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 NUnit.Framework;
+using QuantConnect.Util;
+using QuantConnect.Algorithm;
+using QuantConnect.Brokerages;
+using QuantConnect.Data.Market;
+using QuantConnect.Tests.Engine.DataFeeds;
+using QuantConnect.Tests.Common.Securities;
+using QuantConnect.Lean.Engine.Setup;
+
+namespace QuantConnect.Tests.Algorithm
+{
+    [TestFixture, Parallelizable(ParallelScope.All)]
+    public class AlgorithmSettingsTest
+    {
+        [Test]
+        public void DefaultTrueValueOfLiquidateWorksCorrectly()
+        {
+            var algo = new QCAlgorithm();
+            var fakeOrderProcessor = InitializeAndGetFakeOrderProcessor(algo);
+
+            algo.Liquidate();
+
+            // It should send a order to set us flat
+            Assert.IsFalse(fakeOrderProcessor.ProcessedOrdersRequests.IsNullOrEmpty());
+        }
+
+        [Test]
+        public void DisablingLiquidateWorksCorrectly()
+        {
+            var algo = new QCAlgorithm();
+            algo.Settings.LiquidateEnabled = false;
+            var fakeOrderProcessor = InitializeAndGetFakeOrderProcessor(algo);
+
+            algo.Liquidate();
+
+            // It should NOT send a order to set us flat
+            Assert.IsTrue(fakeOrderProcessor.ProcessedOrdersRequests.IsNullOrEmpty());
+        }
+        
+        [Test]
+        public void SettingSetHoldingsBufferWorksCorrectly()
+        {
+            var algo = new QCAlgorithm();
+            algo.Settings.FreePortfolioValue = 0;
+            InitializeAndGetFakeOrderProcessor(algo);
+
+            var actual = algo.CalculateOrderQuantity(Symbols.SPY, 1m);
+            // 100000 / 20 - 2 due to fee =
+            Assert.AreEqual(4998m, actual);
+        }
+
+        [Test]
+        public void DefaultValueOfSetHoldingsBufferWorksCorrectly()
+        {
+            var algo = new QCAlgorithm();
+
+            InitializeAndGetFakeOrderProcessor(algo);
+
+            algo.Settings.FreePortfolioValue =
+                algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
+
+            var actual = algo.CalculateOrderQuantity(Symbols.SPY, 1m);
+            // 100000 / 20 - 1 due to fee - effect of the target being reduced because of FreePortfolioValuePercentage
+            Assert.AreEqual(4986m, actual);
+        }
+
+        [TestCase(BrokerageName.FTX, 365)]
+        [TestCase(BrokerageName.RBI, 252)]
+        [TestCase(BrokerageName.Eze, 252)]
+        [TestCase(BrokerageName.Axos, 252)]
+        [TestCase(BrokerageName.Samco, 252)]
+        [TestCase(BrokerageName.FTXUS, 365)]
+        [TestCase(BrokerageName.Bybit, 365)]
+        [TestCase(BrokerageName.Kraken, 365)]
+        [TestCase(BrokerageName.Exante, 252)]
+        [TestCase(BrokerageName.Binance, 365)]
+        [TestCase(BrokerageName.Default, 252)]
+        [TestCase(BrokerageName.Zerodha, 252)]
+        [TestCase(BrokerageName.Bitfinex, 365)]
+        [TestCase(BrokerageName.Wolverine, 252)]
+        [TestCase(BrokerageName.TDAmeritrade, 252)]
+        [TestCase(BrokerageName.FxcmBrokerage, 252)]
+        [TestCase(BrokerageName.OandaBrokerage, 252)]
+        [TestCase(BrokerageName.BinanceFutures, 365)]
+        [TestCase(BrokerageName.TradierBrokerage, 252)]
+        [TestCase(BrokerageName.BinanceCoinFutures, 365)]
+        [TestCase(BrokerageName.TradingTechnologies, 252)]
+        [TestCase(BrokerageName.QuantConnectBrokerage, 252)]
+        [TestCase(BrokerageName.Coinbase, 365, AccountType.Cash)]
+        [TestCase(BrokerageName.BinanceUS, 365, AccountType.Cash)]
+        [TestCase(BrokerageName.InteractiveBrokersBrokerage, 252)]
+        public void ReturnUniqueTradingDayPerYearDependOnBrokerageName(BrokerageName brokerageName, int expectedTradingDayPerYear, AccountType accountType = AccountType.Margin)
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SetBrokerageModel(brokerageName, accountType);
+
+            BaseSetupHandler.SetBrokerageTradingDayPerYear(algorithm);
+
+            Assert.AreEqual(expectedTradingDayPerYear, algorithm.Settings.TradingDaysPerYear.Value);
+        }
+
+        [TestCase(BrokerageName.Bybit, 202, 365)]
+        [TestCase(BrokerageName.InteractiveBrokersBrokerage, 404, 252)]
+        public void ReturnCustomTradingDayPerYearIndependentlyFromBrokerageName(BrokerageName brokerageName, int customTradingDayPerYear, int expectedDefaultTradingDayPerYearForBrokerage)
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SetBrokerageModel(brokerageName);
+            algorithm.Settings.TradingDaysPerYear = customTradingDayPerYear;
+
+            // duplicate: make sure that custom value is assigned
+            BaseSetupHandler.SetBrokerageTradingDayPerYear(algorithm);
+
+            Assert.AreNotEqual(expectedDefaultTradingDayPerYearForBrokerage, algorithm.Settings.TradingDaysPerYear);
+        }
+
+        [TestCase(252, null)]
+        [TestCase(404, 404)]
+        public void ReturnTradingDayPerYearWithoutSetBrokerage(int expectedTradingDayPerYear, int? customTradingDayPerYear = null)
+        {
+            var algorithm = new QCAlgorithm();
+
+            if (customTradingDayPerYear.HasValue)
+            {
+                algorithm.Settings.TradingDaysPerYear = customTradingDayPerYear.Value;
+            }
+
+            BaseSetupHandler.SetBrokerageTradingDayPerYear(algorithm);
+
+            Assert.AreEqual(expectedTradingDayPerYear, algorithm.Settings.TradingDaysPerYear);
+        }
+
+        private FakeOrderProcessor InitializeAndGetFakeOrderProcessor(QCAlgorithm algo)
+        {
+            algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
+            algo.SetFinishedWarmingUp();
+            algo.SetCash(100000);
+            var symbol = algo.AddEquity("SPY").Symbol;
+            var fakeOrderProcessor = new FakeOrderProcessor();
+            algo.Transactions.SetOrderProcessor(fakeOrderProcessor);
+            algo.Portfolio[symbol].SetHoldings(1, 10);
+            var security = algo.Securities[symbol];
+            security.SetMarketPrice(new TradeBar
+            {
+                Time = DateTime.Now,
+                Symbol = security.Symbol,
+                Open = 20,
+                High = 20,
+                Low = 20,
+                Close = 20
+            });
+
+            Assert.IsTrue(fakeOrderProcessor.ProcessedOrdersRequests.IsNullOrEmpty());
+            return fakeOrderProcessor;
+        }
+    }
+}