chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 datetime import timedelta
+
+### <summary>
+### Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.OptionChain(Symbol)"/> method
+### to get an option chain, which contains additional data besides the symbols, including prices, implied volatility and greeks.
+### It also shows how this data can be used to filter the contracts based on certain criteria.
+### </summary>
+class OptionChainFullDataRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+        self.set_cash(100000)
+
+        goog = self.add_equity("GOOG").symbol
+
+        option_chain = self.option_chain(goog, flatten=True)
+
+        # Demonstration using data frame:
+        df = option_chain.data_frame
+        # Get contracts expiring within 10 days, with an implied volatility greater than 0.5 and a delta less than 0.5
+        contracts = df.loc[(df.expiry <= self.time + timedelta(days=10)) & (df.impliedvolatility > 0.5) & (df.delta < 0.5)]
+
+        # Get the contract with the latest expiration date.
+        # Note: the result of df.loc[] is a series, and its name is a tuple with a single element (contract symbol)
+        self._option_contract = contracts.loc[contracts.expiry.idxmax()].name
+
+        self.add_option_contract(self._option_contract)
+
+    def on_data(self, data):
+        # Do some trading with the selected contract for sample purposes
+        if not self.portfolio.invested:
+            self.market_order(self._option_contract, 1)
+        else:
+            self.liquidate()