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.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm reproducing issue #7697 unhanded division by zero in DefaultOptionAssignmentModel.IsDeepInTheMoney due to remove underlying of option
+    /// </summary>
+    public class RemoveUnderlyingRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private const string UnderlyingTicker = "GOOG";
+        private Symbol _optionSymbol;
+        private bool _boughtOption;
+        private bool _removedUnderlying;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 23);
+            SetEndDate(2015, 12, 24);
+
+            var option = AddOption(UnderlyingTicker);
+            _optionSymbol = option.Symbol;
+            option.SetFilter(u => u.IncludeWeeklys()
+                                   .Strikes(-2, 0)
+                                   .Expiration(TimeSpan.Zero, TimeSpan.FromDays(2)));
+        }
+
+        /// <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 (!_boughtOption && !Portfolio.Invested)
+            {
+                if (slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
+                {
+                    var contract = (
+                        from optionContract in chain.OrderByDescending(x => x.Strike)
+                        where optionContract.Right == OptionRight.Put
+                        select optionContract
+                        ).FirstOrDefault();
+                    if (contract != null)
+                    {
+                        MarketOrder(contract.Symbol, -1);
+                        _boughtOption = true;
+                    }
+                }
+            }
+            else if (Portfolio.Invested && Time.Day == 24 && Time.Hour == 0 && !_removedUnderlying)
+            {
+                _removedUnderlying = true;
+                RemoveSecurity(_optionSymbol.Underlying);
+            }
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 15886;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99961.5"},
+            {"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", "$1.00"},
+            {"Estimated Strategy Capacity", "$28000.00"},
+            {"Lowest Capacity Asset", "GOOCV 305RBQ2BZGA4M|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "0.07%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "35f9749f41b6fd30dfcd6b74f172a93a"}
+        };
+    }
+}