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.
+
+from AlgorithmImports import *
+from QuantConnect.Tests import *
+from QuantConnect.Tests.Python import *
+from PandasMapper import PandasColumn
+
+# TODO: Rename to PandasResearchTests and keep this class for QB related tests; rename py module to PandasTests
+class PandasIndexingTests():
+    def __init__(self):
+        self.qb = QuantBook()
+        self.qb.SetStartDate(2020, 1, 1)
+        self.qb.SetEndDate(2020, 1, 4)
+        self.symbol = self.qb.AddEquity("SPY", Resolution.Daily).Symbol
+
+    def test_indexing_dataframe_with_list(self):
+        symbols = [self.symbol]
+        self.history = self.qb.History(symbols, 30)
+        self.history = self.history['close'].unstack(level=0).dropna()
+        test = self.history[[self.symbol]]
+        return True
+
+# Test class that sets up two dataframes to test on
+class PandasDataFrameTests():
+    def __init__(self):
+        self.spy = Symbols.SPY
+        self.aapl = Symbols.AAPL
+
+        # Set our symbol cache
+        SymbolCache.Set("SPY", self.spy)
+        SymbolCache.Set("AAPL", self.aapl)
+
+        pdConverter = PandasConverter()
+
+        # Create our dataframes
+        self.spydf = pdConverter.GetDataFrame(PythonTestingUtils.GetSlices(self.spy))
+
+    def test_contains_user_mapped_ticker(self):
+        # Create a new DF that has a plain ticker, test that our mapper doesn't break
+        # searching for it.
+        df = pd.DataFrame({'spy': [2, 5, 8, 10]})
+        return 'spy' in df
+
+    def test_expected_exception(self):
+        # Try indexing a ticker that doesn't exist in this frame, but is still in our cache
+        try:
+            self.spydf['aapl']
+        except KeyError as e:
+            return str(e)
+
+    def test_contains_user_defined_columns_with_spaces(self, column_name):
+        # Adds a column, then try accessing it.
+        # If the colums has white spaces, it should not fail
+        df = self.spydf.copy()
+        df[column_name] = 1
+        try:
+            x = df[column_name]
+            return True
+        except:
+            return False
+
+    def test_column_equals_only_matching_string(self):
+        # A column label should only equal a matching string, never None/ints/floats
+        column = PandasColumn("shares")
+        return (not (column == None)) and (not (column == 0)) and (not (column == 123)) and (column == "shares")
@@ -0,0 +1,91 @@
+# 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.
+
+'''
+To test this script directly you will need to import QuantConnect Dlls using clrloader from the appropriate 
+location, the code below shows how to do this. Otherwise you can run it directly from C# in Lean without it.
+
+To run as a solo script, add the following code to your script
+
+Requires:
+clr-loader==0.1.6
+pandas
+
+*********** CODE ***********
+import os
+import sys
+
+# Get to DLL location where we are testing, change as needed
+fileDirectory = os.path.dirname(os.path.abspath(__file__))
+dlldir = "../../bin/Debug"
+dlldir = os.path.join(fileDirectory, dlldir)
+
+# Move us to dll directory and add it to path
+os.chdir(dlldir)
+sys.path.append(dlldir)
+
+# Tell PythonNet to use .dotnet 6
+from pythonnet import set_runtime
+import clr_loader
+set_runtime(clr_loader.get_coreclr(os.path.join(dlldir, "QuantConnect.Lean.Launcher.runtimeconfig.json")))
+
+'''
+
+from clr import AddReference
+AddReference("QuantConnect.Common")
+AddReference("QuantConnect.Tests")
+
+from QuantConnect import *
+from QuantConnect.Python import PandasConverter
+from QuantConnect.Tests import Symbols
+from QuantConnect.Tests.Python import PythonTestingUtils
+
+# Import our mapper which wraps core pandas functions (included in build dir)
+import PandasMapper
+import pandas as pd
+
+# Get some dataframes from Lean to test on
+spy = Symbols.SPY
+aapl = Symbols.AAPL
+SymbolCache.Set("SPY", spy)
+SymbolCache.Set("AAPL", aapl)
+
+pdConverter = PandasConverter()
+
+slices = PythonTestingUtils.GetSlices(spy)
+spydf = pdConverter.GetDataFrame(slices)
+
+slices = PythonTestingUtils.GetSlices(aapl)
+aapldf = pdConverter.GetDataFrame(slices)
+
+
+def Test_Concat(dataFrame, dataFrame2, indexer):
+    newDataFrame = pd.concat([dataFrame, dataFrame2])
+    data = newDataFrame['lastprice'].unstack(level=0).iloc[-1][indexer]
+    if data is 0:
+        raise Exception('Data is zero')
+
+def Test_Join(dataFrame, dataFrame2, indexer):
+    newDataFrame = dataFrame.join(dataFrame2, lsuffix='_')
+    base =  newDataFrame['lastprice_'].unstack(level=0)
+    data = base.iloc[-1][indexer]
+    if data is 0:
+        raise Exception('Data is zero')
+
+Test_Concat(spydf, aapldf, "spy")
+Test_Concat(spydf, aapldf, spy)
+Test_Concat(spydf, aapldf, str(spy.ID))
+
+Test_Join(spydf, aapldf, "spy")
+Test_Join(spydf, aapldf, spy)
+Test_Join(spydf, aapldf, str(spy.ID))