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.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to add options for a given underlying equity security.
+    /// It also shows how you can prefilter contracts easily based on strikes and expirations.
+    /// It also shows how you can inspect the option chain to pick a specific option contract to trade.
+    /// </summary>
+    public class BasicTemplateOptionTradesAlgorithm : QCAlgorithm
+    {
+        private Symbol _optionSymbol;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(10000);
+
+            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 yields the same filtering criteria
+            option.SetFilter(-2, +2, 0, 10);
+            // option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(10));
+
+            // use the underlying equity as the benchmark
+            SetBenchmark("GOOG");
+        }
+
+        /// <summary>
+        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    // find the second call strike under market price expiring today
+                    var contract = chain
+                        .OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
+                        .ThenByDescending(x => x.Expiry)
+                        .FirstOrDefault();
+
+                    if (contract != null)
+                    {
+                        MarketOrder(contract.Symbol, 1);
+                    }
+                }
+            }
+            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());
+        }
+    }
+}