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.Orders;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Options Open Interest data regression test.
+    /// </summary>
+    /// <meta name="tag" content="options" />
+    /// <meta name="tag" content="regression test" />
+    public class OptionOpenInterestRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            // this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
+            SetStartDate(2014, 06, 05);
+            SetEndDate(2014, 06, 06);
+            SetCash(1000000);
+
+            var option = AddOption("TWX");
+
+            option.SetFilter(-10, +10, TimeSpan.Zero, TimeSpan.FromDays(365 * 2));
+
+            // use the underlying equity as the benchmark
+            SetBenchmark("TWX");
+        }
+
+        /// <summary>
+        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                foreach (var chain in slice.OptionChains)
+                {
+                    foreach (var contract in chain.Value)
+                    {
+                        if (contract.Symbol.ID.StrikePrice == 72.5m &&
+                            contract.Symbol.ID.OptionRight == OptionRight.Call &&
+                            contract.Symbol.ID.Date == new DateTime(2016, 01, 15))
+                        {
+                            var history = History<OpenInterest>(contract.Symbol, TimeSpan.FromDays(1)).ToList();
+                            if (history.Count == 0)
+                            {
+                                throw new RegressionTestException("Regression test failed: open interest history request is empty");
+                            }
+
+                            var security = Securities[contract.Symbol];
+                            var openInterestCache = security.Cache.GetData<OpenInterest>();
+                            if (openInterestCache == null)
+                            {
+                                throw new RegressionTestException("Regression test failed: current open interest isn't in the security cache");
+                            }
+
+                            if (slice.Time.Date == new DateTime(2014, 06, 05) && (contract.OpenInterest != 50 || security.OpenInterest != 50))
+                            {
+                                throw new RegressionTestException("Regression test failed: current open interest was not correctly loaded and is not equal to 50");
+                            }
+                            if (slice.Time.Date == new DateTime(2014, 06, 06) && (contract.OpenInterest != 70 || security.OpenInterest != 70))
+                            {
+                                throw new RegressionTestException("Regression test failed: current open interest was not correctly loaded and is not equal to 70");
+                            }
+                            if (slice.Time.Date == new DateTime(2014, 06, 06))
+                            {
+                                MarketOrder(contract.Symbol, 1);
+                                MarketOnCloseOrder(contract.Symbol, -1);
+                            }
+                        }
+                    }
+
+                    // We should be able to access the open interest of the contract
+                    if (chain.Value.All(contract => contract.OpenInterest == 0))
+                    {
+                        throw new RegressionTestException("Regression test failed: open interest is zero for all contracts");
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// Order fill event handler. On an order fill update the resulting information is passed to this method.
+        /// </summary>
+        /// <param name="orderEvent">Order event details containing details of the events</param>
+        /// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log(orderEvent.ToString());
+        }
+
+        /// <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 => 256364;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 77028;
+
+        /// <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%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "999898"},
+            {"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", "$2.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", "AOL W78ZERDZOC1Y|AOL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.07%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "020bab5fcb635e1378f404364e9495a2"}
+        };
+    }
+}