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 +1,83 @@
+# 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>
+### Base regression algorithm exercising different style options with option price models that might
+### or might not support them. Also, if the option style is supported, greeks are asserted to be accesible and have valid values.
+### </summary>
+class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
+    def __init__(self) -> None:
+        super().__init__()
+        self._option_style_is_supported = False
+        self._check_greeks = True
+        self._tried_greeks_calculation = False
+        self._option = None
+
+    def on_data(self, slice: Slice) -> None:
+        if self.is_warming_up:
+            return
+
+        for kvp in slice.option_chains:
+            if not self._option or kvp.key != self._option.symbol:
+                continue
+
+            self.check_greeks([contract for contract in kvp.value])
+
+    def on_end_of_day(self, symbol: Symbol) -> None:
+        self._check_greeks = True
+
+    def on_end_of_algorithm(self) -> None:
+        if not self._tried_greeks_calculation:
+            raise AssertionError("Expected greeks to be accessed")
+
+    def init(self, option: Option, option_style_is_supported: bool) -> None:
+        self._option = option
+        self._option_style_is_supported = option_style_is_supported
+        self._check_greeks = True
+        self._tried_greeks_calculation = False
+
+    def check_greeks(self, contracts: list[OptionContract]) -> None:
+        if not self._check_greeks or len(contracts) == 0 or not self._option:
+            return
+
+        self._check_greeks = False
+        self._tried_greeks_calculation = True
+
+        for contract in contracts:
+            greeks = None
+            try:
+                greeks = contract.greeks
+
+                # Greeks should have not been successfully accessed if the option style is not supported
+                option_style_str = 'American' if self._option.style == OptionStyle.AMERICAN else 'European'
+                if not self._option_style_is_supported:
+                    raise AssertionError(f'Expected greeks not to be calculated for {contract.symbol.value}, an {option_style_str} style option, using {type(self._option.price_model).__name__}, which does not support them, but they were')
+            except ArgumentException:
+                # ArgumentException is only expected if the option style is not supported
+                if self._option_style_is_supported:
+                    raise AssertionError(f'Expected greeks to be calculated for {contract.symbol.value}, an {option_style_str} style option, using {type(self._option.price_model).__name__}, which supports them, but they were not')
+
+            # Greeks should be valid if they were successfuly accessed for supported option style
+            # Delta can be {-1, 0, 1} if the price is too wild, rho can be 0 if risk free rate is 0
+            # Vega can be 0 if the price is very off from theoretical price, Gamma = 0 if Delta belongs to {-1, 1}
+            if (self._option_style_is_supported
+                and (not greeks
+                    or ((contract.right == OptionRight.CALL and (greeks.delta < 0.0 or greeks.delta > 1.0 or greeks.rho < 0.0))
+                        or (contract.right == OptionRight.PUT and (greeks.delta < -1.0 or greeks.delta > 0.0 or greeks.rho > 0.0))
+                        or greeks.theta == 0.0 or greeks.vega < 0.0 or greeks.gamma < 0.0))):
+                raise AssertionError(f'Expected greeks to have valid values. Greeks were: Delta: {greeks.delta}, Rho: {greeks.rho}, Theta: {greeks.theta}, Vega: {greeks.vega}, Gamma: {greeks.gamma}')
+
+
+