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.Option;
+using QuantConnect.Securities.Positions;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This base algorithm demonstrates how to use OptionStrategies helper class to batch send orders for common strategies.
+    /// </summary>
+    public abstract class OptionStrategyFactoryMethodsBaseAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected Symbol _optionSymbol { get; set; }
+
+        protected abstract int ExpectedOrdersCount { get; }
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(1000000);
+
+            var option = AddOption("GOOG");
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
+
+            SetBenchmark("GOOG");
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
+                {
+                    TradeStrategy(chain);
+                }
+            }
+            else
+            {
+                // Verify that the strategy was traded
+                var positionGroup = Portfolio.Positions.Groups.Single();
+
+                var buyingPowerModel = positionGroup.BuyingPowerModel as OptionStrategyPositionGroupBuyingPowerModel;
+                if (buyingPowerModel == null)
+                {
+                    throw new RegressionTestException($@"Expected position group buying power model type: {nameof(OptionStrategyPositionGroupBuyingPowerModel)}. Actual: {positionGroup.BuyingPowerModel.GetType()}");
+                }
+
+                AssertStrategyPositionGroup(positionGroup);
+
+                // Now we should be able to close the position
+                LiquidateStrategy();
+
+                // We can quit now, no more testing required
+                Quit();
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Portfolio.Invested)
+            {
+                throw new RegressionTestException("Expected no holdings at end of algorithm");
+            }
+
+            var ordersCount = Transactions.GetOrders((order) => order.Status == OrderStatus.Filled).Count();
+            if (ordersCount != ExpectedOrdersCount)
+            {
+                throw new RegressionTestException($@"Expected {ExpectedOrdersCount} orders to have been submitted and filled, half for buying the strategy and the other half for the liquidation. Actual {ordersCount}");
+            }
+        }
+
+        protected abstract void TradeStrategy(OptionChain chain);
+
+        protected abstract void AssertStrategyPositionGroup(IPositionGroup positionGroup);
+
+        protected abstract void LiquidateStrategy();
+
+        /// <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 abstract bool CanRunLocally { get; }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public abstract List<Language> Languages { get; }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public abstract long DataPoints { get; }
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public abstract int AlgorithmHistoryDataPoints { get; }
+
+        /// <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 abstract Dictionary<string, string> ExpectedStatistics { get; }
+    }
+}