chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm demonstrate how to use Option Strategies (e.g. OptionStrategies.Straddle) helper classes to batch send orders for common strategies.
+    /// It also shows how you can prefilter contracts easily based on strikes and expirations, and how you can inspect the
+    /// option chain to pick a specific option contract to trade.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="options" />
+    /// <meta name="tag" content="option strategies" />
+    /// <meta name="tag" content="filter selection" />
+    public class BasicTemplateOptionStrategyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionSymbol;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(1000000);
+
+            var option = AddOption("GOOG");
+            _optionSymbol = option.Symbol;
+
+            // set our strike/expiry filter for this option chain
+            // SetFilter method accepts TimeSpan objects or integer for days.
+            // The following statements yield the same filtering criteria
+            option.SetFilter(u => u.StandardsOnly()
+                                   .Strikes(-2, +2)
+                                   .Expiration(0, 180));
+
+            // Adding this to reproduce GH issue #2314
+            SetWarmup(TimeSpan.FromMinutes(1));
+
+            // use the underlying equity as the benchmark
+            SetBenchmark("GOOG");
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var atmStraddle = chain
+                        .OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
+                        .ThenByDescending(x => x.Expiry)
+                        .FirstOrDefault();
+
+                    if (atmStraddle != null)
+                    {
+                        Sell(OptionStrategies.Straddle(_optionSymbol, atmStraddle.Strike, atmStraddle.Expiry), 2);
+                    }
+                }
+            }
+            else
+            {
+                Liquidate();
+            }
+
+            foreach (var kpv in slice.Bars)
+            {
+                Log($"---> OnData: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.00}");
+            }
+        }
+
+        /// <summary>
+        /// Order fill event handler. On an order fill update the resulting information is passed to this method.
+        /// </summary>
+        /// <param name="orderEvent">Order event details containing details of the events</param>
+        /// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log(orderEvent.ToString());
+        }
+
+        /// <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 => 15130;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "420"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "952636.6"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$543.40"},
+            {"Estimated Strategy Capacity", "$4000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZFMEBFLDY|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "338.60%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "8229716b93428dc885cf856b4cc9fc35"}
+        };
+    }
+}