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 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>
+    /// Regression algorithm asserting that naked short option strategies with margin requirements that cannot be met result in invalid orders.
+    /// Also, for valid naked short positions, the algorithm asserts that part of the position can be liquidated.
+    /// </summary>
+    public class NakedShortOptionStrategyOverMarginAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private const int _quantityOverMargin = 50;
+        private const int _quantity = 5;
+        private const int _quantityToLiquidate = 2;
+
+        private Symbol _optionSymbol;
+
+        private OptionStrategy _optionStrategy;
+
+        private bool _done;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(1000000);
+
+            var option = AddOption("GOOG");
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
+
+            SetBenchmark("GOOG");
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (_done)
+            {
+                return;
+            }
+
+            if (!Portfolio.Invested)
+            {
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
+                {
+                    var atmStraddle = chain
+                        .OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
+                        .ThenByDescending(x => x.Expiry)
+                        .FirstOrDefault();
+
+                    if (atmStraddle != null)
+                    {
+                        _optionStrategy = OptionStrategies.Straddle(_optionSymbol, atmStraddle.Strike, atmStraddle.Expiry);
+
+                        // This is invalid, margin is not enough
+                        Sell(_optionStrategy, _quantityOverMargin);
+
+                        // Margin is enough for this one
+                        Sell(_optionStrategy, _quantity);
+                    }
+                }
+            }
+            else
+            {
+                Buy(_optionStrategy, _quantityToLiquidate);
+                _done = true;
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(orderEvent.ToString());
+
+            if (orderEvent.Quantity == _quantityOverMargin && orderEvent.Status != OrderStatus.Invalid)
+            {
+                throw new RegressionTestException($"Orders with quantity {_quantityOverMargin} should be invalid");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // Make sure only 4 orders where placed, 2 for the strategy and 2 for the liquidation.
+            // The first combo order should have been invalid.
+            var filledOrdersCount = Transactions.GetOrders(o => o.Status.IsFill()).Count();
+            var expectedFilledOrdersCount = 2 * _optionStrategy.OptionLegs.Count;
+            if (filledOrdersCount != expectedFilledOrdersCount)
+            {
+                throw new RegressionTestException($"Expected {expectedFilledOrdersCount} filled orders, found {filledOrdersCount}");
+            }
+
+            var expectedQuantity = Math.Abs(_quantity - _quantityToLiquidate);
+            var positionGroup = Portfolio.Positions.Groups.Single();
+            if (positionGroup.Quantity != expectedQuantity)
+            {
+                throw new RegressionTestException($"Expected position quantity to be {expectedQuantity} but was {positionGroup.Quantity}");
+            }
+        }
+
+        /// <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 => 15012;
+
+        /// <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", "6"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "998775.9"},
+            {"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", "$9.10"},
+            {"Estimated Strategy Capacity", "$2600000.00"},
+            {"Lowest Capacity Asset", "GOOCV 30AKMEIPOX2DI|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "7.50%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "67fba235c5efade156e60ed66e4b8031"}
+        };
+    }
+}