chore: import upstream snapshot with attribution

Algorithm.Python/IndexOptionModelsConsistencyRegressionAlgorithm.py

@@ -0,0 +1,32 @@
+# 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 *
+
+from OptionModelsConsistencyRegressionAlgorithm import OptionModelsConsistencyRegressionAlgorithm
+
+### <summary>
+### Algorithm asserting that when setting custom models for canonical index options, a one-time warning is sent
+### informing the user that the contracts models are different (not the custom ones).
+### </summary>
+class IndexOptionModelsConsistencyRegressionAlgorithm(OptionModelsConsistencyRegressionAlgorithm):
+
+    def initialize_algorithm(self) -> Security:
+        self.set_start_date(2021, 1, 4)
+        self.set_end_date(2021, 1, 5)
+
+        index = self.add_index("SPX", Resolution.MINUTE)
+        option = self.add_index_option(index.symbol, "SPX", Resolution.MINUTE)
+        option.set_filter(lambda u: u.strikes(-5, +5).expiration(0, 360))
+
+        return option