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.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Option;
+using QuantConnect.Securities.Positions;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm asserting that the margin call events are fired when trading options strategies
+    /// </summary>
+    public class OptionStrategyMarginCallEventsAlgorithm : OptionsMarginCallEventsAlgorithmBase
+    {
+        private Symbol _optionSymbol;
+        private OptionStrategy _optionStrategy;
+
+        protected override int OriginalQuantity => -50;
+        protected override int ExpectedOrdersCount => 4;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 30);
+            // -50 of a straddle will use almost all of 900k, so will eventually trigger margin call
+            SetCash(900000);
+
+            var equity = AddEquity("GOOG");
+            var option = AddOption(equity.Symbol);
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.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();
+
+                    var expiry = callContracts[0].Expiry;
+                    var strike = callContracts[0].Strike;
+
+                    _optionStrategy = OptionStrategies.Straddle(_optionSymbol, strike, expiry);
+                    Order(_optionStrategy, OriginalQuantity);
+                }
+            }
+        }
+
+        public override void OnMarginCall(List<SubmitOrderRequest> requests)
+        {
+            base.OnMarginCall(requests);
+
+            var positionGroup = Portfolio.Positions.Groups.Single();
+            foreach (var request in requests)
+            {
+                var position = positionGroup.GetPosition(request.Symbol);
+                // We expect the margin call to be for one unit of the strategy in the opposite direction
+                var expectedQuantity = -Math.Sign(position.Quantity) * 1;
+                if (request.Quantity != expectedQuantity)
+                {
+                    throw new RegressionTestException($"Expected margin call order quantity to be {expectedQuantity} but was {request.Quantity}");
+                }
+            }
+        }
+
+        /// <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; } = false;
+
+        /// <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 => 3132879;
+
+        /// <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", "4"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "-4.893%"},
+            {"Drawdown", "0.700%"},
+            {"Expectancy", "-1"},
+            {"Net Profit", "-0.092%"},
+            {"Sharpe 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", "-0.681"},
+            {"Tracking Error", "0.092"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$1252.00"},
+            {"Estimated Strategy Capacity", "$130000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "1.17%"},
+            {"OrderListHash", "681be68373c2f38e51456d7f8010e7d3"}
+        };
+    }
+}