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.Algorithm.Framework.Selection;
+using QuantConnect.Algorithm.Selection;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test the OptionChainedUniverseSelectionModel class
+    /// </summary>
+    public class OptionChainedUniverseSelectionModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            UniverseSettings.Resolution = Resolution.Minute;
+            SetStartDate(2014, 6, 6);
+            SetEndDate(2014, 6, 6);
+            SetCash(100000);
+
+            var universe = AddUniverse("my-minute-universe-name", time => new List<string> { "AAPL", "TWX" });
+
+            AddUniverseSelection(new OptionChainedUniverseSelectionModel(universe, u => u.StandardsOnly().Strikes(-2, +2)
+                                   // Expiration method accepts TimeSpan objects or integer for days.
+                                   // The following statements yield the same filtering criteria
+                                   .Expiration(0, 180)));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested && IsMarketOpen("AAPL") && IsMarketOpen("TWX"))
+            {
+                var values = slice.OptionChains.Where(x => (x.Key == "?AAPL" || x.Key == "?TWX")).Select(x => x.Value);
+
+                foreach (var chain in values)
+                {
+                    // we find at the money (ATM) put contract with farthest expiration
+                    var atmContract = chain
+                        .OrderByDescending(x => x.Expiry)
+                        .ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
+                        .ThenByDescending(x => x.Right)
+                        .FirstOrDefault();
+
+                    if (atmContract != null)
+                    {
+                        // if found, trade it
+                        MarketOrder(atmContract.Symbol, 1);
+                        MarketOnCloseOrder(atmContract.Symbol, -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 => 49264;
+
+        /// <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", "5"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100051"},
+            {"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", "$4.00"},
+            {"Estimated Strategy Capacity", "$110000.00"},
+            {"Lowest Capacity Asset", "AAPL 2ZTXYLO9EV0AU|AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "8.85%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "32f3cebb622264a2d6fd84c552ff4d0e"}
+        };
+    }
+}