chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 regression algorithm tests In The Money (ITM) future option expiry for calls.
+### We expect 3 orders from the algorithm, which are:
+###
+###   * Initial entry, buy ES Call Option (expiring ITM)
+###   * Option exercise, receiving ES future contracts
+###   * Future contract liquidation, due to impending expiry
+###
+### Additionally, we test delistings for future options and assert that our
+### portfolio holdings reflect the orders the algorithm has submitted.
+### </summary>
+class FutureOptionCallITMExpiryRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2020, 1, 5)
+        self.set_end_date(2020, 6, 30)
+
+        self.es19m20 = self.add_future_contract(
+            Symbol.create_future(
+                Futures.Indices.SP_500_E_MINI,
+                Market.CME,
+                datetime(2020, 6, 19)
+            ),
+            Resolution.MINUTE).symbol
+
+        # Select a future option expiring ITM, and adds it to the algorithm.
+        self.es_option = self.add_future_option_contract(
+            list(
+                sorted([x for x in self.option_chain(self.es19m20) if x.id.strike_price <= 3200.0 and x.id.option_right == OptionRight.CALL],
+                       key=lambda x: x.id.strike_price, reverse=True)
+            )[0], Resolution.MINUTE).symbol
+
+        self.expected_contract = Symbol.create_option(self.es19m20, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 3200.0, datetime(2020, 6, 19))
+        if self.es_option != self.expected_contract:
+            raise AssertionError(f"Contract {self.expected_contract} was not found in the chain")
+
+        self.schedule.on(self.date_rules.tomorrow, self.time_rules.after_market_open(self.es19m20, 1), self.schedule_callback)
+
+    def schedule_callback(self):
+        self.market_order(self.es_option, 1)
+
+    def on_data(self, data: Slice):
+        # Assert delistings, so that we can make sure that we receive the delisting warnings at
+        # the expected time. These assertions detect bug #4872
+        for delisting in data.delistings.values():
+            if delisting.type == DelistingType.WARNING:
+                if delisting.time != datetime(2020, 6, 19):
+                    raise AssertionError(f"Delisting warning issued at unexpected date: {delisting.time}")
+            elif delisting.type == DelistingType.DELISTED:
+                if delisting.time != datetime(2020, 6, 20):
+                    raise AssertionError(f"Delisting happened at unexpected date: {delisting.time}")
+
+    def on_order_event(self, order_event: OrderEvent):
+        if order_event.status != OrderStatus.FILLED:
+            # There's lots of noise with OnOrderEvent, but we're only interested in fills.
+            return
+
+        if not self.securities.contains_key(order_event.symbol):
+            raise AssertionError(f"Order event Symbol not found in Securities collection: {order_event.symbol}")
+
+        security = self.securities[order_event.symbol]
+        if security.symbol == self.es19m20:
+            self.assert_future_option_order_exercise(order_event, security, self.securities[self.expected_contract])
+        elif security.symbol == self.expected_contract:
+            # Expected contract is ES19H21 Call Option expiring ITM @ 3250
+            self.assert_future_option_contract_order(order_event, security)
+        else:
+            raise AssertionError(f"Received order event for unknown Symbol: {order_event.symbol}")
+
+        self.log(f"{self.time} -- {order_event.symbol} :: Price: {self.securities[order_event.symbol].holdings.price} Qty: {self.securities[order_event.symbol].holdings.quantity} Direction: {order_event.direction} Msg: {order_event.message}")
+
+    def assert_future_option_order_exercise(self, order_event: OrderEvent, future: Security, option_contract: Security):
+        expected_liquidation_time_utc = datetime(2020, 6, 20, 4, 0, 0)
+
+        if order_event.direction == OrderDirection.SELL and future.holdings.quantity != 0:
+            # We expect the contract to have been liquidated immediately
+            raise AssertionError(f"Did not liquidate existing holdings for Symbol {future.symbol}")
+        if order_event.direction == OrderDirection.SELL and order_event.utc_time.replace(tzinfo=None) != expected_liquidation_time_utc:
+            raise AssertionError(f"Liquidated future contract, but not at the expected time. Expected: {expected_liquidation_time_utc} - found {order_event.utc_time.replace(tzinfo=None)}")
+
+        # No way to detect option exercise orders or any other kind of special orders
+        # other than matching strings, for now.
+        if "Option Exercise" in order_event.message:
+            if order_event.fill_price != 3200.0:
+                raise AssertionError("Option did not exercise at expected strike price (3200)")
+
+            if future.holdings.quantity != 1:
+                # Here, we expect to have some holdings in the underlying, but not in the future option anymore.
+                raise AssertionError(f"Exercised option contract, but we have no holdings for Future {future.symbol}")
+
+            if option_contract.holdings.quantity != 0:
+                raise AssertionError(f"Exercised option contract, but we have holdings for Option contract {option_contract.symbol}")
+
+    def assert_future_option_contract_order(self, order_event: OrderEvent, option: Security):
+        if order_event.direction == OrderDirection.BUY and option.holdings.quantity != 1:
+            raise AssertionError(f"No holdings were created for option contract {option.symbol}")
+
+        if order_event.direction == OrderDirection.SELL and option.holdings.quantity != 0:
+            raise AssertionError(f"Holdings were found after a filled option exercise")
+
+        if "Exercise" in order_event.message and option.holdings.quantity != 0:
+            raise AssertionError(f"Holdings were found after exercising option contract {option.symbol}")
+
+    def on_end_of_algorithm(self):
+        if self.portfolio.invested:
+            raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")