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.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Demonstration of the Option Chain Provider -- a much faster mechanism for manually specifying the option contracts you'd like to receive
+    /// data for and manually subscribing to them.
+    /// </summary>
+    /// <meta name="tag" content="strategy example" />
+    /// <meta name="tag" content="options" />
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="selecting options" />
+    /// <meta name="tag" content="manual selection" />
+    public class OptionChainProviderAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _equitySymbol;
+        private Symbol _optionContract = string.Empty;
+        private readonly HashSet<Symbol> _contractsAdded = new HashSet<Symbol>();
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(100000);
+            var equity = AddEquity("GOOG", Resolution.Minute);
+            equity.SetDataNormalizationMode(DataNormalizationMode.Raw);
+            _equitySymbol = equity.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio[_equitySymbol].Invested)
+            {
+                MarketOrder(_equitySymbol, 100);
+            }
+
+            if (!(Securities.ContainsKey(_optionContract) && Portfolio[_optionContract].Invested))
+            {
+                var contracts = OptionChainProvider.GetOptionContractList(_equitySymbol, slice.Time);
+                var underlyingPrice = Securities[_equitySymbol].Price;
+                // filter the out-of-money call options from the contract list which expire in 10 to 30 days from now on
+                var otmCalls = (from symbol in contracts
+                                where symbol.ID.OptionRight == OptionRight.Call
+                                where symbol.ID.StrikePrice - underlyingPrice > 0
+                                where ((symbol.ID.Date - slice.Time).TotalDays < 30 && (symbol.ID.Date - slice.Time).TotalDays > 10)
+                                select symbol);
+
+                if (otmCalls.Count() != 0)
+                {
+                    _optionContract = otmCalls.OrderBy(x => x.ID.Date)
+                                          .ThenBy(x => (x.ID.StrikePrice - underlyingPrice))
+                                          .FirstOrDefault();
+                    if (_contractsAdded.Add(_optionContract))
+                    {
+                        // use AddOptionContract() to subscribe the data for specified contract
+                        AddOptionContract(_optionContract, Resolution.Minute);
+                    }
+                }
+                else _optionContract = string.Empty;
+            }
+            if (Securities.ContainsKey(_optionContract) && !Portfolio[_optionContract].Invested)
+            {
+                MarketOrder(_optionContract, -1);
+            }
+        }
+
+        /// <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 => 881;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 1;
+
+        /// <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", "99890"},
+            {"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", "$2.00"},
+            {"Estimated Strategy Capacity", "$6300000.00"},
+            {"Lowest Capacity Asset", "GOOCV W723A0UBBS5I|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "76.04%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "20963045be4abe2ce837a0261329462d"}
+        };
+    }
+}