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.Indicators;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class IndexOptionIronCondorAlgorithm : QCAlgorithm
+    {
+        private Symbol _spxw;
+        private BollingerBands _bb;
+
+        public override void Initialize()
+        {
+            SetStartDate(2019, 9, 1);
+            SetEndDate(2019, 11, 1);
+            SetCash(100000);
+
+            var index = AddIndex("SPX", Resolution.Minute).Symbol;
+            var option = AddIndexOption(index, "SPXW", Resolution.Minute);
+            option.SetFilter((x) => x.WeeklysOnly().Strikes(-5, 5).Expiration(0, 14));
+            _spxw = option.Symbol;
+
+            _bb = BB(index, 10, 2, resolution: Resolution.Daily);
+            WarmUpIndicator(index, _bb);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Portfolio.Invested) return;
+
+            // Get the OptionChain
+            if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;
+
+            // Get the closest expiry date
+            var expiry = chain.Min(x => x.Expiry);
+            var contracts = chain.Where(x => x.Expiry == expiry).ToList();
+
+            // Separate the call and put contracts and sort by Strike to find OTM contracts
+            var calls = contracts.Where(x => x.Right == OptionRight.Call)
+                .OrderByDescending(x => x.Strike).ToArray();
+            var puts = contracts.Where(x => x.Right == OptionRight.Put)
+                .OrderBy(x => x.Strike).ToArray();
+
+            if (calls.Length < 3 || puts.Length < 3) return;
+
+            // Create combo order legs
+            var price = _bb.Price.Current.Value;
+            var quantity = 1;
+            if (price > _bb.UpperBand.Current.Value || price < _bb.LowerBand.Current.Value)
+            {
+                quantity = -1;
+            }
+            
+            var legs = new List<Leg>
+            {
+                Leg.Create(calls[0].Symbol, quantity),
+                Leg.Create(puts[0].Symbol, quantity),
+                Leg.Create(calls[2].Symbol, -quantity),
+                Leg.Create(puts[2].Symbol, -quantity),
+            };
+            ComboMarketOrder(legs, 10, asynchronous: true);
+        }
+    }
+}