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.Data.Market;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Option;
+using QuantConnect.Securities.Option.StrategyMatcher;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm exercising an equity Short Put Backspread option strategy and asserting it's being detected by Lean and works as expected
+    /// </summary>
+    public class OptionEquityShortPutBackspreadRegressionAlgorithm : 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);
+                    var expiry = putContracts.Min(x => x.Expiry);
+                    putContracts = putContracts.Where(x => x.Expiry == expiry)
+                        .OrderBy(x => x.Strike)
+                        .ToList();
+
+                    var strike = putContracts.Select(x => x.Strike).Distinct();
+                    if (strike.Count() < 2) return;
+
+                    var lowStrikePut = putContracts.First();
+                    var highStrikePut = putContracts.First(contract => contract.Strike > lowStrikePut.Strike && contract.Expiry == lowStrikePut.Expiry);
+
+                    var initialMargin = Portfolio.MarginRemaining;
+
+                    var optionStrategy = OptionStrategies.ShortPutBackspread(_optionSymbol, highStrikePut.Strike, lowStrikePut.Strike, expiry);
+                    Buy(optionStrategy, 5);
+                    var freeMarginPostTrade = Portfolio.MarginRemaining;
+
+                    // It is a combination of bear put spread and naked put
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BearPutSpread.Name, 5);
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.NakedPut.Name, 5);
+
+                    // Should only involve the naked put part
+                    var security = Securities[lowStrikePut.Symbol];
+                    var expectedMarginUsage = security.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, -5)).Value;
+
+                    if (expectedMarginUsage != Portfolio.TotalMarginUsed)
+                    {
+                        throw new Exception("Unexpect margin used!");
+                    }
+
+                    // we payed the ask and value using the assets price
+                    var priceLadderDifference = GetPriceSpreadDifference(lowStrikePut.Symbol, highStrikePut.Symbol);
+                    if (initialMargin != (freeMarginPostTrade + expectedMarginUsage + _paidFees - priceLadderDifference))
+                    {
+                        throw new Exception("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>
+        /// 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", "199165.25"},
+            {"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", "$9.75"},
+            {"Estimated Strategy Capacity", "$1200000.00"},
+            {"Lowest Capacity Asset", "GOOCV 306CZL2DIPERQ|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "8.84%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "eeef2acb2fcf1b166d8884fcf8b49bbd"}
+        };
+    }
+}