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.Collections.Generic;
+using System.Linq;
+using Deedle;
+using Python.Runtime;
+using QuantConnect.Orders;
+using QuantConnect.Packets;
+
+namespace QuantConnect.Report.ReportElements
+{
+    internal sealed class ExposureReportElement : ChartReportElement
+    {
+        private LiveResult _live;
+        private BacktestResult _backtest;
+        private List<PointInTimePortfolio> _backtestPortfolios;
+        private List<PointInTimePortfolio> _livePortfolios;
+
+        /// <summary>
+        /// Create a new plot of the exposure
+        /// </summary>
+        /// <param name="name">Name of the widget</param>
+        /// <param name="key">Location of injection</param>
+        /// <param name="backtest">Backtest result object</param>
+        /// <param name="live">Live result object</param>
+        /// <param name="backtestPortfolios">Backtest point in time portfolios</param>
+        /// <param name="livePortfolios">Live point in time portfolios</param>
+        public ExposureReportElement(
+            string name,
+            string key,
+            BacktestResult backtest,
+            LiveResult live,
+            List<PointInTimePortfolio> backtestPortfolios,
+            List<PointInTimePortfolio> livePortfolios)
+        {
+            _backtest = backtest;
+            _backtestPortfolios = backtestPortfolios;
+            _live = live;
+            _livePortfolios = livePortfolios;
+            Name = name;
+            Key = key;
+        }
+
+        /// <summary>
+        /// Generate the exposure plot using the python libraries.
+        /// </summary>
+        public override string Render()
+        {
+            var longBacktestFrame = Metrics.Exposure(_backtestPortfolios, OrderDirection.Buy);
+            var shortBacktestFrame = Metrics.Exposure(_backtestPortfolios, OrderDirection.Sell);
+            var longLiveFrame = Metrics.Exposure(_livePortfolios, OrderDirection.Buy);
+            var shortLiveFrame = Metrics.Exposure(_livePortfolios, OrderDirection.Sell);
+
+            var backtestFrame = longBacktestFrame.Join(shortBacktestFrame)
+                .FillMissing(Direction.Forward)
+                .FillMissing(0.0);
+
+            var liveFrame = longLiveFrame.Join(shortLiveFrame)
+                .FillMissing(Direction.Forward)
+                .FillMissing(0.0);
+
+            longBacktestFrame = Frame.CreateEmpty<DateTime, Tuple<SecurityType, OrderDirection>>();
+            shortBacktestFrame = Frame.CreateEmpty<DateTime, Tuple<SecurityType, OrderDirection>>();
+            longLiveFrame = Frame.CreateEmpty<DateTime, Tuple<SecurityType, OrderDirection>>();
+            shortLiveFrame = Frame.CreateEmpty<DateTime, Tuple<SecurityType, OrderDirection>>();
+
+            foreach (var key in backtestFrame.ColumnKeys)
+            {
+                longBacktestFrame[key] = backtestFrame[key].SelectValues(x => x < 0 ? 0 : x);
+                shortBacktestFrame[key] = backtestFrame[key].SelectValues(x => x > 0 ? 0 : x);
+            }
+
+            foreach (var key in liveFrame.ColumnKeys)
+            {
+                longLiveFrame[key] = liveFrame[key].SelectValues(x => x < 0 ? 0 : x);
+                shortLiveFrame[key] = liveFrame[key].SelectValues(x => x > 0 ? 0 : x);
+            }
+
+            longBacktestFrame = longBacktestFrame.DropSparseColumnsAll();
+            shortBacktestFrame = shortBacktestFrame.DropSparseColumnsAll();
+            longLiveFrame = longLiveFrame.DropSparseColumnsAll();
+            shortLiveFrame = shortLiveFrame.DropSparseColumnsAll();
+
+            var base64 = "";
+            using (Py.GIL())
+            {
+                var time = backtestFrame.RowKeys.ToList().ToPython();
+                var longSecurities = longBacktestFrame.ColumnKeys.Select(x => x.Item1.ToStringInvariant()).ToList().ToPython();
+                var shortSecurities = shortBacktestFrame.ColumnKeys.Select(x => x.Item1.ToStringInvariant()).ToList().ToPython();
+                var longData = longBacktestFrame.ColumnKeys.Select(x => longBacktestFrame[x].Values.ToList().ToPython()).ToPython();
+                var shortData = shortBacktestFrame.ColumnKeys.Select(x => shortBacktestFrame[x].Values.ToList().ToPython()).ToPython();
+                var liveTime = liveFrame.RowKeys.ToList().ToPython();
+                var liveLongSecurities = longLiveFrame.ColumnKeys.Select(x => x.Item1.ToStringInvariant()).ToList().ToPython();
+                var liveShortSecurities = shortLiveFrame.ColumnKeys.Select(x => x.Item1.ToStringInvariant()).ToList().ToPython();
+                var liveLongData = longLiveFrame.ColumnKeys.Select(x => longLiveFrame[x].Values.ToList().ToPython()).ToPython();
+                var liveShortData = shortLiveFrame.ColumnKeys.Select(x => shortLiveFrame[x].Values.ToList().ToPython()).ToPython();
+
+                base64 = Charting.GetExposure(
+                    time,
+                    longSecurities,
+                    shortSecurities,
+                    longData,
+                    shortData,
+                    liveTime,
+                    liveLongSecurities,
+                    liveShortSecurities,
+                    liveLongData,
+                    liveShortData
+                );
+            }
+
+            return base64;
+        }
+    }
+}