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 to test the OptionChainedUniverseSelectionModel class
+### </summary>
+class OptionChainedUniverseSelectionModelRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.universe_settings.resolution = Resolution.MINUTE
+        self.set_start_date(2014, 6, 6)
+        self.set_end_date(2014, 6, 6)
+        self.set_cash(100000)
+
+        universe = self.add_universe("my-minute-universe-name", lambda time: [ "AAPL", "TWX" ])
+        self.add_universe_selection(
+            OptionChainedUniverseSelectionModel(
+                universe,
+                lambda u: (u.standards_only().strikes(-2, +2)
+                                     # Expiration method accepts TimeSpan objects or integer for days.
+                                     # The following statements yield the same filtering criteria
+                                     .expiration(0, 180))
+            )
+        )
+
+    def on_data(self, slice):
+        if self.portfolio.invested or not (self.is_market_open("AAPL") and self.is_market_open("TWX")): return
+        values = list(map(lambda x: x.value, filter(lambda x: x.key == "?AAPL" or x.key == "?TWX",  slice.option_chains)))
+        for chain in values:
+            # we sort the contracts to find at the money (ATM) contract with farthest expiration
+            contracts = sorted(sorted(sorted(chain, \
+                key = lambda x: abs(chain.underlying.price - x.strike)), \
+                key = lambda x: x.expiry, reverse=True), \
+                key = lambda x: x.right, reverse=True)
+
+            # if found, trade it
+            if len(contracts) == 0: return
+            symbol = contracts[0].symbol
+            self.market_order(symbol, 1)
+            self.market_on_close_order(symbol, -1)