chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 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 OptionSplitRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+
+        # this test opens position in the first day of trading, lives through stock split (7 for 1),
+        # and closes adjusted position on the second day
+
+        self.set_cash(1000000)
+        self.set_start_date(2014,6,6)
+        self.set_end_date(2014,6,9)
+
+        option = self.add_option("AAPL")
+
+        # set our strike/expiry filter for this option chain
+        option.set_filter(self.universe_func)
+
+        self.set_benchmark("AAPL")
+        self.contract = None
+
+    def on_data(self, slice):
+        if not self.portfolio.invested:
+            if self.time.hour > 9 and self.time.minute > 0:
+                for kvp in slice.option_chains:
+                    chain = kvp.value
+                    contracts = filter(lambda x: x.strike == 650 and x.right ==  OptionRight.CALL, chain)
+                    sorted_contracts = sorted(contracts, key = lambda x: x.expiry)
+
+                if len(sorted_contracts) > 1:
+                    self.contract = sorted_contracts[1]
+                    self.buy(self.contract.symbol, 1)
+
+        elif self.time.day > 6 and self.time.hour > 14 and self.time.minute > 0:
+            self.liquidate()
+
+        if self.portfolio.invested:
+            options_hold = [x for x in self.portfolio.securities if x.value.holdings.absolute_quantity != 0]
+            holdings = options_hold[0].value.holdings.absolute_quantity
+            if self.time.day == 6 and holdings != 1:
+                self.log("Expected position quantity of 1 but was {0}".format(holdings))
+            if self.time.day == 9 and holdings != 7:
+                self.log("Expected position quantity of 7 but was {0}".format(holdings))
+
+    # 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(365*2))
+
+    def on_order_event(self, order_event):
+        self.log(str(order_event))