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>
+### This is an option split regression algorithm
+### </summary>
+### <meta name="tag" content="options" />
+### <meta name="tag" content="regression test" />
+class OptionRenameRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+
+        self.set_cash(1000000)
+        self.set_start_date(2013,6,28)
+        self.set_end_date(2013,7,2)
+        option = self.add_option("TFCFA")
+
+        # set our strike/expiry filter for this option chain
+        option.set_filter(-1, 1, timedelta(0), timedelta(3650))
+        # use the underlying equity as the benchmark
+        self.set_benchmark("TFCFA")
+
+    def on_data(self, slice):
+        ''' Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
+        <param name="slice">The current slice of data keyed by symbol string</param> '''
+        if not self.portfolio.invested: 
+            for kvp in slice.option_chains:
+                chain = kvp.value
+                if self.time.day == 28 and self.time.hour > 9 and self.time.minute > 0:
+    
+                    contracts = [i for i in sorted(chain, key=lambda x:x.expiry) 
+                                         if i.right ==  OptionRight.CALL and 
+                                            i.strike == 33 and
+                                            i.expiry.date() == datetime(2013,8,17).date()]
+                    if contracts:
+                        # Buying option
+                        contract = contracts[0]
+                        self.buy(contract.symbol, 1)
+                        # Buy the undelying stock
+                        underlying_symbol = contract.symbol.underlying
+                        self.buy (underlying_symbol, 100)
+                        # check
+                        if float(contract.ask_price) != 1.1:
+                            raise ValueError("Regression test failed: current ask price was not loaded from NWSA backtest file and is not $1.1")
+        elif self.time.day == 2 and self.time.hour > 14 and self.time.minute > 0:
+            for kvp in slice.option_chains:
+                chain = kvp.value
+                self.liquidate()
+                contracts = [i for i in sorted(chain, key=lambda x:x.expiry) 
+                                        if i.right ==  OptionRight.CALL and 
+                                           i.strike == 33 and
+                                           i.expiry.date() == datetime(2013,8,17).date()]
+            if contracts:
+                contract = contracts[0]
+                self.log("Bid Price" + str(contract.bid_price))
+                if float(contract.bid_price) != 0.05:
+                    raise ValueError("Regression test failed: current bid price was not loaded from FOXA file and is not $0.05")
+
+    def on_order_event(self, order_event):
+        self.log(str(order_event))