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 asserting the behavior of option warmup
+    /// </summary>
+    public class WarmupOptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private const string UnderlyingTicker = "GOOG";
+        private Symbol _optionSymbol;
+
+        protected List<DateTime> OptionWarmupTimes { get; } = new();
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(100000);
+
+            var option = AddOption(UnderlyingTicker);
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.Strikes(-5, +5).Expiration(0, 180).IncludeWeeklys());
+            SetWarmUp(TimeSpan.FromDays(1));
+        }
+
+        /// <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 (slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
+            {
+                // we find at the money (ATM) put contract with farthest expiration
+                var atmContract = chain
+                    .OrderByDescending(x => x.Expiry)
+                    .ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
+                    .ThenByDescending(x => x.Right)
+                    .FirstOrDefault();
+
+                if (atmContract != null)
+                {
+                    // during warmup, using daily resolution (with the same TZ as the algorithm) the last bar.EndTime of warmup
+                    // overlaps with the algorithm start time, considered not to be in warmup anymore.
+                    // This bar would also be emitted by lean if no warmup was set and daily resolution used, see 'BasicTemplateDailyAlgorithm'
+                    if (Time <= StartDate)
+                    {
+                        if(atmContract.LastPrice == 0)
+                        {
+                            throw new RegressionTestException("Contract price is not set!");
+                        }
+                        OptionWarmupTimes.Add(Time);
+                    }
+                    else if (!Portfolio.Invested && IsMarketOpen(_optionSymbol))
+                    {
+                        // if found, trade it
+                        MarketOrder(atmContract.Symbol, 1);
+                        MarketOnCloseOrder(atmContract.Symbol, -1);
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            var start = new DateTime(2015, 12, 23, 9, 31, 0);
+            var end = new DateTime(2015, 12, 23, 16, 0, 0);
+            var count = 0;
+            do
+            {
+                if (OptionWarmupTimes[count] != start)
+                {
+                    throw new RegressionTestException($"Unexpected time {OptionWarmupTimes[count]} expected {start}");
+                }
+                count++;
+                start = start.AddMinutes(1);
+            }
+            while (start < end);
+        }
+
+        /// <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 virtual long DataPoints => 107498;
+
+        /// <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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99718"},
+            {"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", "$2.00"},
+            {"Estimated Strategy Capacity", "$1300000.00"},
+            {"Lowest Capacity Asset", "GOOCV 30AKMEIPOX2DI|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "10.71%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "19ba1220073493495880581b38df2da9"}
+        };
+    }
+}