chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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.Collections.Generic;
+using QuantConnect.Securities.Option;
+using QuantConnect.Orders.OptionExercise;
+using QuantConnect.Orders;
+using QuantConnect.Orders.Fees;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting we can specify a custom option exercise model
+    /// </summary>
+    public class CustomOptionExerciseModelRegressionAlgorithm : OptionAssignmentRegressionAlgorithm
+    {
+        public override void Initialize()
+        {
+            SetSecurityInitializer((security) =>
+            {
+                var option = security as Option;
+                option?.SetOptionExerciseModel(new CustomOptionExerciseModel());
+            });
+
+            base.Initialize();
+        }
+
+        private class CustomOptionExerciseModel : DefaultExerciseModel
+        {
+            public override IEnumerable<OrderEvent> OptionExercise(Option option, OptionExerciseOrder order)
+            {
+                yield return new OrderEvent(order.Id,
+                    option.Symbol,
+                    option.LocalTime.ConvertToUtc(option.Exchange.TimeZone),
+                    OrderStatus.Filled,
+                    Extensions.GetOrderDirection(order.Quantity),
+                    0.0m,
+                    order.Quantity,
+                    OrderFee.Zero,
+                    "Tag")
+                {
+                    IsAssignment = false
+                };
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "32"},
+            {"Average Win", "6.14%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "26116903817855100000000000000%"},
+            {"Drawdown", "0.500%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "257114"},
+            {"Net Profit", "157.114%"},
+            {"Sharpe Ratio", "107.743"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "95.613%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "60.088"},
+            {"Beta", "-19.374"},
+            {"Annual Standard Deviation", "0.593"},
+            {"Annual Variance", "0.351"},
+            {"Information Ratio", "106.234"},
+            {"Tracking Error", "0.603"},
+            {"Treynor Ratio", "-3.295"},
+            {"Total Fees", "$16.00"},
+            {"Estimated Strategy Capacity", "$87000.00"},
+            {"Lowest Capacity Asset", "GOOCV 305RBQ20WLZZA|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "10.93%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "19b8f2a8081c3cfa8f6bc02b5d045765"}
+        };
+    }
+}
+