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 +1,118 @@
+/*
+ * 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 System;
+using QuantConnect.Logging;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Tests.Research
+{
+    [TestFixture]
+    public class QuantBookIndicatorsTests
+    {
+        private ILogHandler _logHandler;
+        dynamic _module;
+
+        [OneTimeSetUp]
+        public void Setup()
+        {
+            // Store initial handler
+            _logHandler = Log.LogHandler;
+
+            SymbolCache.Clear();
+            MarketHoursDatabase.Reset();
+
+            using (Py.GIL())
+            {
+                _module = Py.Import("Test_QuantBookIndicator");
+            }
+        }
+
+        [OneTimeTearDown]
+        public void OneTimeTearDown()
+        {
+            // Reset to initial handler
+            Log.LogHandler = _logHandler;
+        }
+
+        [TestCase(2013, 10, 11, SecurityType.Equity, "SPY")]
+        [TestCase(2014, 5, 9, SecurityType.Forex, "EURUSD")]
+        [TestCase(2016, 10, 9, SecurityType.Crypto, "BTCUSD")]
+        public void QuantBookIndicatorTests(int year, int month, int day, SecurityType securityType, string symbol)
+        {
+            using (Py.GIL())
+            {
+                var startDate = new DateTime(year, month, day);
+                var indicatorTest = _module.IndicatorTest(startDate, securityType, symbol);
+
+                var endDate = startDate;
+                startDate = endDate.AddYears(-1);
+
+                // Tests a data point indicator
+                var dfBB = indicatorTest.test_bollinger_bands(symbol, startDate, endDate, Resolution.Daily).DataFrame;
+                Assert.IsTrue(GetDataFrameLength(dfBB) > 0);
+
+                // Tests a bar indicator
+                var dfATR = indicatorTest.test_average_true_range(symbol, startDate, endDate, Resolution.Daily).DataFrame;
+                Assert.IsTrue(GetDataFrameLength(dfATR) > 0);
+
+                if (securityType == SecurityType.Forex)
+                {
+                    return;
+                }
+
+                // Tests a trade bar indicator
+                var dfOBV = indicatorTest.test_on_balance_volume(symbol, startDate, endDate, Resolution.Daily).DataFrame;
+                Assert.IsTrue(GetDataFrameLength(dfOBV) > 0);
+            }
+        }
+
+        [TestCase(2013, 10, 11, SecurityType.Equity, "SPY")]
+        [TestCase(2014, 5, 9, SecurityType.Forex, "EURUSD")]
+        [TestCase(2016, 10, 9, SecurityType.Crypto, "BTCUSD")]
+        public void QuantBookIndicatorTests_BackwardsCompatibility(int year, int month, int day, SecurityType securityType, string symbol)
+        {
+            using (Py.GIL())
+            {
+                var startDate = new DateTime(year, month, day);
+                var indicatorTest = _module.IndicatorTest(startDate, securityType, symbol);
+
+                var endDate = startDate;
+                startDate = endDate.AddYears(-1);
+
+                // Tests a data point indicator
+                var dfBB = indicatorTest.test_bollinger_bands_backwards_compatibility(symbol, startDate, endDate, Resolution.Daily);
+                Assert.IsTrue(GetDataFrameLength(dfBB) > 0);
+
+                // Tests a bar indicator
+                var dfATR = indicatorTest.test_average_true_range_backwards_compatibility(symbol, startDate, endDate, Resolution.Daily);
+                Assert.IsTrue(GetDataFrameLength(dfATR) > 0);
+
+                if (securityType == SecurityType.Forex)
+                {
+                    return;
+                }
+
+                // Tests a trade bar indicator
+                var dfOBV = indicatorTest.test_on_balance_volume_backwards_compatibility(symbol, startDate, endDate, Resolution.Daily);
+                Assert.IsTrue(GetDataFrameLength(dfOBV) > 0);
+            }
+        }
+
+        internal static int GetDataFrameLength(dynamic df) => (int)(df.shape[0] as PyObject).AsManagedObject(typeof(int));
+    }
+}