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 +1,67 @@
+# 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 using FutureOptions daily resolution
+### </summary>
+class FutureOptionDailyRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2020, 1, 6)
+        self.set_end_date(2020, 1, 8)
+        resolution = Resolution.DAILY
+
+        # Add our underlying future contract
+        self.es = self.add_future_contract(
+            Symbol.create_future(
+                Futures.Indices.SP_500_E_MINI,
+                Market.CME,
+                datetime(2020, 3, 20)
+            ),
+            resolution).symbol
+
+        # Attempt to fetch a specific ITM future option contract
+        es_options = [
+            self.add_future_option_contract(x, resolution).symbol
+            for x in self.option_chain(self.es)
+            if x.id.strike_price == 3200 and x.id.option_right == OptionRight.CALL
+        ]
+        self.es_option = es_options[0]
+
+        # Validate it is the expected contract
+        expected_contract = Symbol.create_option(self.es, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 3200, datetime(2020, 3, 20))
+        if self.es_option != expected_contract:
+            raise AssertionError(f"Contract {self.es_option} was not the expected contract {expected_contract}")
+
+        # On daily resolution the order fills at the daily close, so buy on the first day with available data and
+        # liquidate the next day, once the purchase has filled at the previous close
+        self.schedule.on(self.date_rules.on(2020, 1, 7), self.time_rules.at(10,0,0), self.schedule_callback_buy)
+
+        self.schedule.on(self.date_rules.on(2020, 1, 8), self.time_rules.at(14,0,0), self.schedule_callback_liquidate)
+
+    def schedule_callback_buy(self):
+        self.market_order(self.es_option, 1)
+
+    def on_data(self, slice):
+        # Assert we are only getting data at 4PM NY, for ES future market closes at 16pm NY
+        if slice.time.hour != 17:
+            raise AssertionError(f"Expected data at 5PM each day; instead was {slice.time}")
+
+    def schedule_callback_liquidate(self):
+        self.liquidate()
+
+    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()])}")