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 QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to override the option pricing model with the
+    /// <see cref="QLOptionPriceModel"/> for a given option security.
+    /// </summary>
+    public class QLOptionPricingModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private bool _checked;
+
+        private Option _option;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(100000);
+
+            var equity = AddEquity("GOOG");
+            _option = AddOption(equity.Symbol);
+            _option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180));
+
+            // Set the option price model to the default QL model
+            _option.SetPriceModel(QLOptionPriceModelProvider.Instance.GetOptionPriceModel(_option.Symbol));
+
+            if (_option.PriceModel is not QLOptionPriceModel)
+            {
+                throw new RegressionTestException("Option pricing model was not set to QLOptionPriceModel, which should be the default");
+            }
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!_checked  && slice.OptionChains.TryGetValue(_option.Symbol, out var chain))
+            {
+                if (_option.PriceModel is not QLOptionPriceModel)
+                {
+                    throw new RegressionTestException("Option pricing model was not set to QLOptionPriceModel");
+                }
+
+                foreach (var contract in chain)
+                {
+                    var theoreticalPrice = contract.TheoreticalPrice;
+                    var iv = contract.ImpliedVolatility;
+                    var greeks = contract.Greeks;
+
+                    Log($"{contract.Symbol}:: Theoretical Price: {theoreticalPrice}, IV: {iv}, " +
+                           $"Delta: {greeks.Delta}, Gamma: {greeks.Gamma}, Vega: {greeks.Vega}, " +
+                           $"Theta: {greeks.Theta}, Rho: {greeks.Rho}, Lambda: {greeks.Lambda}");
+                                 
+                    _checked |= true;
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_checked)
+            {
+                throw new RegressionTestException("Option chain was never received.");
+            }
+        }
+
+        /// <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 virtual long DataPoints => 37131;
+
+        /// <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", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"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", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}