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.Collections.Generic;
+using NUnit.Framework;
+using Python.Runtime;
+using QuantConnect.Algorithm;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Selection;
+
+namespace QuantConnect.Tests.Algorithm.Framework.Alphas
+{
+    [TestFixture]
+    public class BasePairsTradingAlphaModelTests : CommonAlphaModelTests
+    {
+        private const int _lookback = 15;
+        private const Resolution _resolution = Resolution.Minute;
+
+        protected override int MaxSliceCount => 1500;
+
+        protected override IAlphaModel CreateCSharpAlphaModel()
+        {
+            return new BasePairsTradingAlphaModel(_lookback, _resolution);
+        }
+
+        protected override void InitializeAlgorithm(QCAlgorithm algorithm)
+        {
+            algorithm.SetUniverseSelection(new ManualUniverseSelectionModel(
+                Symbol.Create("AIG", SecurityType.Equity, Market.USA),
+                Symbol.Create("BAC", SecurityType.Equity, Market.USA)));
+        }
+
+        protected override string GetExpectedModelName(IAlphaModel model)
+        {
+            return $"{nameof(BasePairsTradingAlphaModel)}({_lookback},{_resolution},1)";
+        }
+
+        protected override IAlphaModel CreatePythonAlphaModel()
+        {
+            using (Py.GIL())
+            {
+                dynamic model = Py.Import("BasePairsTradingAlphaModel").GetAttr("BasePairsTradingAlphaModel");
+                var instance = model(_lookback, _resolution);
+                return new AlphaModelPythonWrapper(instance);
+            }
+        }
+
+        protected override IEnumerable<Insight> ExpectedInsights()
+        {
+            Assert.Ignore("The CommonAlphaModelTests need to be refactored to support multiple securities with different prices for each security");
+            return null;
+        }
+    }
+}