chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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.Linq;
+using QuantConnect.Algorithm;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Tests.Engine.DataFeeds;
+
+namespace QuantConnect.Tests.Engine
+{
+    public static class PerformanceBenchmarkAlgorithms
+    {
+        public static QCAlgorithm SingleSecurity_Second => new SingleSecurity_Second_BenchmarkTest();
+        public static QCAlgorithm FiveHundredSecurity_Second => new FiveHundredSecurity_Second_BenchmarkTest();
+
+        public static QCAlgorithm CreateBenchmarkAlgorithm(int securityCount, Resolution resolution)
+        {
+            // determine reasonable start/end dates
+            var start = new DateTime(2000, 01, 01);
+
+            // aim for 5MM data points
+            var pointsPerSecurity = 5000000 / securityCount;
+            var increment = resolution.ToTimeSpan();
+            var incrementsPerDay = Time.OneDay.Ticks / increment.Ticks;
+            var days = pointsPerSecurity / incrementsPerDay - 1;
+
+            if (days < 0)
+            {
+                throw new Exception($"Unable to create {securityCount} subscriptions at {resolution} resolution. Consider using a larger resolution.");
+            }
+
+            var parameters = new Parameters(securityCount, resolution, start, start.AddDays(days));
+            return new EquityBenchmarkAlgorithm(parameters);
+        }
+
+        private class SingleSecurity_Second_BenchmarkTest : QCAlgorithm
+        {
+            public SingleSecurity_Second_BenchmarkTest()
+            {
+                SubscriptionManager.SetDataManager(new DataManagerStub(this, new MockDataFeed()));
+            }
+
+            public override void Initialize()
+            {
+                SetStartDate(2008, 01, 01);
+                SetEndDate(2009, 01, 01);
+                SetCash(100000);
+                SetBenchmark(time => 0m);
+                AddEquity("SPY", Resolution.Second);
+            }
+        }
+
+        private class FiveHundredSecurity_Second_BenchmarkTest : QCAlgorithm
+        {
+            public override void Initialize()
+            {
+                SetStartDate(2018, 02, 01);
+                SetEndDate(2018, 02, 01);
+                SetCash(100000);
+                SetBenchmark(time => 0m);
+                foreach (var symbol in QuantConnect.Algorithm.CSharp.Benchmarks.Symbols.Equity.All.Take(500))
+                {
+                    AddEquity(symbol, Resolution.Second);
+                }
+            }
+        }
+
+        private class EquityBenchmarkAlgorithm : QCAlgorithm
+        {
+            private readonly Parameters _parameters;
+
+            public EquityBenchmarkAlgorithm(Parameters parameters)
+            {
+                _parameters = parameters;
+            }
+
+            public override void Initialize()
+            {
+                SetStartDate(_parameters.StartDate);
+                SetEndDate(_parameters.EndDate);
+                SetBenchmark(time => 0m);
+
+                foreach (var symbol in QuantConnect.Algorithm.CSharp.Benchmarks.Symbols.Equity.All.Take(_parameters.SecurityCount))
+                {
+                    AddEquity(symbol, _parameters.Resolution);
+                }
+            }
+        }
+
+        public class Parameters
+        {
+            public int SecurityCount { get; set; }
+            public Resolution Resolution { get; set; }
+            public DateTime StartDate { get; set; }
+            public DateTime EndDate { get; set; }
+
+            public Parameters(int securityCount, Resolution resolution, DateTime startDate, DateTime endDate)
+            {
+                SecurityCount = securityCount;
+                Resolution = resolution;
+                StartDate = startDate;
+                EndDate = endDate;
+            }
+        }
+    }
+}