+            }
+
+            SetCash(_startingCash);
+
+            if (_orders.Count != 0)
+            {
+                SetStartDate(_orders.First().Time);
+                SetEndDate(_orders.Last().Time);
+            }
+
+            SetBenchmark(b => 0);
+        }
+    }
+}