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
@@ -0,0 +1,66 @@
+# 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 tests option exercise and assignment functionality
+### We open two positions and go with them into expiration. We expect to see our long position exercised and short position assigned.
+### </summary>
+### <meta name="tag" content="regression test" />
+### <meta name="tag" content="options" />
+class OptionExerciseAssignRegressionAlgorithm(QCAlgorithm):
+
+    underlying_ticker = "GOOG"
+
+    def initialize(self):
+        self.set_cash(100000)
+        self.set_start_date(2015,12,24)
+        self.set_end_date(2015,12,28)
+
+        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)
+        self._assigned_option = False
+
+    def on_data(self, slice):
+        if self.portfolio.invested: return
+        for kvp in slice.option_chains:
+            chain = kvp.value
+            # find the call options expiring today
+            contracts = filter(lambda x:
+                               x.expiry.date() == self.time.date() and
+                               x.strike < chain.underlying.price and
+                               x.right == OptionRight.CALL, chain)
+            
+            # sorted the contracts by their strikes, find the second strike under market price 
+            sorted_contracts = sorted(contracts, key = lambda x: x.strike, reverse = True)[:2]
+
+            if sorted_contracts:
+                self.market_order(sorted_contracts[0].symbol, 1)
+                self.market_order(sorted_contracts[1].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))
+
+    def on_assignment_order_event(self, assignment_event):
+        self.log(str(assignment_event))
+        self._assigned_option = True