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 NUnit.Framework;
+using QuantConnect.Algorithm;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Tests.Common.Securities;
+using QuantConnect.Tests.Engine.DataFeeds;
+
+namespace QuantConnect.Tests.Algorithm.Framework
+{
+    [TestFixture]
+    public class QCAlgorithmFrameworkTests
+    {
+        [Test]
+        public void SetsInsightGeneratedAndCloseTimes()
+        {
+            var eventFired = false;
+            var algo = new QCAlgorithm();
+            algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
+            algo.Transactions.SetOrderProcessor(new FakeOrderProcessor());
+            algo.InsightsGenerated += (algorithm, data) =>
+            {
+                eventFired = true;
+                var insights = data.Insights;
+                Assert.AreEqual(1, insights.Length);
+                Assert.IsTrue(insights.All(insight => insight.GeneratedTimeUtc != default(DateTime)));
+                Assert.IsTrue(insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
+            };
+            var security = algo.AddEquity("SPY");
+            algo.SetUniverseSelection(new ManualUniverseSelectionModel());
+
+            var alpha = new FakeAlpha();
+            algo.SetAlpha(alpha);
+
+            var construction = new FakePortfolioConstruction();
+            algo.SetPortfolioConstruction(construction);
+
+            var tick = new Tick
+            {
+                Symbol = security.Symbol,
+                Value = 1,
+                Quantity = 2
+            };
+            security.SetMarketPrice(tick);
+
+            algo.OnFrameworkData(new Slice(new DateTime(2000, 01, 01), algo.Securities.Select(s => tick), new DateTime(2000, 01, 01)));
+
+            Assert.IsTrue(eventFired);
+            Assert.AreEqual(1, construction.Insights.Count);
+            Assert.IsTrue(construction.Insights.All(insight => insight.GeneratedTimeUtc != default(DateTime)));
+            Assert.IsTrue(construction.Insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
+        }
+
+        [TestCase(true, 0)]
+        [TestCase(false, 2)]
+        public void DelistedSecuritiesInsightsTest(bool isDelisted, int expectedCount)
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
+            algorithm.SetStartDate(2007, 5, 16);
+            algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
+            algorithm.SetFinishedWarmingUp();
+
+            var alpha = new FakeAlpha();
+            algorithm.SetAlpha(alpha);
+
+            var construction = new FakePortfolioConstruction();
+            algorithm.SetPortfolioConstruction(construction);
+
+            var actualInsights = new List<Insight>();
+            algorithm.InsightsGenerated += (s, e) => actualInsights.AddRange(e.Insights);
+
+            var security = algorithm.AddEquity("SPY", Resolution.Daily);
+            var tick = new Tick
+            {
+                Symbol = security.Symbol,
+                Value = 1,
+                Quantity = 2
+            };
+
+            security.SetMarketPrice(tick);
+            security.IsDelisted = isDelisted;
+
+            // Trigger Alpha to emit insight
+            algorithm.OnFrameworkData(new Slice(new DateTime(2000, 01, 01), new List<BaseData>() { tick }, new DateTime(2000, 01, 01)));
+
+            // Manually emit insight
+            algorithm.EmitInsights(Insight.Price(Symbols.SPY, TimeSpan.FromDays(1), InsightDirection.Up, .5, .75));
+
+            // Should be zero because security is delisted
+            Assert.AreEqual(expectedCount, actualInsights.Count);
+        }
+
+        class FakeAlpha : AlphaModel
+        {
+            public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
+            {
+                yield return Insight.Price(Symbols.SPY, TimeSpan.FromDays(1), InsightDirection.Up, .5, .75);
+            }
+        }
+
+        class FakePortfolioConstruction : PortfolioConstructionModel
+        {
+            public IReadOnlyCollection<Insight> Insights { get; private set; }
+            public override IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
+            {
+                Insights = insights;
+                return insights.Select(insight => PortfolioTarget.Percent(algorithm, insight.Symbol, 0.01m));
+            }
+        }
+    }
+}