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>
+### Verifies that weekly option contracts are included when no standard contracts are available.
+### </summary>
+class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+
+        self.option = self.add_option("GOOG")
+        self.option_symbol = self.option.Symbol
+
+        self.option.set_filter(lambda u: u.strikes(-8, 8).expiration(0, 0))
+
+        self.weekly_count = 0
+        self.total_count = 0
+
+    def on_data(self, data):
+        chain = data.option_chains.get(self.option_symbol)
+        if chain:
+            self.total_count += len(chain.contracts)
+            for contract in chain.contracts.values():
+                if not OptionSymbol.is_standard(contract.symbol):
+                    self.weekly_count += 1
+    
+    def on_end_of_algorithm(self):
+        if self.weekly_count == 0:
+            raise RegressionTestException("No weekly contracts found")
+        
+        if self.total_count != self.weekly_count:
+            raise RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts only")