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
@@ -0,0 +1,56 @@
+# 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 that validates that when using a continuous future (without a filter)
+### the option chains are correctly populated using the mapped symbol.
+### </summary>
+class FutureOptionContinuousFutureRegressionAlgorithm(QCAlgorithm):
+    def initialize(self):
+        self.set_start_date(2020, 1, 4)
+        self.set_end_date(2020, 1, 8)
+        
+        self.future = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, Market.CME)
+        self.set_filter()
+        
+        self.add_future_option(self.future.symbol, lambda universe: universe.strikes(-1, 1))
+        
+        self._has_any_option_chain_for_mapped_symbol = False
+
+    def set_filter(self):
+        """Set future filter - override in derived classes for filtered version"""
+        pass
+
+    def on_data(self, slice: Slice):
+        if len(slice.option_chains) == 0:
+            return
+
+        self.validate_option_chains(slice)
+        
+        # OptionChain for mapped symbol
+        chain = slice.option_chains[self.future.mapped]
+        if chain is None or not any(chain):
+            raise RegressionTestException("No option chain found for mapped symbol during algorithm execution")
+
+        # Mark that we successfully received a non-empty OptionChain for mapped symbol
+        self._has_any_option_chain_for_mapped_symbol = True
+    
+    def validate_option_chains(self, slice: Slice):
+        if len(slice.option_chains) != 1:
+            raise RegressionTestException("Expected only one option chain for the mapped symbol")
+
+    def on_end_of_algorithm(self):
+        if not self._has_any_option_chain_for_mapped_symbol:
+            raise RegressionTestException("No non-empty option chain found for mapped symbol during algorithm execution")