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 +1,109 @@
+/*
+ * 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 Python.Runtime;
+using NUnit.Framework;
+using System.Threading;
+using QuantConnect.Orders;
+using QuantConnect.Logging;
+using QuantConnect.Securities;
+using QuantConnect.Orders.Fees;
+using QuantConnect.Tests.Common.Securities;
+
+namespace QuantConnect.Tests.Python
+{
+    [TestFixture]
+    public class PythonMemoryLeakTests
+    {
+        private Security _security;
+        private static DateTime orderDateTime;
+
+        [SetUp]
+        public void SetUp()
+        {
+            _security = SecurityTests.GetSecurity();
+            orderDateTime = new DateTime(2017, 2, 2, 13, 0, 0);
+            var reference = orderDateTime;
+            var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
+            var timeKeeper = new TimeKeeper(referenceUtc);
+            _security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
+        }
+
+        [Test]
+        public void DoesNotLeak()
+        {
+            using (Py.GIL())
+            {
+                var module = PyModule.FromString(Guid.NewGuid().ToString(),
+                    @"
+from AlgorithmImports import *
+
+def jose(security):
+    security.SetFeeModel(MakerTakerModel())
+class MakerTakerModel(FeeModel):
+    def __init__(self, maker = -.0016, taker = .003):
+        self.maker = maker 
+        self.taker = taker
+
+    def GetOrderFee(self, parameters: OrderFeeParameters) -> OrderFee:
+        qty = parameters.Order.Quantity
+        ord_type = parameters.Order.Type
+
+        # fee_in_usd = .0008
+
+        # make_ps = -.0016 #Rebate
+        # take_ps = .003
+
+        if ord_type in [OrderType.Market, OrderType.StopMarket]:
+            fee_usd = self.taker * qty 
+        else:
+            fee_usd = self.maker * qty
+
+        return OrderFee(CashAmount(fee_usd, 'USD'))");
+
+                module.GetAttr("jose").Invoke(_security.ToPython());
+
+                var parameters = new OrderFeeParameters(_security, new MarketOrder(_security.Symbol, 1, orderDateTime));
+                // warmup
+                var result = _security.FeeModel.GetOrderFee(parameters);
+                Assert.IsNotNull(result);
+
+                // let the system stabilize
+                Thread.Sleep(1000);
+                var start = GC.GetTotalMemory(true);
+                for (var i = 0; i < 50000; i++)
+                {
+                    result = _security.FeeModel.GetOrderFee(parameters);
+
+                    Assert.IsNotNull(result);
+
+                    if (i % 10000 == 0)
+                    {
+                        Log.Debug($"Memory: {GC.GetTotalMemory(true)}");
+                    }
+                }
+                Thread.Sleep(1000);
+                var end = GC.GetTotalMemory(true);
+
+                var message = $"Start: {start}. End {end}. Variation {((end - start) / (decimal)start * 100).RoundToSignificantDigits(2)}%";
+                Log.Debug(message);
+
+                // 5% noise, leak was >10%
+                Assert.LessOrEqual(end, start * 1.05, message);
+            }
+        }
+    }
+}