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 *
+
+import itertools
+
+from OptionStrategyFactoryMethodsBaseAlgorithm import *
+
+### <summary>
+### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
+### In this case, the algorithm tests the Iron Condor strategy.
+### </summary>
+class IronCondorStrategyAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
+
+    def expected_orders_count(self) -> int:
+        return 8
+
+    def trade_strategy(self, chain: OptionChain, option_symbol: Symbol) -> None:
+        for expiry, group in itertools.groupby(chain, lambda x: x.expiry):
+            contracts = sorted(group, key=lambda x: x.strike)
+            if len(contracts) < 4:
+                continue
+
+            put_contracts = [x for x in contracts if x.right == OptionRight.PUT]
+            if len(put_contracts) < 2:
+                continue
+            long_put_strike = put_contracts[0].strike
+            short_put_strike = put_contracts[1].strike
+
+            call_contracts = [x for x in contracts if x.right == OptionRight.CALL and x.strike > short_put_strike]
+            if len(call_contracts) < 2:
+                continue
+            short_call_strike = call_contracts[0].strike
+            long_call_strike = call_contracts[1].strike
+
+            self._iron_condor = OptionStrategies.iron_condor(option_symbol, long_put_strike, short_put_strike, short_call_strike, long_call_strike, expiry)
+            self.buy(self._iron_condor, 2)
+            return
+
+    def assert_strategy_position_group(self, position_group: IPositionGroup, option_symbol: Symbol) -> None:
+        positions = list(position_group.positions)
+        if len(positions) != 4:
+            raise AssertionError(f"Expected position group to have 4 positions. Actual: {len(positions)}")
+
+        ordered_strikes = sorted((leg.strike for leg in self._iron_condor.option_legs))
+
+        long_put_strike = ordered_strikes[0]
+        long_put_position = next((x for x in position_group.positions
+                                if x.symbol.id.option_right == OptionRight.PUT and x.symbol.id.strike_price == long_put_strike),
+                               None)
+        if not long_put_position or long_put_position.quantity != 2:
+            raise AssertionError(f"Expected long put position quantity to be 2. Actual: {long_put_position.quantity}")
+
+        short_put_strike = ordered_strikes[1]
+        short_put_position = next((x for x in position_group.positions
+                                 if x.symbol.id.option_right == OptionRight.PUT and x.symbol.id.strike_price == short_put_strike),
+                                None)
+        if not short_put_position or short_put_position.quantity != -2:
+            raise AssertionError(f"Expected short put position quantity to be -2. Actual: {short_put_position.quantity}")
+
+        short_call_strike = ordered_strikes[2]
+        short_call_position = next((x for x in position_group.positions
+                                  if x.symbol.id.option_right == OptionRight.CALL and x.symbol.id.strike_price == short_call_strike),
+                                 None)
+        if not short_call_position or short_call_position.quantity != -2:
+            raise AssertionError(f"Expected short call position quantity to be -2. Actual: {short_call_position.quantity}")
+
+        long_call_strike = ordered_strikes[3]
+        long_call_position = next((x for x in position_group.positions
+                                 if x.symbol.id.option_right == OptionRight.CALL and x.symbol.id.strike_price == long_call_strike),
+                                None)
+        if not long_call_position or long_call_position.quantity != 2:
+            raise AssertionError(f"Expected long call position quantity to be 2. Actual: {long_call_position.quantity}")
+
+    def liquidate_strategy(self) -> None:
+        # We should be able to close the position by selling the strategy
+        self.sell(self._iron_condor, 2)