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.UniverseSelection;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Example demonstrating how to access to options history for a given underlying equity security.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="options" />
+    /// <meta name="tag" content="filter selection" />
+    /// <meta name="tag" content="history" />
+    public class BasicTemplateOptionsHistoryAlgorithm : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            // this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(1000000);
+
+            var option = AddOption("GOOG");
+            // add the initial contract filter
+            // SetFilter method accepts TimeSpan objects or integer for days.
+            // The following statements yield the same filtering criteria
+            option.SetFilter(-2, +2, 0, 180);
+            // option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
+
+            // set the pricing model for Greeks and volatility
+            // find more pricing models https://www.quantconnect.com/lean/documentation/topic27704.html
+            option.PriceModel = OptionPriceModels.BlackScholes();
+            // set the warm-up period for the pricing model
+            SetWarmup(TimeSpan.FromDays(4));
+            // set the benchmark to be the initial cash
+            SetBenchmark(d => 1000000);
+        }
+
+        /// <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 (IsWarmingUp) return;
+            if (!Portfolio.Invested)
+            {
+                foreach (var chain in slice.OptionChains)
+                {
+                    var underlying = Securities[chain.Key.Underlying];
+                    foreach (var contract in chain.Value)
+                    {
+                        Log($"{contract.Symbol.Value}," +
+                            $"Bid={contract.BidPrice.ToStringInvariant()} " +
+                            $"Ask={contract.AskPrice.ToStringInvariant()} " +
+                            $"Last={contract.LastPrice.ToStringInvariant()} " +
+                            $"OI={contract.OpenInterest.ToStringInvariant()} " +
+                            $"σ={underlying.VolatilityModel.Volatility.ToStringInvariant("0.000")} " +
+                            $"NPV={contract.TheoreticalPrice.ToStringInvariant("0.000")} " +
+                            $"Δ={contract.Greeks.Delta.ToStringInvariant("0.000")} " +
+                            $"Γ={contract.Greeks.Gamma.ToStringInvariant("0.000")} " +
+                            $"ν={contract.Greeks.Vega.ToStringInvariant("0.000")} " +
+                            $"ρ={contract.Greeks.Rho.ToStringInvariant("0.00")} " +
+                            $"Θ={(contract.Greeks.Theta / 365.0m).ToStringInvariant("0.00")} " +
+                            $"IV={contract.ImpliedVolatility.ToStringInvariant("0.000")}"
+                        );
+                    }
+                }
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach (var change in changes.AddedSecurities)
+            {
+                // Only print options price
+                if (change.Symbol.Value == "GOOG") continue;
+                var history = History(change.Symbol, 10, Resolution.Minute);
+
+                foreach (var data in history.OrderByDescending(x => x.Time).Take(3))
+                {
+                    Log($"History: {data.Symbol.Value}: {data.Time} > {data.Close}");
+                }
+            }
+        }
+    }
+}