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.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm asserting that orders for option strategies can be placed with large quantities as long as there is margin available.
+    /// This asserts the expected behavior in GH issue #5693
+    /// </summary>
+    public class LargeQuantityOptionStrategyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionSymbol;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(100000);
+
+            SetSecurityInitializer(x => x.SetMarketPrice(GetLastKnownPrice(x)));
+
+            var equity = AddEquity("GOOG");
+            var option = AddOption("GOOG");
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Portfolio.Invested || !slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
+            {
+                return;
+            }
+
+            var putContractsWithLatestExpiry = chain
+                    // puts only
+                    .Where(x => x.Right == OptionRight.Put)
+                    // contracts with latest expiry
+                    .GroupBy(x => x.Expiry)
+                    .OrderBy(x => x.Key)
+                    .Last()
+                    // ordered by strike
+                    .OrderBy(x => x.Strike)
+                    .ToList();
+
+            if (putContractsWithLatestExpiry.Count < 2)
+            {
+                return;
+            }
+
+            var longContract = putContractsWithLatestExpiry[0];
+            var shortContract = putContractsWithLatestExpiry[1];
+
+            var strategy = OptionStrategies.BearPutSpread(_optionSymbol, shortContract.Strike, longContract.Strike, shortContract.Expiry);
+
+            // Before option strategies orders were place as combo orders, only a quantity up to 18 could be used in this case,
+            // even though the remaining margin was enough to support a larger quantity. See GH issue #5693.
+            // We want to assert that with combo orders, large quantities can be used on option strategies
+            Order(strategy, 19);
+
+            Quit($"Margin used: {Portfolio.TotalMarginUsed}; Remaining: {Portfolio.MarginRemaining}");
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            var filledOrders = Transactions.GetOrders(x => x.Status == OrderStatus.Filled).ToList();
+
+            if (filledOrders.Count != 2)
+            {
+                throw new RegressionTestException($"Expected 2 filled orders but found {filledOrders.Count}");
+            }
+        }
+
+        /// <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 List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 2262;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 175;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "95130.3"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$24.70"},
+            {"Estimated Strategy Capacity", "$6000.00"},
+            {"Lowest Capacity Asset", "GOOCV 30AKMELSHV6AU|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "208.51%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "574530af8e007d4b770b3782bbe31b1b"}
+        };
+    }
+}