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
+
+from AlgorithmImports import *
+
+class BasicTemplateIndexDailyAlgorithm(QCAlgorithm):
+
+    def initialize(self) -> None:
+        self.set_start_date(2021, 1, 1)
+        self.set_end_date(2021, 1, 18)
+        self.set_cash(1000000)
+
+        # Use indicator for signal; but it cannot be traded
+        self.spx = self.add_index("SPX", Resolution.DAILY).symbol
+
+        # Trade on SPX ITM calls
+        self.spx_option = Symbol.create_option(
+            self.spx,
+            Market.USA,
+            OptionStyle.EUROPEAN,
+            OptionRight.CALL,
+            3200,
+            datetime(2021, 1, 15)
+        )
+
+        self.add_index_option_contract(self.spx_option, Resolution.DAILY)
+
+        self.ema_slow = self.ema(self.spx, 80)
+        self.ema_fast = self.ema(self.spx, 200)
+
+        self.ExpectedBarCount = 10
+        self.BarCounter = 0
+
+        self.settings.daily_precise_end_time = True
+
+    def on_data(self, data: Slice):
+        if not self.portfolio.invested:
+            # SPX Index is not tradable, but we can trade an option
+            self.market_order(self.spx_option, 1)
+        else:
+            self.liquidate()
+
+        # Count how many slices we receive with SPX data in it to assert later
+        if data.contains_key(self.spx):
+            self.BarCounter = self.BarCounter + 1
+
+    def OnEndOfAlgorithm(self):
+        if self.BarCounter != self.ExpectedBarCount:
+            raise ValueError(f"Bar Count {self.BarCounter} is not expected count of {self.ExpectedBarCount}")
+
+        for symbol in [ self.spx_option, self.spx ]:
+            history = self.history(symbol, 10)
+            if len(history) != 10:
+                raise ValueError(f"Unexpected history count: {len(history)}")
+            if any(x for x in history.index.get_level_values('time') if x.time() != time(15, 15, 0)):
+                raise ValueError(f"Unexpected history data time")