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.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm reproducing issue #5610
+    /// </summary>
+    public class OptionExerciseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _equity, _option;
+        private Symbol _contractSymbol;
+        private bool _purchasedUnderlying;
+        private int quantity = 20;
+
+        public override void Initialize()
+        {
+            SetStartDate(2014, 6, 6);
+            SetEndDate(2014, 6, 9);
+            SetCash(1000000);
+
+            _equity = AddEquity("AAPL", Resolution.Minute).Symbol;
+            var option = AddOption("AAPL", Resolution.Minute);
+            _option = option.Symbol;
+
+            option.SetFilter(universe => from contract in universe
+                                .WeeklysOnly()
+                                .Strikes(-5, +5)
+                                .Expiration(TimeSpan.Zero, TimeSpan.FromDays(29))
+                                         select contract.Symbol);
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log($"Order Symbol: {orderEvent.Symbol}; Quantity: {orderEvent.Quantity}; Status: {orderEvent.Status}");
+
+            if (orderEvent.Symbol == _equity && orderEvent.Status == OrderStatus.Filled)
+            {
+                _purchasedUnderlying = true;
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (_contractSymbol != null)
+            {
+                return;
+            }
+
+            // Buy the underlying for our covered put
+            if (slice.ContainsKey(_equity) && !_purchasedUnderlying)
+            {
+                MarketOrder(_equity, 100 * quantity);
+            }
+
+            // Buy a contract and exercise it immediately
+            if (_purchasedUnderlying && slice.OptionChains.TryGetValue(_option, out OptionChain chain))
+            {
+                var contract = chain
+                    .Where(x => x.Right == OptionRight.Put)
+                    .OrderByDescending(x => x.Strike - slice[_equity].Price)
+                    .FirstOrDefault();
+
+                _contractSymbol = contract.Symbol;
+                MarketOrder(_contractSymbol, quantity);
+
+                // Exercise option
+                Log("Quantity before: " + Portfolio[_equity].Quantity);
+                ExerciseOption(_contractSymbol, quantity);
+                Log("Quantity after: " + Portfolio[_equity].Quantity);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Portfolio[_equity].Quantity != 0)
+            {
+                throw new RegressionTestException("Regression equity holdings should be zero after exercise.");
+            }
+        }
+
+        /// <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 long DataPoints => 105730;
+
+        /// <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", "3"},
+            {"Average Win", "2.13%"},
+            {"Average Loss", "-2.21%"},
+            {"Compounding Annual Return", "-11.379%"},
+            {"Drawdown", "0.100%"},
+            {"Expectancy", "-0.019"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "998677"},
+            {"Net Profit", "-0.132%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "0.96"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-9.486"},
+            {"Tracking Error", "0.008"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$23.00"},
+            {"Estimated Strategy Capacity", "$420000.00"},
+            {"Lowest Capacity Asset", "AAPL 2ZQA0P58YK8UE|AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "66.12%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "8e667d067b15819e8626d2157ce7b0b5"}
+        };
+    }
+}