Initial commit

.github/workflows/build.yml

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+name: Build & Test
+
+on:
+  push:
+    branches: ['*']
+  pull_request:
+    branches: [master]
+
+jobs:
+  build:
+    runs-on: ubuntu-20.04
+
+    steps:
+      - uses: actions/checkout@v2
+
+      - name: Free space
+        run: df -h && rm -rf /opt/hostedtoolcache* && df -h
+
+      - name: Pull Foundation Image
+        uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+
+      - name: Checkout Lean Same Branch
+        id: lean-same-branch
+        uses: actions/checkout@v2
+        continue-on-error: true
+        with:
+          ref: ${{ github.ref }}
+          repository: QuantConnect/Lean
+          path: Lean
+
+      - name: Checkout Lean Master
+        if: steps.lean-same-branch.outcome != 'success'
+        uses: actions/checkout@v2
+        with:
+          repository: QuantConnect/Lean
+          path: Lean
+
+      - name: Move Lean
+        run: mv Lean ../Lean
+
+      - name: BuildDataSource
+        run: dotnet build ./QuantConnect.DataSource.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1
+
+      - name: BuildTests
+        run: dotnet build ./tests/Tests.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1
+
+      - name: Run Tests
+        run: dotnet test ./tests/bin/Release/net6.0/Tests.dll

.gitignore

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+# Object files
+*.o
+*.ko
+*.obj
+*.elf
+*.pyc
+
+# Visual Studio Project Items:
+*.suo
+
+# Precompiled Headers
+*.gch
+*.pch
+
+# Libraries
+*.lib
+*.a
+*.la
+*.lo
+
+# Shared objects (inc. Windows DLLs)
+#*.dll
+*.so
+*.so.*
+*.dylib
+
+# Executables
+*/bin/*.exe
+*.out
+*.app
+*.i*86
+*.x86_64
+*.hex
+
+# QC Cloud Setup Bash Files
+*.sh
+# Include docker launch scripts for Mac/Linux
+!run_docker.sh
+!research/run_docker_notebook.sh
+
+# QC Config Files:
+# config.json
+
+# QC-C-Specific
+*Engine/bin/Debug/cache/data/*.zip
+*/obj/*
+*/bin/*
+*Data/*
+*Docker/*
+*/Docker/*
+*Algorithm.Python/Lib/*
+*/[Ee]xtensions/*
+!**/Libraries/*
+
+# C Debug Binaries
+*.pdb
+
+## Ignore Visual Studio temporary files, build results, and
+## files generated by popular Visual Studio add-ons.
+
+# User-specific files
+*.suo
+*.user
+*.userosscache
+*.sln.docstates
+*.userprefs
+
+# Build results
+[Dd]ebug/
+[Dd]ebugPublic/
+[Rr]elease/
+[Rr]eleases/
+x64/
+x86/
+.vs/
+build/
+bld/
+[Bb]in/
+[Oo]bj/
+
+# Roslyn cache directories
+*.ide/
+
+# MSTest test Results
+[Tt]est[Rr]esult*/
+[Bb]uild[Ll]og.*
+
+#NUNIT
+*.VisualState.xml
+TestResult.xml
+
+# Build Results of an ATL Project
+[Dd]ebugPS/
+[Rr]eleasePS/
+dlldata.c
+
+*_i.c
+*_p.c
+*_i.h
+*.ilk
+*.meta
+*.obj
+*.pch
+*.pdb
+*.pgc
+*.pgd
+*.rsp
+*.sbr
+*.tlb
+*.tli
+*.tlh
+*.tmp
+*.tmp_proj
+*.log
+*.vspscc
+*.vssscc
+.builds
+*.pidb
+*.svclog
+*.scc
+
+# Chutzpah Test files
+_Chutzpah*
+
+# Visual C++ cache files
+ipch/
+*.aps
+*.ncb
+*.opensdf
+*.sdf
+*.cachefile
+
+# Visual Studio profiler
+*.psess
+*.vsp
+*.vspx
+
+# TFS 2012 Local Workspace
+$tf/
+
+# Guidance Automation Toolkit
+*.gpState
+
+# ReSharper is a .NET coding add-in
+_ReSharper*/
+*.[Rr]e[Ss]harper
+*.DotSettings
+*.DotSettings.user
+
+# JustCode is a .NET coding addin-in
+.JustCode
+
+# TeamCity is a build add-in
+_TeamCity*
+
+# DotCover is a Code Coverage Tool
+*.dotCover
+
+# NCrunch
+_NCrunch_*
+.*crunch*.local.xml
+
+# MightyMoose
+*.mm.*
+AutoTest.Net/
+
+# Web workbench (sass)
+.sass-cache/
+
+# Installshield output folder
+[Ee]xpress/
+
+# JetBrains Rider
+.idea/
+
+# DocProject is a documentation generator add-in
+DocProject/buildhelp/
+DocProject/Help/*.HxT
+DocProject/Help/*.HxC
+DocProject/Help/*.hhc
+DocProject/Help/*.hhk
+DocProject/Help/*.hhp
+DocProject/Help/Html2
+DocProject/Help/html
+
+# Click-Once directory
+publish/
+
+# Publish Web Output
+*.[Pp]ublish.xml
+*.azurePubxml
+# TODO: Comment the next line if you want to checkin your web deploy settings 
+# but database connection strings (with potential passwords) will be unencrypted
+*.pubxml
+*.publishproj
+
+# NuGet Packages
+*.nupkg
+!LocalPackages/*
+# The packages folder can be ignored because of Package Restore
+**/packages/*
+# except build/, which is used as an MSBuild target.
+!**/packages/build/
+# If using the old MSBuild-Integrated Package Restore, uncomment this:
+#!**/packages/repositories.config
+# ignore sln level nuget
+.nuget/
+!.nuget/NuGet.config
+
+# Windows Azure Build Output
+csx/
+*.build.csdef
+
+# Windows Store app package directory
+AppPackages/
+
+# Others
+*.Cache
+ClientBin/
+[Ss]tyle[Cc]op.*
+~$*
+*~
+*.dbmdl
+*.dbproj.schemaview
+*.pfx
+*.publishsettings
+node_modules/
+bower_components/
+
+# RIA/Silverlight projects
+Generated_Code/
+
+# Backup & report files from converting an old project file
+# to a newer Visual Studio version. Backup files are not needed,
+# because we have git ;-)
+_UpgradeReport_Files/
+Backup*/
+UpgradeLog*.XML
+UpgradeLog*.htm
+
+# SQL Server files
+*.mdf
+*.ldf
+
+# Business Intelligence projects
+*.rdl.data
+*.bim.layout
+*.bim_*.settings
+
+# Microsoft Fakes
+FakesAssemblies/
+
+# Test Runner
+testrunner/
+
+# Meld original diff files
+*.orig
+
+# Output chart data
+Charts/
+
+# NCrunch files
+*.ncrunchsolution
+*.ncrunchproject
+
+# QuantConnect plugin files
+QuantConnectProjects.xml
+Launcher/Plugins/*
+/ApiPython/dist
+/ApiPython/quantconnect.egg-info
+/ApiPython/quantconnect.egg-info/*
+
+QuantConnect.Lean.sln.DotSettings*
+
+#User notebook files
+Research/Notebooks
+
+#Docker result files
+Results/

DataProcessing/CLRImports.py

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+# This file is used to import the environment and classes/methods of LEAN.
+# so that any python file could be using LEAN's classes/methods.
+from clr_loader import get_coreclr
+from pythonnet import set_runtime
+
+# process.runtimeconfig.json is created when we build the DataProcessing Project:
+# dotnet build .\DataProcessing\DataProcessing.csproj
+set_runtime(get_coreclr('process.runtimeconfig.json'))
+
+from AlgorithmImports import *
+from QuantConnect.Lean.Engine.DataFeeds import *
+AddReference("Fasterflect")

DataProcessing/DataProcessing.csproj

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+<Project Sdk="Microsoft.NET.Sdk">
+    <PropertyGroup>
+        <OutputType>Exe</OutputType>
+        <TargetFramework>net6.0</TargetFramework>
+        <AssemblyName>process</AssemblyName>
+        <CopyLocalLockFileAssemblies>true</CopyLocalLockFileAssemblies>
+    </PropertyGroup>
+    <ItemGroup>
+        <PackageReference Include="QuantConnect.Lean.Engine" Version="2.5.*"/>
+        <PackageReference Include="QuantConnect.Research" Version="2.5.*"/>
+        <PackageReference Include="QuantConnect.Messaging" Version="2.5.*"/>
+        <PackageReference Include="QuantConnect.pythonnet" Version="2.0.*" />
+        <PackageReference Include="fasterflect" Version="3.0.0" />
+    </ItemGroup>
+    <ItemGroup>
+        <ProjectReference Include="..\QuantConnect.DataSource.csproj" />
+    </ItemGroup>
+    <ItemGroup>
+        <None Remove="CLRImports.py" />
+        <Content Include="CLRImports.py">
+          <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+        </Content>
+    </ItemGroup>
+    <ItemGroup>
+        <None Remove="config.json" />
+        <Content Include="config.json">
+            <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+        </Content>
+    </ItemGroup>
+</Project>