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 QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Risk;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Data;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Expiry Helper algorithm uses <see cref="Expiry"/> helper class in an Alpha Model
+    /// </summary>
+    public class ExpiryHelperAlphaModelFrameworkAlgorithm : QCAlgorithm
+    {
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            // Set requested data resolution
+            UniverseSettings.Resolution = Resolution.Hour;
+
+            SetStartDate(2013, 10, 07);  //Set Start Date
+            SetEndDate(2014, 1, 1);      //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+
+            // set algorithm framework models
+            SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
+            SetAlpha(new ExpiryHelperAlphaModel());
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+            SetExecution(new ImmediateExecutionModel());
+            SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.01m));
+
+            InsightsGenerated += (s, e) =>
+            {
+                foreach (var insight in e.Insights)
+                {
+                    Log($"{e.DateTimeUtc.DayOfWeek}: Close Time {insight.CloseTimeUtc} {insight.CloseTimeUtc.DayOfWeek}");
+                }
+            };
+        }
+
+        /// <summary>
+        /// <see cref="ExpiryHelperAlphaModel"/> shows how we can use the <see cref="Expiry"/> helper class
+        /// to set an insight with a calendar expiry.
+        /// </summary>
+        private class ExpiryHelperAlphaModel : AlphaModel
+        {
+            private const InsightDirection _direction = InsightDirection.Up;
+            private DateTime _nextUpdate = DateTime.MinValue;
+
+            public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
+            {
+                if (_nextUpdate > algorithm.Time)
+                {
+                    yield break;
+                }
+
+                var expiry = Expiry.EndOfDay;
+
+                // Use the Expiry helper to calculate a date/time in the future
+                _nextUpdate = expiry(algorithm.Time);
+
+                foreach (var symbol in data.Bars.Keys)
+                {
+                    switch (algorithm.Time.DayOfWeek)
+                    {
+                        // Expected CloseTime: next month on the same day and time
+                        case DayOfWeek.Monday:
+                            yield return Insight.Price(symbol, Expiry.OneMonth, _direction);
+                            break;
+                        // Expected CloseTime: next month on the 1st at market open time
+                        case DayOfWeek.Tuesday:
+                            yield return Insight.Price(symbol, Expiry.EndOfMonth, _direction);
+                            break;
+                        // Expected CloseTime: next Monday at market open time
+                        case DayOfWeek.Wednesday:
+                            yield return Insight.Price(symbol, Expiry.EndOfWeek, _direction);
+                            break;
+                        // Expected CloseTime: next day (Friday) at market open time
+                        case DayOfWeek.Thursday:
+                            yield return Insight.Price(symbol, Expiry.EndOfDay, _direction);
+                            break;
+                        default:
+                            yield break;
+                    }
+                }
+            }
+        }
+    }
+}