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;
+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>
+    /// Regression algorithm asserting that European options cannot be exercised before expiry
+    /// </summary>
+    public class EuropeanOptionsCannotBeExercisedBeforeExpiryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Option _option;
+
+        private OptionContract _contract;
+
+        private bool _marketOrderDone;
+
+        private bool _exerciseBeforeExpiryDone;
+
+        private bool _exerciseOnExpiryDone;
+
+        public override void Initialize()
+        {
+            SetStartDate(2021, 1, 4);
+            SetEndDate(2021, 2, 1);
+            SetCash(200000);
+
+            var index = AddIndex("SPX", Resolution.Hour, fillForward: true);
+            var indexOption = AddIndexOption(index.Symbol, Resolution.Hour, fillForward: true);
+            indexOption.SetFilter(filterFunc => filterFunc);
+
+            _option = indexOption;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if ((_exerciseBeforeExpiryDone && _exerciseOnExpiryDone) || !_option.Exchange.ExchangeOpen)
+            {
+                return;
+            }
+
+            if (_contract == null)
+            {
+                OptionChain contracts;
+                if (!slice.OptionChains.TryGetValue(_option.Symbol, out contracts) || !contracts.Any())
+                {
+                    return;
+                }
+
+                _contract = contracts.First();
+            }
+
+            var expiry = _contract.Expiry.ConvertToUtc(_option.Exchange.TimeZone).Date;
+
+            if (!_exerciseBeforeExpiryDone && UtcTime.Date < expiry)
+            {
+                if (!_marketOrderDone)
+                {
+                    if (MarketOrder(_contract.Symbol, 1).Status != OrderStatus.Filled)
+                    {
+                        throw new RegressionTestException("Expected market order to fill immediately");
+                    }
+
+                    _marketOrderDone = true;
+                }
+
+                if (ExerciseOption(_contract.Symbol, 1).Status == OrderStatus.Filled)
+                {
+                    throw new RegressionTestException($"Expected European option to not be exercisable before its expiration date. " +
+                                        $"Time: {UtcTime}. Expiry: {_contract.Expiry.ConvertToUtc(_option.Exchange.TimeZone)}");
+                }
+
+                _exerciseBeforeExpiryDone = true;
+
+                return;
+            }
+
+            if (!_exerciseOnExpiryDone && UtcTime.Date == expiry)
+            {
+                if (ExerciseOption(_contract.Symbol, 1).Status != OrderStatus.Filled)
+                {
+                    throw new RegressionTestException($"Expected European option to be exercisable on its expiration date. " +
+                                        $"Time: {UtcTime}. Expiry: {_contract.Expiry.ConvertToUtc(_option.Exchange.TimeZone)}");
+                }
+
+                _exerciseOnExpiryDone = true;
+
+                // We already tested everything, so we can stop the algorithm
+                Quit();
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_exerciseBeforeExpiryDone || !_exerciseOnExpiryDone)
+            {
+                throw new RegressionTestException("Expected to try to exercise option before and on expiry");
+            }
+
+            var optionHoldings = Securities[_contract.Symbol].Holdings;
+            if (optionHoldings.NetProfit != Portfolio.TotalNetProfit)
+            {
+                throw new RegressionTestException($"Unexpected holdings profit result {optionHoldings.Profit}");
+            }
+            if (Portfolio.Cash != (Portfolio.TotalNetProfit + 200000))
+            {
+                throw new RegressionTestException($"Unexpected portfolio cash {Portfolio.Cash}");
+            }
+        }
+
+        /// <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 time slices of algorithm
+        /// </summary>
+        public long DataPoints => 1461;
+
+        /// <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", "2"},
+            {"Average Win", "2.19%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "100.016%"},
+            {"Drawdown", "3.600%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "204384"},
+            {"Net Profit", "2.192%"},
+            {"Sharpe Ratio", "9.169"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "92.822%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "3.002"},
+            {"Beta", "-0.818"},
+            {"Annual Standard Deviation", "0.268"},
+            {"Annual Variance", "0.072"},
+            {"Information Ratio", "5.749"},
+            {"Tracking Error", "0.31"},
+            {"Treynor Ratio", "-2.999"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$420000.00"},
+            {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
+            {"Portfolio Turnover", "2.37%"},
+            {"Drawdown Recovery", "10"},
+            {"OrderListHash", "0d2ccc2fdfa2b81bf71361c8248c4a59"}
+        };
+    }
+}