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 *
+from OptionAssignmentRegressionAlgorithm import OptionAssignmentRegressionAlgorithm
+
+### <summary>
+### Regression algorithm asserting we can specify a custom option exercise model
+### </summary>
+class CustomOptionExerciseModelRegressionAlgorithm(OptionAssignmentRegressionAlgorithm):
+    def initialize(self):
+        self.set_security_initializer(self.custom_security_initializer)
+        super().initialize()
+
+    def custom_security_initializer(self, security):
+        if Extensions.is_option(security.symbol.security_type):
+            security.set_option_exercise_model(CustomExerciseModel())
+
+    def on_data(self, data):
+        super().on_data(data)
+
+class CustomExerciseModel(DefaultExerciseModel):
+    def option_exercise(self, option: Option, order: OptionExerciseOrder):
+        order_event = OrderEvent(
+            order.id,
+            option.symbol,
+            Extensions.convert_to_utc(option.local_time, option.exchange.time_zone),
+            OrderStatus.FILLED,
+            Extensions.get_order_direction(order.quantity),
+            0.0,
+            order.quantity,
+            OrderFee.ZERO,
+            "Tag"
+        )
+        order_event.is_assignment = False
+        return [ order_event ]