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.Configuration;
+using QuantConnect.Data.Shortable;
+
+namespace QuantConnect.Tests.Common.Data.Shortable
+{
+    [TestFixture]
+    public class ShortableProviderTests
+    {
+        private readonly Dictionary<string, Dictionary<Symbol, ShortableData>[]> _resultsByBrokerage = new();
+        private Symbol[] _symbols;
+        
+        [SetUp]
+        public void SetupConfig()
+        {
+            Config.Set("data-folder", "TestData");
+            Globals.Reset();
+
+            _symbols = new[] { "AAPL", "GOOG", "BAC" }
+               .Select(x => new Symbol(SecurityIdentifier.GenerateEquity(x, QuantConnect.Market.USA, mappingResolveDate: new DateTime(2021, 1, 4)), x))
+               .ToArray();
+
+            _resultsByBrokerage["testinteractivebrokers"] = new[]
+            {
+                new Dictionary<Symbol, ShortableData>
+                {
+                    { _symbols[0], new(2000, 0.0507m, 0.0025m) },
+                    { _symbols[1], new(5000, 0.0517m, 0.0035m) },
+                    { _symbols[2], new(null, 0, 0) } // we have no data for this symbol
+                },
+                new Dictionary<Symbol, ShortableData>
+                {
+                    { _symbols[0], new(4000, 0.0509m, 0.003m) },
+                    { _symbols[1], new(10000, 0.0519m, 0.004m) },
+                    { _symbols[2], new(null, 0, 0) } // we have no data for this symbol
+                }
+            };
+
+            _resultsByBrokerage["testbrokerage"] = new[]
+{
+                new Dictionary<Symbol, ShortableData>
+                {
+                    { _symbols[0], new(2000, 0, 0) },
+                    { _symbols[1], new(5000, 0, 0) },
+                    { _symbols[2], new(null, 0, 0) } // we have no data for this symbol
+                },
+                new Dictionary<Symbol, ShortableData>
+                {
+                    { _symbols[0], new(4000, 0, 0) },
+                    { _symbols[1], new(10000, 0, 0) },
+                    { _symbols[2], new(null, 0, 0) } // we have no data for this symbol
+                }
+            };
+        }
+
+        [TearDown]
+        public void ResetConfig()
+        {
+            Config.Reset();
+            Globals.Reset();
+        }
+        
+        [TestCase("testbrokerage")]
+        [TestCase("testinteractivebrokers")]
+        public void LocalDiskShortableProviderGetsDataBySymbol(string brokerage)
+        {
+            var shortableProvider = new LocalDiskShortableProvider(brokerage);
+            var results = _resultsByBrokerage[brokerage];
+
+            var dates = new[]
+            {
+                new DateTime(2020, 12, 21),
+                new DateTime(2020, 12, 22)
+            };
+
+            foreach (var symbol in _symbols)
+            {
+                for (var i = 0; i < dates.Length; i++)
+                {
+                    var date = dates[i];
+                    var shortableQuantity = shortableProvider.ShortableQuantity(symbol, date);
+                    var rebateRate = shortableProvider.RebateRate(symbol, date);
+                    var feeRate = shortableProvider.FeeRate(symbol, date);
+
+                    Assert.AreEqual(results[i][symbol].ShortableQuantity, shortableQuantity);
+                    Assert.AreEqual(results[i][symbol].RebateRate, rebateRate);
+                    Assert.AreEqual(results[i][symbol].FeeRate, feeRate);
+                }
+            }
+        }
+
+        [TestCase("AAPL", "nobrokerage")]
+        [TestCase("SPY", "testbrokerage")]
+        public void LocalDiskShortableProviderDefaultsToNullForMissingData(string ticker, string brokerage)
+        {
+            var provider = new LocalDiskShortableProvider(brokerage);
+            var date = new DateTime(2020, 12, 21);
+            var symbol = new Symbol(SecurityIdentifier.GenerateEquity(ticker, QuantConnect.Market.USA, mappingResolveDate: date), ticker);
+
+            Assert.IsFalse(provider.ShortableQuantity(symbol, date).HasValue);
+            Assert.AreEqual(0, provider.RebateRate(symbol, date));
+            Assert.AreEqual(0, provider.FeeRate(symbol, date));
+        }
+
+        private record ShortableData(long? ShortableQuantity, decimal RebateRate, decimal FeeRate);
+    }
+}