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.
+*/
+
+using System;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Orders
+{
+    /// <summary>
+    /// Option exercise order type definition
+    /// </summary>
+    public class OptionExerciseOrder : Order
+    {
+        /// <summary>
+        /// Added a default constructor for JSON Deserialization:
+        /// </summary>
+        public OptionExerciseOrder()
+        {
+        }
+
+        /// <summary>
+        /// New option exercise order constructor. We model option exercising as an underlying asset long/short order with strike equal to limit price.
+        /// This means that by exercising a call we get into long asset position, by exercising a put we get into short asset position.
+        /// </summary>
+        /// <param name="symbol">Option symbol we're seeking to exercise</param>
+        /// <param name="quantity">Quantity of the option we're seeking to exercise. Must be a positive value.</param>
+        /// <param name="time">Time the order was placed</param>
+        /// <param name="tag">User defined data tag for this order</param>
+        /// <param name="properties">The order properties for this order</param>
+        public OptionExerciseOrder(Symbol symbol, decimal quantity, DateTime time, string tag = "", IOrderProperties properties = null)
+            : base(symbol, quantity, time, tag, properties)
+        {
+        }
+
+        /// <summary>
+        /// Option Exercise Order Type
+        /// </summary>
+        public override OrderType Type
+        {
+            get { return OrderType.OptionExercise; }
+        }
+
+        /// <summary>
+        /// Gets the order value in option contracts quoted in options's currency
+        /// </summary>
+        /// <param name="security">The security matching this order's symbol</param>
+        protected override decimal GetValueImpl(Security security)
+        {
+            var option = (Option)security;
+
+            return option.GetExerciseQuantity(Quantity) * Price  / option.SymbolProperties.ContractMultiplier;
+        }
+
+        /// <summary>
+        /// Creates a deep-copy clone of this order
+        /// </summary>
+        /// <returns>A copy of this order</returns>
+        public override Order Clone()
+        {
+            var order = new OptionExerciseOrder();
+            CopyTo(order);
+            return order;
+        }
+    }
+}