chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 algorithm demonstrate how to use Option Strategies (e.g. OptionStrategies.STRADDLE) helper classes to batch send orders for common strategies.
+### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you can inspect the
+### option chain to pick a specific option contract to trade.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="options" />
+### <meta name="tag" content="option strategies" />
+### <meta name="tag" content="filter selection" />
+class BasicTemplateOptionStrategyAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        # Set the cash we'd like to use for our backtest
+        self.set_cash(1000000)
+
+        # Start and end dates for the backtest.
+        self.set_start_date(2015,12,24)
+        self.set_end_date(2015,12,24)
+
+        # Add assets you'd like to see
+        option = self.add_option("GOOG")
+        self.option_symbol = option.symbol
+
+        # set our strike/expiry filter for this option chain
+        # SetFilter method accepts timedelta objects or integer for days.
+        # The following statements yield the same filtering criteria
+        option.set_filter(lambda u: (u.standards_only().strikes(-2, +2).expiration(0, 180)))
+
+        # use the underlying equity as the benchmark
+        self.set_benchmark("GOOG")
+
+    def on_data(self,slice):
+        if not self.portfolio.invested:
+            for kvp in slice.option_chains:
+                chain = kvp.value
+                contracts = sorted(sorted(chain, key = lambda x: abs(chain.underlying.price - x.strike)),
+                                                 key = lambda x: x.expiry, reverse=False)
+
+                if len(contracts) == 0: continue
+                atm_straddle = contracts[0]
+                if atm_straddle != None:
+                    self.sell(OptionStrategies.straddle(self.option_symbol, atm_straddle.strike, atm_straddle.expiry), 2)
+        else:
+            self.liquidate()
+
+    def on_order_event(self, order_event):
+        self.log(str(order_event))