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.
+
+import itertools
+from AlgorithmImports import *
+
+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 Straddle and Short Straddle strategies.
+### </summary>
+class LongAndShortStraddleStrategiesAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
+
+    def expected_orders_count(self) -> int:
+        return 4
+
+    def trade_strategy(self, chain: OptionChain, option_symbol: Symbol):
+        contracts = sorted(sorted(chain, key=lambda x: abs(chain.underlying.price - x.strike)),
+                           key=lambda x: x.expiry, reverse=True)
+        grouped_contracts = [list(group) for _, group in itertools.groupby(contracts, lambda x: (x.strike, x.expiry))]
+        filtered_grouped_contracts = (group
+                            for group in grouped_contracts
+                            if (any(contract.right == OptionRight.CALL for contract in group) and
+                                any(contract.right == OptionRight.PUT for contract in group)))
+        contracts = next(filtered_grouped_contracts, [])
+
+        if len(contracts) == 0:
+            return
+
+        contract = contracts[0]
+        if contract is not None:
+            self._straddle = OptionStrategies.straddle(option_symbol, contract.strike, contract.expiry)
+            self._short_straddle = OptionStrategies.short_straddle(option_symbol, contract.strike, contract.expiry)
+            self.buy(self._straddle, 2)
+
+    def assert_strategy_position_group(self, position_group: IPositionGroup, option_symbol: Symbol):
+        positions = list(position_group.positions)
+        if len(positions) != 2:
+            raise AssertionError(f"Expected position group to have 2 positions. Actual: {len(positions)}")
+
+        call_position = next((position for position in positions if position.symbol.id.option_right == OptionRight.CALL), None)
+        if call_position is None:
+            raise AssertionError("Expected position group to have a call position")
+
+        put_position = next((position for position in positions if position.symbol.id.option_right == OptionRight.PUT), None)
+        if put_position is None:
+            raise AssertionError("Expected position group to have a put position")
+
+        expected_call_position_quantity = 2
+        expected_put_position_quantity = 2
+
+        if call_position.quantity != expected_call_position_quantity:
+            raise AssertionError(f"Expected call position quantity to be {expected_call_position_quantity}. Actual: {call_position.quantity}")
+
+        if put_position.quantity != expected_put_position_quantity:
+            raise AssertionError(f"Expected put position quantity to be {expected_put_position_quantity}. Actual: {put_position.quantity}")
+
+    def liquidate_strategy(self):
+        # We should be able to close the position using the inverse strategy (a short straddle)
+        self.buy(self._short_straddle, 2)