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.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Option.StrategyMatcher;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm exercising an equity Bull Put Spread option strategy and asserting it's being detected by Lean and works as expected
+    /// </summary>
+    public class OptionEquityBullPutSpreadRegressionAlgorithm : OptionEquityBaseStrategyRegressionAlgorithm
+    {
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var putContracts = chain
+                        .Where(contract => contract.Right == OptionRight.Put)
+                        .OrderByDescending(x => x.Expiry)
+                        .ThenBy(x => x.Strike)
+                        .ToList();
+
+                    var shortPut = putContracts.Last();
+                    var longPut = putContracts.First(contract => contract.Strike < shortPut.Strike && contract.Expiry == shortPut.Expiry);
+
+                    var initialMargin = Portfolio.MarginRemaining;
+                    MarketOrder(shortPut.Symbol, -10);
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.NakedPut.Name, 10);
+                    MarketOrder(longPut.Symbol, 10);
+                    var freeMarginPostTrade = Portfolio.MarginRemaining;
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BullPutSpread.Name, 10);
+
+                    var expectedMarginUsage = Math.Max((shortPut.Strike - longPut.Strike) * Securities[longPut.Symbol].SymbolProperties.ContractMultiplier * 10, 0);
+                    if (expectedMarginUsage != Portfolio.TotalMarginUsed)
+                    {
+                        throw new RegressionTestException("Unexpect margin used!");
+                    }
+
+                    // we payed the ask and value using the assets price
+                    var priceSpreadDifference = GetPriceSpreadDifference(longPut.Symbol, shortPut.Symbol);
+                    if (initialMargin != (freeMarginPostTrade + expectedMarginUsage + _paidFees - priceSpreadDifference))
+                    {
+                        throw new RegressionTestException("Unexpect margin remaining!");
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 15023;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override 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 override 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", "200000"},
+            {"End Equity", "198887"},
+            {"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", "$13.00"},
+            {"Estimated Strategy Capacity", "$2300000.00"},
+            {"Lowest Capacity Asset", "GOOCV 306CZK7GI2ZL2|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "13.47%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "674e63d3d499cc9b6c3be48c92786536"}
+        };
+    }
+}