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>
+### This regression algorithm checks if all the option chain data coming to the algo is consistent with current securities manager state
+### </summary>
+### <meta name="tag" content="regression test" />
+### <meta name="tag" content="options" />
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="filter selection" />
+class OptionChainConsistencyRegressionAlgorithm(QCAlgorithm):
+
+    underlying_ticker = "GOOG"
+
+    def initialize(self):
+
+        self.set_cash(10000)
+        self.set_start_date(2015,12,24)
+        self.set_end_date(2015,12,24)
+
+        self.equity = self.add_equity(self.underlying_ticker)
+        self.option = self.add_option(self.underlying_ticker)
+
+        # set our strike/expiry filter for this option chain
+        self.option.set_filter(self.universe_func)
+
+        self.set_benchmark(self.equity.symbol)
+
+    def on_data(self, slice):
+        if self.portfolio.invested: return
+        for kvp in slice.option_chains:
+            chain = kvp.value
+            for o in chain:
+                if not self.securities.contains_key(o.symbol):
+                    self.log("Inconsistency found: option chains contains contract {0} that is not available in securities manager and not available for trading".format(o.symbol.value))           
+
+            contracts = filter(lambda x: x.expiry.date() == self.time.date() and
+                                         x.strike < chain.underlying.price and
+                                         x.right == OptionRight.CALL, chain)
+
+            sorted_contracts = sorted(contracts, key = lambda x: x.strike, reverse = True)
+
+            if len(sorted_contracts) > 2:
+                self.market_order(sorted_contracts[2].symbol, 1)
+                self.market_on_close_order(sorted_contracts[2].symbol, -1)
+
+    # set our strike/expiry filter for this option chain
+    def universe_func(self, universe):
+        return universe.include_weeklys().strikes(-2, 2).expiration(timedelta(0), timedelta(10))
+
+    def on_order_event(self, order_event):
+        self.log(str(order_event))