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 add options for a given underlying equity security.
+### 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="filter selection" />
+class BasicTemplateOptionsDailyAlgorithm(QCAlgorithm):
+    underlying_ticker = "AAPL"
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 15)
+        self.set_end_date(2016, 2, 1)
+        self.set_cash(100000)
+        self.option_expired = False
+
+        equity = self.add_equity(self.underlying_ticker, Resolution.DAILY)
+        option = self.add_option(self.underlying_ticker, Resolution.DAILY)
+        self.option_symbol = option.symbol
+
+        # set our strike/expiry filter for this option chain
+        option.set_filter(lambda u: (u.calls_only().expiration(0, 60)))
+
+        # use the underlying equity as the benchmark
+        self.set_benchmark(equity.symbol)
+
+    def on_data(self,slice):
+        if self.portfolio.invested: return
+
+        chain = slice.option_chains.get(self.option_symbol)
+        if not chain:
+            return
+
+        # Grab us the contract nearest expiry
+        contracts = sorted(chain, key = lambda x: x.expiry)
+
+        # if found, trade it
+        if len(contracts) == 0: return
+        symbol = contracts[0].symbol
+        self.market_order(symbol, 1)
+
+    def on_order_event(self, order_event):
+        self.log(str(order_event))
+
+        # Check for our expected OTM option expiry
+        if "OTM" in order_event.message:
+
+            # Assert it is at midnight 1/16 (5AM UTC)
+            if order_event.utc_time.month != 1 and order_event.utc_time.day != 16 and order_event.utc_time.hour != 5:
+                raise AssertionError(f"Expiry event was not at the correct time, {order_event.utc_time}")
+
+            self.option_expired = True
+
+    def on_end_of_algorithm(self):
+        # Assert we had our option expire and fill a liquidation order
+        if not self.option_expired:
+            raise AssertionError("Algorithm did not process the option expiration like expected")