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 example demonstrates how to override the option pricing model with the
+### <see cref="QLOptionPriceModel"/> for a given option security.
+### </summary>
+class QLOptionPricingModelRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+        self.set_cash(100000)
+
+        equity = self.add_equity("GOOG")
+        self._option = self.add_option(equity.symbol)
+        self._option.set_filter(lambda u: u.strikes(-2, +2).expiration(0, 180))
+
+        # Set the option price model to the default QL model
+        self._option.set_price_model(QLOptionPriceModelProvider.INSTANCE.get_option_price_model(self._option.symbol))
+
+        if not isinstance(self._option.price_model, QLOptionPriceModel):
+            raise Exception("Option pricing model was not set to QLOptionPriceModel, which should be the default")
+
+        self._checked = False
+
+    def on_data(self, slice):
+        if self._checked:
+            return;
+
+        chain = slice.option_chains.get(self._option.symbol)
+        if chain is not None:
+            if not isinstance(self._option.price_model, QLOptionPriceModel):
+                raise Exception("Option pricing model was not set to QLOptionPriceModel");
+
+            for contract in chain:
+                theoretical_price = contract.theoretical_price
+                iv = contract.implied_volatility
+                greeks = contract.greeks
+                self.log(f"{contract.symbol}:: Theoretical Price: {theoretical_price}, IV: {iv}, " +
+                       f"Delta: {greeks.delta}, Gamma: {greeks.gamma}, Vega: {greeks.vega}, " +
+                       f"Theta: {greeks.theta}, Rho: {greeks.rho}, Lambda: {greeks.lambda_}")
+                self._checked = True
+
+    def on_end_of_algorithm(self):
+        if not self._checked:
+            raise Exception("Option chain was never received.")