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.
+ *
+*/
+
+using System.Collections.Generic;
+using QuantConnect.Orders.Fees;
+using QuantConnect.Securities.Option;
+using static QuantConnect.Extensions;
+
+namespace QuantConnect.Orders.OptionExercise
+{
+    /// <summary>
+    /// Represents the default option exercise model (physical, cash settlement)
+    /// </summary>
+    public class DefaultExerciseModel : IOptionExerciseModel
+    {
+        /// <summary>
+        /// Default option exercise model for the basic equity/index option security class.
+        /// </summary>
+        /// <param name="option">Option we're trading this order</param>
+        /// <param name="order">Order to update</param>
+        public virtual IEnumerable<OrderEvent> OptionExercise(Option option, OptionExerciseOrder order)
+        {
+            var underlying = option.Underlying;
+            var utcTime = option.LocalTime.ConvertToUtc(option.Exchange.TimeZone);
+
+            var inTheMoney = option.IsAutoExercised(underlying.Close);
+            var isAssignment = inTheMoney && option.Holdings.IsShort;
+
+            yield return new OrderEvent(
+                order.Id,
+                option.Symbol,
+                utcTime,
+                OrderStatus.Filled,
+                GetOrderDirection(order.Quantity),
+                0.0m,
+                order.Quantity,
+                OrderFee.Zero,
+                Messages.DefaultExerciseModel.ContractHoldingsAdjustmentFillTag(inTheMoney, isAssignment, option)
+            )
+            {
+                IsAssignment = isAssignment,
+                IsInTheMoney = inTheMoney
+            };
+
+            // TODO : Support Manual Exercise of OTM contracts [ inTheMoney = false ]
+            if (inTheMoney && option.ExerciseSettlement == SettlementType.PhysicalDelivery)
+            {
+                var exerciseQuantity = option.GetExerciseQuantity(order.Quantity);
+
+                yield return new OrderEvent(
+                    order.Id,
+                    underlying.Symbol,
+                    utcTime,
+                    OrderStatus.Filled,
+                    GetOrderDirection(exerciseQuantity),
+                    option.StrikePrice,
+                    exerciseQuantity,
+                    OrderFee.Zero,
+                    isAssignment ? Messages.DefaultExerciseModel.OptionAssignment : Messages.DefaultExerciseModel.OptionExercise
+                ) { IsInTheMoney = true };
+            }
+        }
+    }
+}