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>
+### Regression algorithm to test the creation and usage of a custom option price model
+### </summary>
+class CustomOptionPriceModelRegressionAlgorithm(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")
+        self._option_symbol = option.symbol
+
+        option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
+        self._option_price_model = CustomOptionPriceModel()
+        option.set_price_model(self._option_price_model)
+
+    def on_data(self, slice):
+        if self.portfolio.invested:
+            return
+
+        chain = slice.option_chains.get(self._option_symbol)
+        if not chain:
+            return
+
+        contracts = sorted(sorted(sorted(chain, \
+            key = lambda x: abs(chain.underlying.price - x.strike)), \
+            key = lambda x: x.expiry, reverse=True), \
+            key = lambda x: x.right, reverse=True)
+
+        if len(contracts) == 0:
+            return
+        
+        if (contracts[0].theoretical_price > 0):
+            self.market_order(contracts[0].symbol, 1)
+    
+    def on_end_of_algorithm(self):
+        if self._option_price_model.evaluation_count == 0:
+            raise RegressionTestException("CustomOptionPriceModel.Evaluate() was never called")
+
+class CustomOptionPriceModel():
+    def __init__(self):
+        self.evaluation_count = 0
+
+    def evaluate(self, parameters):
+        self.evaluation_count += 1
+        contract = parameters.contract
+        underlying = contract.underlying_last_price
+        strike = contract.strike
+        greeks = Greeks(0.5, 0.2, 0.15, 0.05, 0.1, 2.0)
+        
+        if contract.right == OptionRight.CALL:
+            intrinsic = max(0, underlying - strike)
+        else:
+            intrinsic = max(0, strike - underlying)
+            # Delta and Rho are negative for a put
+            greeks.delta *= -1
+            greeks.rho *= -1
+        
+        theoretical_price = intrinsic + 1.0
+        implied_volatility = 0.2
+        
+        return OptionPriceModelResult(theoretical_price, implied_volatility, greeks)