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 QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Orders.Fills;
+using QuantConnect.Securities;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Implements a custom fill model that inherit from FillModel. Override the MarketFill method to simulate partially fill orders
+    /// </summary>
+    internal class PartialFillModel : FillModel
+    {
+        private readonly QCAlgorithm _algorithm;
+        private readonly Dictionary<int, decimal> _absoluteRemainingByOrderId;
+        private readonly decimal _rate;
+        public PartialFillModel(QCAlgorithm algorithm, decimal rate = 1.0m)
+        {
+            _algorithm = algorithm;
+            _rate = rate;
+            _absoluteRemainingByOrderId = new Dictionary<int, decimal>();
+        }
+
+        public override OrderEvent MarketFill(Security asset, MarketOrder order)
+        {
+            decimal absoluteRemaining;
+            if (!_absoluteRemainingByOrderId.TryGetValue(order.Id, out absoluteRemaining))
+            {
+                absoluteRemaining = order.AbsoluteQuantity;
+                _absoluteRemainingByOrderId.Add(order.Id, order.AbsoluteQuantity);
+            }
+
+            // Create the object
+            var fill = base.MarketFill(asset, order);
+
+            // Set this fill amount
+            var absoluteFillQuantity = (int)(Math.Min(absoluteRemaining, _rate * (int)order.AbsoluteQuantity));
+            fill.FillQuantity = Math.Sign(order.Quantity) * absoluteFillQuantity;
+
+            if (absoluteRemaining == absoluteFillQuantity)
+            {
+                fill.Status = OrderStatus.Filled;
+                _absoluteRemainingByOrderId.Remove(order.Id);
+            }
+            else
+            {
+                fill.Status = OrderStatus.PartiallyFilled;
+                _absoluteRemainingByOrderId[order.Id] = absoluteRemaining - absoluteFillQuantity;
+
+                _algorithm.Debug($"{_algorithm.Time} - Partial Fill - Remaining {absoluteRemaining} Price - {fill.FillPrice}");
+            }
+            return fill;
+        }
+    }
+}