Refactor liquidation logic (#8544)

* Create regression tests and refactor liquidation logic

- Implemented regression tests for order creation and liquidation
  scenarios
- Removed LiquidateExistingHoldings method
- Replaced LiquidateExistingHoldings with the general Liquidate method

* Addressed review comments

* Addressed new comments review

* Update default value for 'tag'

* Update ExpectedStatistics

* Identify and liquidate portfolio symbols not included in targets

* Create a new regression test

* Fix minor comments

* Move regression tests to the correct folder

Algorithm.CSharp/LiquidateAllExceptSpecifiedSymbolRegressionAlgorithm.cs

@@ -0,0 +1,107 @@
+/*
+ * 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 System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp.RegressionTests
+{
+    /// <summary>
+    /// Tests liquidating all portfolio holdings except a specific symbol, verifying canceled orders and correct tags.
+    /// </summary>
+    public class LiquidateAllExceptSpecifiedSymbolRegressionAlgorithm : LiquidateRegressionAlgorithm
+    {
+        public override void Rebalance()
+        {
+            // Place a MarketOrder
+            MarketOrder(Ibm, 10);
+
+            // Place a LimitOrder to sell 1 share at a price below the current market price
+            LimitOrder(Ibm, 1, Securities[Ibm].Price - 5);
+
+            // Liquidate the remaining symbols in the portfolio, except for SPY
+            var orderProperties = new OrderProperties { TimeInForce = TimeInForce.GoodTilCanceled };
+            SetHoldings(Spy, 1, true, "LiquidatedTest", orderProperties);
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // Retrieve all orders from the Transactions for analysis
+            var orders = Transactions.GetOrders().ToList();
+
+            // Count orders that were canceled
+            var canceledOrdersCount = orders.Where(order => order.Status == OrderStatus.Canceled).Count();
+
+            // Expectation 1: There should be exactly 4 canceled orders.
+            // This occurs because Rebalance is called twice, and each call to Rebalance
+            // (e.g., LimitOrder or MarketOrder) that get canceled due to the Liquidate call in SetHoldings.
+            if (canceledOrdersCount != 4)
+            {
+                throw new RegressionTestException($"Expected 4 canceled orders, but found {canceledOrdersCount}.");
+            }
+
+            // Count orders that were not canceled
+            var nonCanceledOrdersCount = orders.Where(order => order.Status != OrderStatus.Canceled).Count();
+
+            // Expectation 2: There should be exactly 1 non-canceled order after the Liquidate call.
+            // This occurs because all holdings except SPY are liquidated, and a new order is placed for SPY.
+            if (nonCanceledOrdersCount != 1)
+            {
+                throw new RegressionTestException($"Expected 1 non-canceled order, but found {nonCanceledOrdersCount}.");
+            }
+
+            // Verify all tags are "LiquidatedTest"
+            var invalidTags = orders.Where(order => order.Tag != "LiquidatedTest").ToList();
+            if (invalidTags.Count != 0)
+            {
+                var invalidTagsDetails = string.Join(", ", invalidTags.Select(order => $"OrderID {order.Id}, Tag: {order.Tag}"));
+                throw new RegressionTestException($"All orders should have the tag 'LiquidatedTest', but found invalid tags: {invalidTagsDetails}.");
+            }
+        }
+
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "5"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "36.497%"},
+            {"Drawdown", "0.200%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100569.90"},
+            {"Net Profit", "0.570%"},
+            {"Sharpe Ratio", "9.031"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "86.638%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.003"},
+            {"Beta", "0.559"},
+            {"Annual Standard Deviation", "0.028"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-8.867"},
+            {"Tracking Error", "0.023"},
+            {"Treynor Ratio", "0.447"},
+            {"Total Fees", "$1.95"},
+            {"Estimated Strategy Capacity", "$850000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "14.23%"},
+            {"OrderListHash", "611f320cf76c36e8cdcb1938e4154682"}
+        };
+    }
+}

Algorithm.CSharp/LiquidateRegressionAlgorithm.cs

@@ -0,0 +1,144 @@
+/*
+ * 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 System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// A regression test algorithm that places market and limit orders, then liquidates all holdings,
+    /// ensuring orders are canceled and the portfolio is empty.
+    /// </summary>
+    public class LiquidateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected Symbol Spy { get; private set; }
+        protected Symbol Ibm { get; private set; }
+        public override void Initialize()
+        {
+            SetStartDate(2018, 1, 4);
+            SetEndDate(2018, 1, 10);
+            Spy = AddEquity("SPY", Resolution.Daily).Symbol;
+            Ibm = AddEquity("IBM", Resolution.Daily).Symbol;
+
+            // Schedule Rebalance method to be called on specific dates
+            Schedule.On(DateRules.On(2018, 1, 5), TimeRules.Midnight, Rebalance);
+            Schedule.On(DateRules.On(2018, 1, 8), TimeRules.Midnight, Rebalance);
+        }
+
+        public virtual void Rebalance()
+        {
+            // Place a MarketOrder
+            MarketOrder(Ibm, 10);
+
+            // Place a LimitOrder to sell 1 share at a price below the current market price
+            LimitOrder(Ibm, 1, Securities[Ibm].Price - 5);
+
+            LimitOrder(Spy, 1, Securities[Spy].Price - 5);
+
+            // Liquidate all remaining holdings immediately
+            PerformLiquidation();
+        }
+
+        public virtual void PerformLiquidation()
+        {
+            Liquidate();
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // Check if there are any orders that should have been canceled
+            var orders = Transactions.GetOrders().ToList();
+            var nonCanceledOrdersCount = orders.Where(e => e.Status != OrderStatus.Canceled).Count();
+            if (nonCanceledOrdersCount > 0)
+            {
+                throw new RegressionTestException($"There are {nonCanceledOrdersCount} orders that should have been cancelled");
+            }
+
+            // Check if there are any holdings left in the portfolio
+            foreach (var kvp in Portfolio)
+            {
+                var symbol = kvp.Key;
+                var holdings = kvp.Value;
+                if (holdings.Quantity != 0)
+                {
+                    throw new RegressionTestException($"There are {holdings.Quantity} holdings of {symbol} in the portfolio");
+                }
+            }
+        }
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 53;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "6"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-10.398"},
+            {"Tracking Error", "0.045"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "9423c872a626fb856b7c377686c28d85"}
+        };
+    }
+}

Algorithm.CSharp/LiquidateUsingSetHoldingsRegressionAlgorithm.cs

@@ -0,0 +1,76 @@
+/*
+ * 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.Collections.Generic;
+using System.Linq;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp.RegressionTests
+{
+    /// <summary>
+    /// A regression test algorithm that uses SetHoldings to liquidate the portfolio by setting holdings to zero.
+    /// </summary>
+    public class LiquidateUsingSetHoldingsRegressionAlgorithm : LiquidateRegressionAlgorithm
+    {
+        public override void PerformLiquidation()
+        {
+            var properties = new OrderProperties { TimeInForce = TimeInForce.GoodTilCanceled };
+            SetHoldings(new List<PortfolioTarget>(), true, "LiquidatedTest", properties);
+            var orders = Transactions.GetOrders().ToList();
+            var orderTags = orders.Where(e => e.Tag == "LiquidatedTest").ToList();
+            if (orderTags.Count != orders.Count)
+            {
+                throw new RegressionTestException("The tag was not set on all orders");
+            }
+            var orderProperties = orders.Where(e => e.Properties.TimeInForce == TimeInForce.GoodTilCanceled).ToList();
+            if (orderProperties.Count != orders.Count)
+            {
+                throw new RegressionTestException("The properties were not set on all orders");
+            }
+        }
+
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "6"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-10.398"},
+            {"Tracking Error", "0.045"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "2cdbee112f22755f26f640c97c305aae"}
+        };
+    }
+}