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;
+using System.Linq;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class IndexOptionPutCalendarSpreadAlgorithm : QCAlgorithm
+    {
+        private Symbol _vixw, _vxz;
+        private IEnumerable<OrderTicket> _tickets = Enumerable.Empty<OrderTicket>();
+        private DateTime _firstExpiry = DateTime.MaxValue;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 1, 1);
+            SetEndDate(2023, 1, 1);
+            SetCash(50000);
+
+            _vxz = AddEquity("VXZ", Resolution.Minute).Symbol;
+
+            var index = AddIndex("VIX", Resolution.Minute).Symbol;
+            var option = AddIndexOption(index, "VIXW", Resolution.Minute);
+            option.SetFilter((x) => x.Strikes(-2, 2).Expiration(15, 45));
+            _vixw = option.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio[_vxz].Invested)
+            {
+                MarketOrder(_vxz, 100);
+            }
+            
+            var indexOptionsInvested = _tickets.Where(x => Portfolio[x.Symbol].Invested).ToList();
+            // Liquidate if the shorter term option is about to expire
+            if (_firstExpiry < Time.AddDays(2) && _tickets.All(x => slice.ContainsKey(x.Symbol)))
+            {
+                foreach (var holding in indexOptionsInvested)
+                {
+                    Liquidate(holding.Symbol);
+                }
+            }
+            // Return if there is any opening index option position
+            else if (indexOptionsInvested.Count > 0)
+            {
+                return;
+            }
+
+            // Get the OptionChain
+            if (!slice.OptionChains.TryGetValue(_vixw, out var chain)) return;
+
+            // Get ATM strike price
+            var strike = chain.MinBy(x => Math.Abs(x.Strike - chain.Underlying.Value)).Strike;
+            
+            // Select the ATM put Option contracts and sort by expiration date
+            var puts = chain.Where(x => x.Strike == strike && x.Right == OptionRight.Put)
+                            .OrderBy(x => x.Expiry).ToArray();
+            if (puts.Length < 2) return;
+            _firstExpiry = puts[0].Expiry;
+
+            // Sell the put calendar spread
+            var putCalendarSpread = OptionStrategies.PutCalendarSpread(_vixw, strike, _firstExpiry, puts[^1].Expiry);
+            _tickets = Sell(putCalendarSpread, 1, asynchronous: true);
+        }
+    }
+}