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 example demonstrates how to add options for a given underlying equity security.
+### It also shows how you can prefilter contracts easily based on strikes and expirations.
+### It also shows 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="filter selection" />
+class BasicTemplateOptionTradesAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+        self.set_cash(100000)
+
+        option = self.add_option("GOOG")
+
+        # add the initial contract filter 
+        # SetFilter method accepts timedelta objects or integer for days.
+        # The following statements yield the same filtering criteria
+        option.set_filter(-2, +2, 0, 10)
+        # option.set_filter(-2, +2, timedelta(0), timedelta(10))
+
+        # 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
+                # find the second call strike under market price expiring today
+                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
+                if contracts[0] != None:
+                    self.market_order(contracts[0].symbol, 1)
+        else:
+            self.liquidate()
+
+        for kpv in slice.bars:
+            self.log("---> OnData: {0}, {1}, {2}".format(self.time, kpv.key.value, str(kpv.value.close)))
+
+    def on_order_event(self, order_event):
+        self.log(str(order_event))