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 *
+
+### <summary>
+### Regression algorithm asserting the behavior of specifying a null position group allowing us to fill orders which would be invalid if not
+### </summary>
+class NullMarginMultipleOrdersRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+        self.set_cash(10000)
+
+        # override security position group model
+        self.portfolio.set_positions(SecurityPositionGroupModel.NULL)
+        # override margin requirements
+        self.set_security_initializer(lambda security: security.set_buying_power_model(ConstantBuyingPowerModel(1)))
+
+        equity = self.add_equity("GOOG", leverage=4, fill_forward=True)
+        option = self.add_option(equity.symbol, fill_forward=True)
+        self._option_symbol = option.symbol
+
+        option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
+
+    def on_data(self, data: Slice):
+        if not self.portfolio.invested:
+            if self.is_market_open(self._option_symbol):
+                chain = data.option_chains.get(self._option_symbol)
+                if chain:
+                    call_contracts = [contract for contract in chain if contract.right == OptionRight.CALL]
+                    call_contracts.sort(key=lambda x: (x.expiry, 1/ x.strike), reverse=True)
+
+                    option_contract = call_contracts[0]
+                    self.market_order(option_contract.symbol.underlying, 1000)
+                    self.market_order(option_contract.symbol, -10)
+
+                    if self.portfolio.total_margin_used != 1010:
+                        raise ValueError(f"Unexpected margin used {self.portfolio.total_margin_used}")