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 *
+
+### <summary>
+### This example demonstrates how to execute a Call Butterfly option equity strategy
+### It adds options for a given underlying equity security, and shows how you can prefilter contracts easily based on strikes and expirations
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="options" />
+### <meta name="tag" content="filter selection" />
+### <meta name="tag" content="trading and orders" />
+class BasicTemplateOptionEquityStrategyAlgorithm(QCAlgorithm):
+    underlying_ticker = "GOOG"
+
+    def initialize(self) -> None:
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+
+        equity = self.add_equity(self.underlying_ticker)
+        option = self.add_option(self.underlying_ticker)
+        self._option_symbol = option.symbol
+
+        # set our strike/expiry filter for this option chain
+        option.set_filter(lambda u: (u.standards_only().strikes(-2, +2)
+                                     # Expiration method accepts TimeSpan objects or integer for days.
+                                     # The following statements yield the same filtering criteria
+                                     .expiration(0, 180)))
+
+    def on_data(self, slice: Slice) -> None:
+        if self.portfolio.invested or not self.is_market_open(self._option_symbol):
+            return
+
+        chain = slice.option_chains.get(self._option_symbol)
+        if not chain:
+            return
+
+        grouped_by_expiry = dict()
+        for contract in [contract for contract in chain if contract.right == OptionRight.CALL]:
+            grouped_by_expiry.setdefault(int(contract.expiry.timestamp()), []).append(contract)
+
+        first_expiry = list(sorted(grouped_by_expiry))[0]
+        call_contracts = sorted(grouped_by_expiry[first_expiry], key = lambda x: x.strike)
+        
+        expiry = call_contracts[0].expiry
+        lower_strike = call_contracts[0].strike
+        middle_strike = call_contracts[1].strike
+        higher_strike = call_contracts[2].strike
+
+        option_strategy = OptionStrategies.call_butterfly(self._option_symbol, higher_strike, middle_strike, lower_strike, expiry)
+                    
+        self.order(option_strategy, 10)
+
+    def on_order_event(self, order_event: OrderEvent) -> None:
+        self.log(str(order_event))