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>
+    /// This is an option split regression algorithm
+    /// </summary>
+    /// <meta name="tag" content="regression test" />
+    /// <meta name="tag" content="options" />
+    public class OptionSplitRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionSymbol;
+
+        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, 06);
+            SetEndDate(2014, 06, 09);
+            SetCash(1000000);
+
+            var option = AddOption("AAPL");
+            _optionSymbol = option.Symbol;
+
+            // set our strike/expiry filter for this option chain
+            option.SetFilter(u => u.IncludeWeeklys()
+                       .Strikes(-2, +2)
+                       .Expiration(TimeSpan.Zero, TimeSpan.FromDays(365 * 2)));
+
+            // use the underlying equity as the benchmark
+            SetBenchmark("AAPL");
+        }
+
+        /// <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)
+            {
+                if (Time.Hour > 9 && Time.Minute > 0)
+                {
+                    OptionChain chain;
+                    if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                    {
+                        var contract =
+                            chain.OrderBy(x => x.Expiry)
+                            .Where(x => x.Right == OptionRight.Call && x.Strike == 650)
+                            .Skip(1)
+                            .FirstOrDefault();
+
+                        if (contract != null)
+                        {
+                            Buy(contract.Symbol, 1);
+                        }
+                    }
+                }
+            }
+            else
+            {
+                if (Time.Day > 6 && Time.Hour > 14 && Time.Minute > 0)
+                {
+                    Liquidate();
+                }
+            }
+
+            if (Portfolio.Invested)
+            {
+                var holdings = Portfolio.Securities.Where(x => x.Value.Holdings.AbsoluteQuantity != 0).First().Value.Holdings.AbsoluteQuantity;
+
+                if (Time.Day == 6 && holdings != 1)
+                {
+                    throw new RegressionTestException($"Expected position quantity of 1 but was {holdings.ToStringInvariant()}");
+                }
+                if (Time.Day == 9 && holdings != 7)
+                {
+                    throw new RegressionTestException($"Expected position quantity of 7 but was {holdings.ToStringInvariant()}");
+                }
+            }
+        }
+
+        /// <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 => 124202;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.02%"},
+            {"Compounding Annual Return", "-1.512%"},
+            {"Drawdown", "0.000%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "999833"},
+            {"Net Profit", "-0.017%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-19.236"},
+            {"Tracking Error", "0.147"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$2.00"},
+            {"Estimated Strategy Capacity", "$88000.00"},
+            {"Lowest Capacity Asset", "AAPL VRCWOCTRVDJA|AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.04%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "6753be1c117f9528f920eb84976a070f"}
+        };
+    }
+}