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 QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that options are automatically exercised on expiry regardless on whether
+    /// the day after expiration is tradable or not.
+    /// This specific algorithm works with contracts added manually.
+    /// </summary>
+    public class OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spxOption1;
+        private Symbol _spxOption2;
+        private bool _tradedOptions;
+        private bool _exercisedOption1;
+        private bool _exercisedOption2;
+
+        public override void Initialize()
+        {
+            SetStartDate(2023, 6, 25);
+            SetEndDate(2023, 7, 10);
+
+            var spx = AddIndex("SPX").Symbol;
+
+            _spxOption1 = QuantConnect.Symbol.CreateOption(
+                spx,
+                "SPXW",
+                Market.USA,
+                OptionStyle.European,
+                OptionRight.Call,
+                4445m,
+                // Next day is tradable
+                new DateTime(2023, 6, 30));
+
+            _spxOption2 = QuantConnect.Symbol.CreateOption(
+                spx,
+                "SPXW",
+                Market.USA,
+                OptionStyle.European,
+                OptionRight.Call,
+                4445m,
+                // Next day is a holiday
+                new DateTime(2023, 7, 3));
+
+            InitializeOptions(spx, [_spxOption1, _spxOption2]);
+        }
+
+        protected virtual void InitializeOptions(Symbol underlying, Symbol[] options)
+        {
+            AddIndexOptionContract(_spxOption1);
+            AddIndexOptionContract(_spxOption2);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested && !_tradedOptions)
+            {
+                Buy(_spxOption1, 1);
+                Buy(_spxOption2, 1);
+                _tradedOptions = true;
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log(orderEvent.ToString());
+            if (Transactions.GetOrderById(orderEvent.OrderId) is OptionExerciseOrder order)
+            {
+                _exercisedOption1 |= order.Symbol == _spxOption1;
+                _exercisedOption2 |= order.Symbol == _spxOption2;
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_exercisedOption1 || !_exercisedOption2)
+            {
+                throw new RegressionTestException("Expected both options to be exercised");
+            }
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 16640;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual 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", "4"},
+            {"Average Win", "0.58%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "31.165%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101172"},
+            {"Net Profit", "1.172%"},
+            {"Sharpe Ratio", "4.049"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "81.227%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.041"},
+            {"Annual Variance", "0.002"},
+            {"Information Ratio", "5.34"},
+            {"Tracking Error", "0.041"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$8000.00"},
+            {"Lowest Capacity Asset", "SPXW Y9T7LPL21B5A|SPX 31"},
+            {"Portfolio Turnover", "0.02%"},
+            {"Drawdown Recovery", "4"},
+            {"OrderListHash", "a1f4c8031a753d2b73655adf94f9889b"}
+        };
+    }
+}