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;
+using QuantConnect.Data.Market;
+using QuantConnect.Python;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Equity;
+using QuantConnect.Tests.Common.Securities;
+using System;
+using QuantConnect.Tests.Engine.DataFeeds;
+
+namespace QuantConnect.Tests.Python
+{
+    [TestFixture]
+    public class SecurityCustomModelTests
+    {
+        [Test]
+        [TestCase(true)]
+        [TestCase(false)]
+        public void SetBuyingPowerModelSuccess(bool isChild)
+        {
+            var algorithm = new QCAlgorithm();
+            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
+                ? CreateCustomBuyingPowerModelFromSecurityMarginModelCode()
+                : CreateCustomBuyingPowerModelCode();
+
+            spy.SetBuyingPowerModel(CreateCustomBuyingPowerModel(code));
+            Assert.IsAssignableFrom<BuyingPowerModelPythonWrapper>(spy.MarginModel);
+            Assert.AreEqual(1, spy.MarginModel.GetLeverage(spy));
+
+            spy.SetLeverage(2);
+            Assert.AreEqual(2, spy.MarginModel.GetLeverage(spy));
+
+            var quantity = algorithm.CalculateOrderQuantity(spy.Symbol, 1m);
+            Assert.AreEqual(isChild ? 100 : 200, quantity);
+        }
+
+        [Test]
+        public void SetBuyingPowerModelFails()
+        {
+            var spy = GetSecurity<Equity>(Symbols.SPY, Resolution.Daily);
+
+            // Renaming GetMaximumOrderQuantityForTargetDeltaBuyingPower will cause a NotImplementedException exception
+            var code = CreateCustomBuyingPowerModelCode();
+            code = code.Replace("GetMaximumOrderQuantityForDeltaBuyingPower", "AnotherName");
+            var pyObject = CreateCustomBuyingPowerModel(code);
+            Assert.Throws<NotImplementedException>(() => spy.SetBuyingPowerModel(pyObject));
+        }
+
+        private PyObject CreateCustomBuyingPowerModel(string code)
+        {
+            using (Py.GIL())
+            {
+                var module = PyModule.FromString("CustomBuyingPowerModel", code);
+                return module.GetAttr("CustomBuyingPowerModel").Invoke();
+            }
+        }
+
+        private string CreateCustomBuyingPowerModelCode() => @"
+import os, sys
+sys.path.append(os.getcwd())
+
+from AlgorithmImports import *
+
+class CustomBuyingPowerModel:
+    def __init__(self):
+        self.margin = 1.0
+
+    def GetBuyingPower(self, context):
+        return BuyingPower(context.Portfolio.MarginRemaining)
+
+    def GetMaximumOrderQuantityForDeltaBuyingPower(self, context):
+        return GetMaximumOrderQuantityResult(200)
+
+    def GetLeverage(self, security):
+        return 1.0 / self.margin
+
+    def GetMaximumOrderQuantityForTargetBuyingPower(self, context):
+        return GetMaximumOrderQuantityResult(200)
+
+    def GetReservedBuyingPowerForPosition(self, context):
+        return ReservedBuyingPowerForPosition(context.Security.Holdings.AbsoluteHoldingsCost * self.margin)
+
+    def HasSufficientBuyingPowerForOrder(self, context):
+        return HasSufficientBuyingPowerForOrderResult(True)
+
+    def GetMaintenanceMargin(self, context):
+        return None
+
+    def GetInitialMarginRequirement(self, context):
+        return None
+
+    def GetInitialMarginRequiredForOrder(self, context):
+        return None
+
+    def SetLeverage(self, security, leverage):
+        self.margin = 1.0 / float(leverage)";
+
+        private string CreateCustomBuyingPowerModelFromSecurityMarginModelCode() => @"
+import os, sys
+sys.path.append(os.getcwd())
+
+from AlgorithmImports import *
+
+class CustomBuyingPowerModel(SecurityMarginModel):
+    def GetMaximumOrderQuantityForTargetBuyingPower(self, context):
+        return GetMaximumOrderQuantityResult(100)";
+
+        private Security GetSecurity<T>(Symbol symbol, Resolution resolution)
+        {
+            var subscriptionDataConfig = new SubscriptionDataConfig(
+                typeof(T),
+                symbol,
+                resolution,
+                TimeZones.Utc,
+                TimeZones.Utc,
+                true,
+                true,
+                false);
+
+            return new Security(
+                SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
+                subscriptionDataConfig,
+                new Cash(Currencies.USD, 0, 1m),
+                SymbolProperties.GetDefault(Currencies.USD),
+                ErrorCurrencyConverter.Instance,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCache()
+            );
+        }
+    }
+}