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 IndexOptionCallCalendarSpreadAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2020, 1, 1)
+        self.set_end_date(2021, 1, 1)
+        self.set_cash(50000)
+
+        self.vxz = self.add_equity("VXZ", Resolution.MINUTE).symbol
+        self.spy = self.add_equity("SPY", Resolution.MINUTE).symbol
+
+        index = self.add_index("VIX", Resolution.MINUTE).symbol
+        option = self.add_index_option(index, "VIXW", Resolution.MINUTE)
+        option.set_filter(lambda x: x.strikes(-2, 2).expiration(15, 45))
+        
+        self.vixw = option.symbol
+        self.multiplier = option.symbol_properties.contract_multiplier
+        self.legs = []
+        self.expiry = datetime.max
+
+    def on_data(self, slice: Slice) -> None:
+        # Liquidate if the shorter term option is about to expire
+        if self.expiry < self.time + timedelta(2) and all([slice.contains_key(x.symbol) for x in self.legs]):
+            self.liquidate()
+        # Return if there is any opening position
+        elif [leg for leg in self.legs if self.portfolio[leg.symbol].invested]:
+            return
+
+        # Get the OptionChain
+        chain = slice.option_chains.get(self.vixw)
+        if not chain: return
+
+        # Get ATM strike price
+        strike = sorted(chain, key = lambda x: abs(x.strike - chain.underlying.value))[0].strike
+        
+        # Select the ATM call Option contracts and sort by expiration date
+        calls = sorted([i for i in chain if i.strike == strike and i.right == OptionRight.CALL], 
+                        key=lambda x: x.expiry)
+        if len(calls) < 2: return
+        self.expiry = calls[0].expiry
+
+        # Create combo order legs
+        self.legs = [
+            Leg.create(calls[0].symbol, -1),
+            Leg.create(calls[-1].symbol, 1),
+            Leg.create(self.vxz, -100),
+            Leg.create(self.spy, -10)
+        ]
+        quantity = self.portfolio.total_portfolio_value // \
+            sum([abs(self.securities[x.symbol].price * x.quantity * 
+                 (self.multiplier if x.symbol.id.security_type == SecurityType.INDEX_OPTION else 1))
+                 for x in self.legs])
+        self.combo_market_order(self.legs, -quantity, asynchronous=True)