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.Linq;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class IndexOptionBullCallSpreadAlgorithm : QCAlgorithm
+    {
+        private Symbol _spxw, _spy;
+        private IEnumerable<OrderTicket> _tickets = Enumerable.Empty<OrderTicket>();
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 1, 1);
+            SetEndDate(2021, 1, 1);
+            SetCash(100000);
+
+            _spy = AddEquity("SPY", Resolution.Minute).Symbol;
+
+            var index = AddIndex("SPX", Resolution.Minute).Symbol;
+            var option = AddIndexOption(index, "SPXW", Resolution.Minute);
+            option.SetFilter((x) => x.WeeklysOnly().Strikes(-5, 5).Expiration(40, 60));
+            _spxw = option.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio[_spy].Invested)
+            {
+                MarketOrder(_spy, 100);
+            }
+        
+            // Return if hedge position presents
+            if (_tickets.Any(x => Portfolio[x.Symbol].Invested)) return;
+
+            // Get the OptionChain
+            if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;
+
+            // Get the nearest expiry date of the contracts
+            var expiry = chain.Min(x => x.Expiry);
+            
+            // Select the call Option contracts with the nearest expiry and sort by strike price
+            var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call)
+                            .OrderBy(x => x.Strike).ToArray();
+            if (calls.Length < 2) return;
+
+            // Buy the bull call spread
+            var bullCallSpread = OptionStrategies.BullCallSpread(_spxw, calls[0].Strike, calls[^1].Strike, expiry);
+            _tickets = Buy(bullCallSpread, 1);
+        }
+    }
+}