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.Collections.Generic;
+using System.Linq;
+
+using QuantConnect.Data;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm asserting that the margin call events are fired when trading options
+    /// </summary>
+    public class OptionShortCallMarginCallEventsAlgorithm : OptionsMarginCallEventsAlgorithmBase
+    {
+        private Symbol _optionSymbol;
+
+        protected override int OriginalQuantity => -10;
+        protected override int ExpectedOrdersCount => 2;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 23);
+            SetEndDate(2015, 12, 30);
+            SetCash(160000);
+
+            var equitySymbol = AddEquity("GOOG").Symbol;
+
+            var option = AddOption(equitySymbol);
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
+                .Expiration(0, 180));
+
+            Portfolio.MarginCallModel = new CustomMarginCallModel(Portfolio, DefaultOrderProperties);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
+                {
+                    var callContracts = chain.Where(contract => contract.Right == OptionRight.Call)
+                        .GroupBy(x => x.Expiry)
+                        .OrderBy(grouping => grouping.Key)
+                        .First()
+                        .OrderByDescending(x => x.Strike)
+                        .ToList();
+
+                    MarketOrder(callContracts[0].Symbol, OriginalQuantity);
+                }
+            }
+        }
+
+        /// <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 override bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 47108;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public override 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", "-0.07%"},
+            {"Compounding Annual Return", "9.935%"},
+            {"Drawdown", "1.400%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "160000"},
+            {"End Equity", "160332.5"},
+            {"Net Profit", "0.208%"},
+            {"Sharpe Ratio", "5.427"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "88.369%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.067"},
+            {"Beta", "-0.023"},
+            {"Annual Standard Deviation", "0.012"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "1.089"},
+            {"Tracking Error", "0.088"},
+            {"Treynor Ratio", "-2.981"},
+            {"Total Fees", "$7.50"},
+            {"Estimated Strategy Capacity", "$64000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "1.01%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "039fb1adfb5366ea629e3f5e0646ab8b"}
+        };
+    }
+}