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>
+### Demonstration of the Option Chain Provider -- a much faster mechanism for manually specifying the option contracts you'd like to recieve
+### data for and manually subscribing to them.
+### </summary>
+### <meta name="tag" content="strategy example" />
+### <meta name="tag" content="options" />
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="selecting options" />
+### <meta name="tag" content="manual selection" />
+
+class OptionChainProviderAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+        self.set_cash(100000)
+        # add the underlying asset
+        self.equity = self.add_equity("GOOG", Resolution.MINUTE)
+        self.equity.set_data_normalization_mode(DataNormalizationMode.RAW)
+        # initialize the option contract with empty string
+        self.contract = str()
+        self.contracts_added = set()
+
+    def on_data(self, data):
+
+        if not self.portfolio[self.equity.symbol].invested:
+            self.market_order(self.equity.symbol, 100)
+
+        if not (self.securities.contains_key(self.contract) and self.portfolio[self.contract].invested):
+            self.contract = self.options_filter(data)
+
+        if self.securities.contains_key(self.contract) and not self.portfolio[self.contract].invested:
+            self.market_order(self.contract, -1)
+
+    def options_filter(self, data):
+        ''' OptionChainProvider gets a list of option contracts for an underlying symbol at requested date.
+            Then you can manually filter the contract list returned by GetOptionContractList.
+            The manual filtering will be limited to the information included in the Symbol
+            (strike, expiration, type, style) and/or prices from a History call '''
+
+        contracts = self.option_chain_provider.get_option_contract_list(self.equity.symbol, data.time)
+        self.underlying_price = self.securities[self.equity.symbol].price
+        # filter the out-of-money call options from the contract list which expire in 10 to 30 days from now on
+        otm_calls = [i for i in contracts if i.id.option_right == OptionRight.CALL and
+                                            i.id.strike_price - self.underlying_price > 0 and
+                                            10 < (i.id.date - data.time).days < 30]
+        if len(otm_calls) > 0:
+            contract = sorted(sorted(otm_calls, key = lambda x: x.id.date),
+                                                     key = lambda x: x.id.strike_price - self.underlying_price)[0]
+            if contract not in self.contracts_added:
+                self.contracts_added.add(contract)
+                # use AddOptionContract() to subscribe the data for specified contract
+                self.add_option_contract(contract, Resolution.MINUTE)
+            return contract
+        else:
+            return str()