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.
+
+#region imports
+from AlgorithmImports import *
+#endregion
+
+class IndexOptionIronCondorAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2019, 9, 1)
+        self.set_end_date(2019, 11, 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, 5).expiration(0, 14))
+        self.spxw = option.symbol
+
+        self._bb = self.bb(index, 10, 2, resolution=Resolution.DAILY)
+        self.warm_up_indicator(index, self._bb)
+
+    def on_data(self, slice: Slice) -> None:
+        if self.portfolio.invested: return
+
+        # Get the OptionChain
+        chain = slice.option_chains.get(self.spxw)
+        if not chain: return
+
+        # Get the closest expiry date
+        expiry = min([x.expiry for x in chain])
+        contracts = [x for x in chain if x.expiry == expiry]
+
+        # Separate the call and put contracts and sort by Strike to find OTM contracts
+        calls = sorted([x for x in contracts if x.right == OptionRight.CALL], key=lambda x: x.strike, reverse=True)
+        puts = sorted([x for x in contracts if x.right == OptionRight.PUT], key=lambda x: x.strike)
+        if len(calls) < 3 or len(puts) < 3: return
+
+        # Create combo order legs
+        price = self._bb.price.current.value
+        quantity = 1
+        if price > self._bb.upper_band.current.value or price < self._bb.lower_band.current.value:
+            quantity = -1
+
+        legs = [
+            Leg.create(calls[0].symbol, quantity),
+            Leg.create(puts[0].symbol, quantity),
+            Leg.create(calls[2].symbol, -quantity),
+            Leg.create(puts[2].symbol, -quantity)
+        ]
+
+        self.combo_market_order(legs, 10, asynchronous=True)