chore: import upstream snapshot with attribution

Algorithm.Python/Benchmarks/EmptySPXOptionChainBenchmark.py

@@ -0,0 +1,23 @@
+# 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 *
+
+class EmptySPXOptionChainBenchmark(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2018, 1, 1)
+        self.set_end_date(2020, 6, 1)
+        self._index = self.add_index("SPX")
+        option = self.add_option(self._index)
+        option.set_filter(lambda u: u.include_weeklys().strikes(-30, 30).expiration(0, 7))