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 QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Util;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test we can get and trade option contracts for NQX index option
+    /// </summary>
+    public class IndexOptionScaledStrikeRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _nqx;
+        private HashSet<int> _orderIds = new HashSet<int>();
+        private DateTime _expiration = new DateTime(2021, 3, 19);
+        private const decimal _initialCash = 100000m;
+        private bool _orderExercisedOTM;
+        private bool _orderExercisedITM;
+
+        public override void Initialize()
+        {
+            SetStartDate(2021, 3, 18);
+            SetEndDate(2021, 3, 23);
+            SetCash(_initialCash);
+            UniverseSettings.Resolution = Resolution.Hour;
+
+            var index = AddIndex("NDX", Resolution.Hour).Symbol;
+            var option = AddIndexOption(index, "NQX", Resolution.Hour);
+            option.SetFilter(universe => universe.IncludeWeeklys().Strikes(-1, 1).Expiration(0, 5));
+
+            _nqx = option.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var weekly_chain = slice.OptionChains.get(_nqx);
+
+            if (!weekly_chain.IsNullOrEmpty() && !Portfolio.Invested)
+            {
+                foreach (var contract in weekly_chain.Where(x => x.Symbol.ID.Date == _expiration))
+                {
+                    var ticket = MarketOrder(contract.Symbol, 1);
+                    _orderIds.Add(ticket.OrderId);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (_orderIds.Contains(orderEvent.Id) && orderEvent.Status == OrderStatus.Filled)
+            {
+                if (orderEvent.Message.Contains("OTM", StringComparison.InvariantCulture))
+                {
+                    _orderExercisedOTM = true;
+                }
+                else
+                {
+                    _orderExercisedITM = true;
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_orderExercisedOTM)
+            {
+                throw new RegressionTestException($"At least one order should have been exercised OTM");
+            }
+
+            if (!_orderExercisedITM)
+            {
+                throw new RegressionTestException($"At least one order should have been exercised ITM");
+            }
+
+            if (Portfolio.TotalPortfolioValue <= _initialCash)
+            {
+                throw new RegressionTestException($"Since one order was expected to be exercised ITM, Total Portfolio Value was expected to be higher than {_initialCash}, but was {Portfolio.TotalPortfolioValue}");
+            }
+        }
+
+        /// <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 virtual List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 106;
+
+        /// <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", "4"},
+            {"Average Win", "174.10%"},
+            {"Average Loss", "-0.03%"},
+            {"Compounding Annual Return", "79228162514264337593543950335%"},
+            {"Drawdown", "2.100%"},
+            {"Expectancy", "2901.176"},
+            {"Start Equity", "100000"},
+            {"End Equity", "274018.3"},
+            {"Net Profit", "174.018%"},
+            {"Sharpe Ratio", "6.74816637965336E+27"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "95.427%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "5803.35"},
+            {"Alpha", "7.922816251426434E+28"},
+            {"Beta", "4.566"},
+            {"Annual Standard Deviation", "11.741"},
+            {"Annual Variance", "137.844"},
+            {"Information Ratio", "6.749778840887739E+27"},
+            {"Tracking Error", "11.738"},
+            {"Treynor Ratio", "1.7351225556608623E+28"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$7000.00"},
+            {"Lowest Capacity Asset", "NQX 31M220FF67A3Y|NDX 31"},
+            {"Portfolio Turnover", "6.40%"},
+            {"Drawdown Recovery", "1"},
+            {"OrderListHash", "bbdd7eb2f738326a6184bc71d435c6cb"}
+        };
+    }
+}