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 +1,102 @@
+# 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>
+### Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
+### </summary>
+class FuturesAndFutures_optionsExpiryTimeAndLiquidationRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.invested = False
+        self.liquidated = 0
+        self.delistings_received = 0
+
+        self.expected_expiry_warning_time = datetime(2020, 6, 19)
+        self.expected_expiry_delisting_time = datetime(2020, 6, 20)
+        self.expected_liquidation_time = datetime(2020, 6, 20)
+
+        self.set_start_date(2020, 1, 5)
+        self.set_end_date(2020, 12, 1)
+        self.set_cash(100000)
+
+        es = Symbol.create_future(
+            "ES",
+            Market.CME,
+            datetime(2020, 6, 19)
+        )
+
+        es_option = Symbol.create_option(
+            es,
+            Market.CME,
+            OptionStyle.AMERICAN,
+            OptionRight.PUT,
+            3400.0,
+            datetime(2020, 6, 19)
+        )
+
+        self.es_future = self.add_future_contract(es, Resolution.MINUTE).symbol
+        self.es_future_option = self.add_future_option_contract(es_option, Resolution.MINUTE).symbol
+
+    def on_data(self, data: Slice):
+        for delisting in data.delistings.values():
+            self.delistings_received += 1
+
+            if delisting.type == DelistingType.WARNING and delisting.time != self.expected_expiry_warning_time:
+                raise AssertionError(f"Expiry warning with time {delisting.time} but is expected to be {self.expected_expiry_warning_time}")
+
+            if delisting.type == DelistingType.WARNING and delisting.time != datetime(self.time.year, self.time.month, self.time.day):
+                raise AssertionError(f"Delisting warning received at an unexpected date: {self.time} - expected {delisting.time}")
+
+            if delisting.type == DelistingType.DELISTED and delisting.time != self.expected_expiry_delisting_time:
+                raise AssertionError(f"Delisting occurred at unexpected time: {delisting.time} - expected: {self.expected_expiry_delisting_time}")
+
+            if delisting.type == DelistingType.DELISTED and delisting.time != datetime(self.time.year, self.time.month, self.time.day):
+                raise AssertionError(f"Delisting notice received at an unexpected date: {self.time} - expected {delisting.time}")
+
+        if not self.invested and \
+            (self.es_future in data.bars or self.es_future in data.quote_bars) and \
+            (self.es_future_option in data.bars or self.es_future_option in data.quote_bars):
+
+            self.invested = True
+
+            self.market_order(self.es_future, 1)
+            self.market_order(self.es_future_option, 1)
+
+    def on_order_event(self, order_event: OrderEvent):
+        if order_event.direction != OrderDirection.SELL or order_event.status != OrderStatus.FILLED:
+            return
+
+        # * Future Liquidation
+        # * Future Option Exercise
+        # * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
+        self.liquidated += 1
+        if order_event.symbol.security_type == SecurityType.FUTURE_OPTION and self.expected_liquidation_time != self.time:
+            raise AssertionError(f"Expected to liquidate option {order_event.symbol} at {self.expected_liquidation_time}, instead liquidated at {self.time}")
+
+        if order_event.symbol.security_type == SecurityType.FUTURE and \
+            (self.expected_liquidation_time - timedelta(minutes=1)) != self.time and \
+            self.expected_liquidation_time != self.time:
+
+            raise AssertionError(f"Expected to liquidate future {order_event.symbol} at {self.expected_liquidation_time} (+1 minute), instead liquidated at {self.time}")
+
+    def on_end_of_algorithm(self):
+        if not self.invested:
+            raise AssertionError("Never invested in ES futures and FOPs")
+
+        if self.delistings_received != 4:
+            raise AssertionError(f"Expected 4 delisting events received, found: {self.delistings_received}")
+
+        if self.liquidated != 2:
+            raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")