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 and trade SPX index weekly options
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="options" />
+### <meta name="tag" content="indexes" />
+class BasicTemplateSPXWeeklyIndexOptionsAlgorithm(QCAlgorithm):
+    def initialize(self):
+        self.set_start_date(2021, 1, 4)
+        self.set_end_date(2021, 1, 10)
+        self.set_cash(1000000)
+
+        # regular option SPX contracts
+        self.spx_options = self.add_index_option("SPX")
+        self.spx_options.set_filter(lambda u: (u.strikes(0, 1).expiration(0, 30)))
+
+        # weekly option SPX contracts
+        spxw = self.add_index_option("SPX", "SPXW")
+        # set our strike/expiry filter for this option chain
+        spxw.set_filter(lambda u: (u.strikes(0, 1)
+                                     # single week ahead since there are many SPXW contracts and we want to preserve performance
+                                     .expiration(0, 7)
+                                     .include_weeklys()))
+
+        self.spxw_option = spxw.symbol
+
+    def on_data(self,slice):
+        if self.portfolio.invested: return
+
+        chain = slice.option_chains.get(self.spxw_option)
+        if not chain:
+            return
+
+        # we sort the contracts to find at the money (ATM) contract with closest expiration
+        contracts = sorted(sorted(sorted(chain, \
+            key = lambda x: x.expiry), \
+            key = lambda x: abs(chain.underlying.price - x.strike)), \
+            key = lambda x: x.right, reverse=True)
+
+        # if found, buy until it expires
+        if len(contracts) == 0: return
+        symbol = contracts[0].symbol
+        self.market_order(symbol, 1)
+
+    def on_order_event(self, order_event):
+        self.debug(str(order_event))