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;
+using QuantConnect.Securities.Positions;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Shows how setting to use the SecurityMarginModel.Null (or BuyingPowerModel.Null)
+    /// to disable the sufficient margin call verification.
+    /// See also: <see cref="OptionEquityBullCallSpreadRegressionAlgorithm"/>
+    /// </summary>
+    /// <meta name="tag" content="reality model" />
+    public class NullBuyingPowerOptionBullCallSpreadAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionSymbol;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(200000);
+
+            SetSecurityInitializer(security => security.MarginModel = SecurityMarginModel.Null);
+            Portfolio.SetPositions(SecurityPositionGroupModel.Null);
+
+            var equity = AddEquity("GOOG");
+            var option = AddOption(equity.Symbol);
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested && IsMarketOpen(_optionSymbol) &&
+                slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
+            {
+                var callContracts = chain
+                    .Where(contract => contract.Right == OptionRight.Call).ToList();
+
+                var expiry = callContracts.Min(x => x.Expiry);
+
+                callContracts = callContracts
+                    .Where(x => x.Expiry == expiry)
+                    .OrderBy(x => x.Strike)
+                    .ToList();
+
+                var longCall = callContracts.First();
+                var shortCall = callContracts.First(contract => contract.Strike > longCall.Strike);
+
+                const int quantity = 1000;
+
+                var tickets = new[]
+                {
+                    MarketOrder(shortCall.Symbol, -quantity),
+                    MarketOrder(longCall.Symbol, quantity)
+                };
+
+                foreach (var ticket in tickets)
+                {
+                    if (ticket.Status != OrderStatus.Filled)
+                    {
+                        throw new RegressionTestException($"There should be no restriction on buying {ticket.Quantity} of {ticket.Symbol} with BuyingPowerModel.Null");
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Portfolio.TotalMarginUsed != 0)
+            {
+                throw new RegressionTestException("The TotalMarginUsed should be zero to avoid margin calls.");
+            }
+        }
+
+        /// <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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 15023;
+
+        /// <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()
+        {
+            {"Total Orders", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "108700"},
+            {"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", "$1300.00"},
+            {"Estimated Strategy Capacity", "$36000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "2888.68%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "8a2ee1e491737ecabd775ad5afbe2e4b"}
+        };
+    }
+}