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 *
+
+class IndexOptionBearPutSpreadAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2022, 1, 1)
+        self.set_end_date(2022, 7, 1)
+        self.set_cash(100000)
+
+        index = self.add_index("SPX", Resolution.MINUTE).symbol
+        option = self.add_index_option(index, "SPXW", Resolution.MINUTE)
+        option.set_filter(lambda x: x.weeklys_only().strikes(5, 10).expiration(0, 0))
+        
+        self.spxw = option.symbol
+        self.tickets = []
+
+    def on_data(self, slice: Slice) -> None:
+        # Return if open position exists
+        if any([self.portfolio[x.symbol].invested for x in self.tickets]):
+            return
+
+        # Get option chain
+        chain = slice.option_chains.get(self.spxw)
+        if not chain: return
+
+        # Get the nearest expiry date of the contracts
+        expiry = min([x.expiry for x in chain])
+        
+        # Select the put Option contracts with the nearest expiry and sort by strike price
+        puts = sorted([i for i in chain if i.expiry == expiry and i.right == OptionRight.PUT], 
+                        key=lambda x: x.strike)
+        if len(puts) < 2: return
+
+        # Buy the bear put spread
+        bear_put_spread = OptionStrategies.bear_put_spread(self.spxw, puts[-1].strike, puts[0].strike, expiry)
+        self.tickets = self.buy(bear_put_spread, 1)