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 NUnit.Framework;
+using Python.Runtime;
+using QuantConnect.Algorithm;
+using QuantConnect.Data.Market;
+using QuantConnect.Python;
+using QuantConnect.Securities;
+using QuantConnect.Tests.Common.Securities;
+using QuantConnect.Tests.Engine.DataFeeds;
+using System;
+
+namespace QuantConnect.Tests.Python
+{
+    [TestFixture]
+    public class PortfolioCustomModelTests
+    {
+        [Test]
+        [TestCase(true)]
+        [TestCase(false)]
+        public void SetMarginCallModelSuccess(bool isChild)
+        {
+            var algorithm = new QCAlgorithm();
+            var portfolio = algorithm.Portfolio;
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            algorithm.SetDateTime(new DateTime(2018, 8, 20, 15, 0, 0));
+            algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
+
+            var spy = algorithm.AddEquity("SPY", Resolution.Daily);
+            spy.SetMarketPrice(new Tick(algorithm.Time, Symbols.SPY, 100m, 100m));
+
+            // Test two custom buying power models.
+            // The first inherits from C# SecurityMarginModel and the other is 100% python
+            var code = isChild
+                ? CreateCustomMarginCallModelFromSecurityMarginModelCode()
+                : CreateCustomMarginCallModelCode();
+
+            portfolio.SetMarginCallModel(CreateCustomMarginCallModel(code, portfolio));
+            Assert.IsAssignableFrom<MarginCallModelPythonWrapper>(portfolio.MarginCallModel);
+
+            bool issueMarginCallWarning;
+            var marginCallOrders = portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
+
+            if (isChild)
+            {
+                Assert.IsFalse(issueMarginCallWarning);
+                Assert.AreEqual(0, marginCallOrders.Count);
+            }
+            else
+            {
+                Assert.IsTrue(issueMarginCallWarning);
+                Assert.AreEqual(3, marginCallOrders.Count);
+            }
+        }
+
+        [Test]
+        public void SetMarginCallModelFails()
+        {
+            var algorithm = new QCAlgorithm();
+            var portfolio = algorithm.Portfolio;
+
+            // Renaming GetMarginCall will cause a NotImplementedException exception
+            var code = CreateCustomMarginCallModelCode();
+            code = code.Replace("GetMarginCall", "SetMarginCall");
+            var pyObject = CreateCustomMarginCallModel(code, portfolio);
+            Assert.Throws<NotImplementedException>(() => portfolio.SetMarginCallModel(CreateCustomMarginCallModel(code, portfolio)));
+        }
+
+        private PyObject CreateCustomMarginCallModel(string code, SecurityPortfolioManager portfolio)
+        {
+            using (Py.GIL())
+            {
+                var module = PyModule.FromString("CustomMarginCallModel", code);
+                dynamic CustomMarginCallModel = module.GetAttr("CustomMarginCallModel");
+                return CustomMarginCallModel(portfolio, null);
+            }
+        }
+
+        private string CreateCustomMarginCallModelCode() => @"
+import os, sys
+sys.path.append(os.getcwd())
+
+from AlgorithmImports import *
+
+class CustomMarginCallModel:
+    def __init__(self, portfolio, defaultOrderProperties):
+        self.portfolio = portfolio
+        self.defaultOrderProperties = defaultOrderProperties
+
+    def ExecuteMarginCall(self, generatedMarginCallOrders):
+        return []
+    
+    def GenerateMarginCallOrder(self, security, netLiquidationValue, totalMargin, maintenanceMarginRequirement):
+        time = Extensions.ConvertToUtc(security.LocalTime, security.Exchange.TimeZone)
+        quantity = netLiquidationValue / security.Price
+        return SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, quantity, 0, 0, time, 'Margin Call', None)
+
+    def GetMarginCallOrders(self, issueMarginCallWarning):
+        issueMarginCallWarning = True
+        spy = self.portfolio.Securities['SPY']
+        totalPortfolioValue = self.portfolio.TotalPortfolioValue
+        totalMarginUsed = self.portfolio.TotalMarginUsed
+
+        order = self.GenerateMarginCallOrder(spy, totalPortfolioValue, totalMarginUsed, 0)
+        
+        return [order, order, order], issueMarginCallWarning";
+
+        private string CreateCustomMarginCallModelFromSecurityMarginModelCode() => @"
+import os, sys
+sys.path.append(os.getcwd())
+
+from AlgorithmImports import *
+
+class CustomMarginCallModel(DefaultMarginCallModel):
+    def __init__(self, portfolio, defaultOrderProperties):
+        super().__init__(portfolio, defaultOrderProperties)
+        self.porfolio = portfolio
+        self.defaultOrderProperties = defaultOrderProperties
+
+    def GenerateMarginCallOrder(self, security, netLiquidationValue, totalMargin, maintenanceMarginRequirement):
+        time = Extensions.ConvertToUtc(security.LocalTime, security.Exchange.TimeZone)
+        quantity = netLiquidationValue / security.Price
+        return SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, quantity, 0, 0, time, 'Margin Call', None)";
+    }
+}