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 +1,100 @@
+/*
+ * 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 NodaTime;
+using NUnit.Framework;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Lean.Engine;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Volatility;
+using QuantConnect.Tests.Engine.DataFeeds;
+using QuantConnect.Util;
+
+namespace QuantConnect.Tests.Common.Securities
+{
+    [TestFixture]
+    class ProcessVolatilityHistoryRequirementsTests
+    {
+        [Test]
+        public void Works()
+        {
+            var algorithm = new AlgorithmStub();
+            algorithm.HistoryProvider = new TestHistoryProvider();
+            var security = algorithm.AddEquity(Symbols.SPY.Value);
+            var model = new TestVolatilityModel();
+            security.VolatilityModel = model;
+
+            AlgorithmManager.ProcessVolatilityHistoryRequirements(algorithm, false);
+
+            Assert.AreEqual(1, model.dataUpdate.Count);
+            Assert.AreEqual(Symbols.SPY, model.dataUpdate.First().Symbol);
+            Assert.AreEqual(4, model.dataUpdate.First().Price);
+        }
+    }
+
+    internal class TestVolatilityModel : BaseVolatilityModel
+    {
+        public List<BaseData> dataUpdate = new List<BaseData>();
+        public override decimal Volatility { get; }
+        public override void Update(Security security, BaseData data)
+        {
+            dataUpdate.Add(data);
+        }
+
+        public override IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
+        {
+            var configuration = SubscriptionDataConfigProvider.GetSubscriptionDataConfigs(security.Symbol).First();
+
+            return new[]
+            {
+                new HistoryRequest(
+                    utcTime,
+                    utcTime,
+                    typeof(TradeBar),
+                    configuration.Symbol,
+                    configuration.Resolution,
+                    security.Exchange.Hours,
+                    configuration.DataTimeZone,
+                    configuration.Resolution,
+                    configuration.ExtendedMarketHours,
+                    configuration.IsCustomData,
+                    configuration.DataNormalizationMode,
+                    LeanData.GetCommonTickTypeForCommonDataTypes(typeof(TradeBar), security.Type)
+                )
+            };
+        }
+    }
+
+    internal class TestHistoryProvider : HistoryProviderBase
+    {
+        public override int DataPointCount { get; }
+        public override void Initialize(HistoryProviderInitializeParameters parameters)
+        {
+            throw new NotImplementedException();
+        }
+
+        public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
+        {
+            var request = requests.First();
+            return new List<Slice>{ new Slice(DateTime.UtcNow,
+                new List<BaseData> {new TradeBar(DateTime.MinValue, request.Symbol, 1, 2, 3, 4, 5) }, DateTime.UtcNow)};
+        }
+    }
+}