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
@@ -0,0 +1,134 @@
+/*
+ * 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.Linq;
+using Moq;
+using NUnit.Framework;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities;
+using QuantConnect.Tests.Engine;
+
+namespace QuantConnect.Tests.Algorithm.Framework.Portfolio
+{
+    [TestFixture]
+    public class PortfolioTargetTests
+    {
+        [Test]
+        public void PercentInvokesBuyingPowerModelAndAddsInExistingHoldings()
+        {
+            const decimal bpmQuantity = 100;
+            const decimal holdings = 50;
+            const decimal targetPercent = 0.5m;
+
+            var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
+            algorithm.Initialize();
+            algorithm.PostInitialize();
+            var security = algorithm.Securities.Single().Value;
+            security.SetMarketPrice(new Tick{Value = 1m});
+            security.Holdings.SetHoldings(1m, holdings);
+
+            var buyingPowerMock = new Mock<IBuyingPowerModel>();
+            buyingPowerMock.Setup(bpm => bpm.GetMaximumOrderQuantityForTargetBuyingPower(It.IsAny<GetMaximumOrderQuantityForTargetBuyingPowerParameters>()))
+                .Returns(new GetMaximumOrderQuantityResult(bpmQuantity, null, false));
+            security.BuyingPowerModel = buyingPowerMock.Object;
+            buyingPowerMock.Setup(bpm => bpm.GetLeverage(It.IsAny<Security>())).Returns(1);
+
+            var target = PortfolioTarget.Percent(algorithm, security.Symbol, targetPercent);
+
+            Assert.AreEqual(security.Symbol, target.Symbol);
+            Assert.AreEqual(bpmQuantity + holdings, target.Quantity);
+        }
+
+        [Test]
+        public void PercentReturnsNullIfPriceIsZero()
+        {
+            const decimal holdings = 50;
+            const decimal targetPercent = 1m;
+
+            var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
+            algorithm.Initialize();
+            algorithm.PostInitialize();
+            var security = algorithm.Securities.Single().Value;
+            security.SetMarketPrice(new Tick { Value = 0m });
+            security.Holdings.SetHoldings(1m, holdings);
+
+            var target = PortfolioTarget.Percent(algorithm, security.Symbol, targetPercent);
+
+            Assert.IsNull(target);
+        }
+
+        [Test]
+        public void PercentReturnsNullIfBuyingPowerModelError()
+        {
+            const decimal holdings = 50;
+            const decimal targetPercent = 1m;
+
+            var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
+            algorithm.Initialize();
+            algorithm.PostInitialize();
+            var security = algorithm.Securities.Single().Value;
+            security.SetMarketPrice(new Tick { Value = 1m });
+            security.Holdings.SetHoldings(1m, holdings);
+
+            var buyingPowerMock = new Mock<IBuyingPowerModel>();
+            buyingPowerMock.Setup(bpm => bpm.GetMaximumOrderQuantityForTargetBuyingPower(It.IsAny<GetMaximumOrderQuantityForTargetBuyingPowerParameters>()))
+                .Returns(new GetMaximumOrderQuantityResult(0, "The portfolio does not have enough margin available."));
+            security.BuyingPowerModel = buyingPowerMock.Object;
+            buyingPowerMock.Setup(bpm => bpm.GetLeverage(It.IsAny<Security>())).Returns(1);
+
+            var target = PortfolioTarget.Percent(algorithm, security.Symbol, targetPercent);
+
+            Assert.IsNull(target);
+        }
+
+        [TestCase(-3, true)]
+        [TestCase(3, true)]
+        [TestCase(2, false)]
+        [TestCase(-2, false)]
+        [TestCase(0.01, true)]
+        [TestCase(-0.01, true)]
+        [TestCase(0.1, false)]
+        [TestCase(-0.1, false)]
+        [TestCase(0, false)]
+        public void PercentIgnoresExtremeValuesBasedOnSettings(double value, bool shouldBeNull)
+        {
+            var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
+            algorithm.Settings.MaxAbsolutePortfolioTargetPercentage = 2;
+            algorithm.Settings.MinAbsolutePortfolioTargetPercentage = 0.1m;
+            algorithm.Initialize();
+            algorithm.PostInitialize();
+            var security = algorithm.Securities.Single().Value;
+            security.SetMarketPrice(new Tick { Value = 1m });
+
+            var buyingPowerMock = new Mock<IBuyingPowerModel>();
+            buyingPowerMock.Setup(bpm => bpm.GetMaximumOrderQuantityForTargetBuyingPower(It.IsAny<GetMaximumOrderQuantityForTargetBuyingPowerParameters>()))
+                .Returns(new GetMaximumOrderQuantityResult(1, null, false));
+            buyingPowerMock.Setup(bpm => bpm.GetLeverage(It.IsAny<Security>())).Returns(1);
+            security.BuyingPowerModel = buyingPowerMock.Object;
+
+            var target = PortfolioTarget.Percent(algorithm, security.Symbol, value);
+
+            if (shouldBeNull)
+            {
+                Assert.IsNull(target);
+            }
+            else
+            {
+                Assert.IsNotNull(target);
+            }
+        }
+    }
+}