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 *
+
+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 Naked Put strategy.
+### </summary>
+class NakedPutStrategyAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
+
+    def expected_orders_count(self) -> int:
+        return 2
+
+    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)
+
+        if len(contracts) == 0: return
+        contract = contracts[0]
+        if contract != None:
+            self._naked_put = OptionStrategies.naked_put(option_symbol, contract.strike, contract.expiry)
+            self.buy(self._naked_put, 2)
+
+    def assert_strategy_position_group(self, position_group: IPositionGroup, option_symbol: Symbol):
+        positions = list(position_group.positions)
+        if len(positions) != 1:
+            raise AssertionError(f"Expected position group to have 1 positions. Actual: {len(positions)}")
+
+        option_position = [position for position in positions if position.symbol.security_type == SecurityType.OPTION][0]
+        if option_position.symbol.id.option_right != OptionRight.PUT:
+            raise AssertionError(f"Expected option position to be a put. Actual: {option_position.symbol.id.option_right}")
+
+        expected_option_position_quantity = -2
+
+        if option_position.quantity != expected_option_position_quantity:
+            raise AssertionError(f"Expected option position quantity to be {expected_option_position_quantity}. Actual: {option_position.quantity}")
+
+    def liquidate_strategy(self):
+        # Now we can liquidate by selling the strategy
+        self.sell(self._naked_put, 2)