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
@@ -0,0 +1,165 @@
+/*
+ * 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 System.Linq;
+using System.Collections.Generic;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Securities.IndexOption
+{
+    /// <summary>
+    /// Index Option Symbol
+    /// </summary>
+    public static class IndexOptionSymbol
+    {
+        private static readonly Dictionary<string, string> _nonStandardOptionToIndex = new()
+        {
+            { "RUTW", "RUT" },
+            { "SPXW", "SPX" },
+            { "VIXW", "VIX" },
+            { "NDXP", "NDX" },
+            { "NQX", "NDX" },
+        };
+
+        /// <summary>
+        /// These are known assets that are weeklies or end-of-month settled contracts.
+        /// </summary>
+        private static readonly HashSet<string> _nonStandardIndexOptionTickers = new()
+        {
+            // Weeklies
+            "RUTW", // PM-Settled. While RUT AM-Settled on 3rd Fridays
+            "SPXW",
+            "VIXW",
+            // PM-Settled
+            "NDXP",
+            // reduced value index options, 20%
+            "NQX"
+        };
+
+        /// <summary>
+        /// Supported index option tickers
+        /// </summary>
+        public static readonly HashSet<string> SupportedIndexOptionTickers = new string[] { "SPX", "NDX", "VIX", "RUT" }
+            .Union(_nonStandardIndexOptionTickers)
+            .ToHashSet();
+
+        /// <summary>
+        /// Determines if the Index Option Symbol is for a monthly contract
+        /// </summary>
+        /// <param name="symbol">Index Option Symbol</param>
+        /// <returns>True if monthly contract, false otherwise</returns>
+        public static bool IsStandard(Symbol symbol)
+        {
+            if (symbol.ID.Market != Market.USA)
+            {
+                return true;
+            }
+
+            switch (symbol.ID.Symbol)
+            {
+                case "NQX":
+                case "SPXW":
+                case "RUTW":
+                    // they have weeklies and monthly contracts
+                    // NQX https://www.nasdaq.com/docs/NQXFactSheet.pdf
+                    // SPXW https://www.cboe.com/tradable_products/sp_500/spx_weekly_options/specifications/
+                    // RUTW expires every day
+                    return FuturesExpiryUtilityFunctions.ThirdFriday(symbol.ID.Date) == symbol.ID.Date;
+                default:
+                    // NDX/SPX/NQX/VIX/VIXW/NDXP/RUT are all normal contracts
+                    return true;
+            }
+        }
+
+        /// <summary>
+        /// Returns true if the index option is AM settled
+        /// </summary>
+        public static bool IsAMSettled(Symbol symbol)
+        {
+            return !_nonStandardIndexOptionTickers.Contains(symbol.ID.Symbol.LazyToUpper());
+        }
+
+        /// <summary>
+        /// Checks if the ticker provided is a supported Index Option
+        /// </summary>
+        /// <param name="ticker">Ticker of the index option</param>
+        /// <returns>true if the ticker matches an index option's ticker</returns>
+        /// <remarks>
+        /// This is only used in IB brokerage, since they don't distinguish index options
+        /// from regular equity options. When we do the conversion from a contract to a SecurityType,
+        /// the only information we're provided that can reverse it to the <see cref="SecurityType.IndexOption"/>
+        /// enum value is the ticker.
+        /// </remarks>
+        public static bool IsIndexOption(string ticker)
+        {
+            return SupportedIndexOptionTickers.Contains(ticker.LazyToUpper());
+        }
+
+        /// <summary>
+        /// Maps an index option ticker to its underlying index ticker
+        /// </summary>
+        /// <param name="indexOption">Index option ticker to map to the underlying</param>
+        /// <returns>Index ticker</returns>
+        public static string MapToUnderlying(string indexOption)
+        {
+            if (_nonStandardOptionToIndex.TryGetValue(indexOption.LazyToUpper(), out var index))
+            {
+                return index;
+            }
+
+            return indexOption;
+        }
+
+        /// <summary>
+        /// Returns the last trading date for the given index option ticker and expiration date
+        /// </summary>
+        /// <remarks>This is useful for IB brokerage</remarks>
+        public static DateTime GetLastTradingDate(string ticker, DateTime expirationDate)
+        {
+            return expirationDate.AddDays(-GetExpirationOffset(ticker));
+        }
+
+        /// <summary>
+        /// Returns the expiry date for the given index option ticker and last trading date
+        /// </summary>
+        /// <remarks>This is useful for IB brokerage</remarks>
+        public static DateTime GetExpiryDate(string ticker, DateTime lastTradingDate)
+        {
+            return lastTradingDate.AddDays(GetExpirationOffset(ticker));
+        }
+
+        /// <summary>
+        /// Some index options last tradable date is the previous day to the expiration
+        /// https://www.cboe.com/tradable_products/vix/vix_options/specifications/
+        /// https://www.cboe.com/tradable_products/ftse_russell/russell_2000_index_options/rut_specifications
+        /// </summary>
+        private static int GetExpirationOffset(string ticker)
+        {
+            switch (ticker)
+            {
+                case "SPX":
+                case "NDX":
+                case "VIX":
+                case "VIXW":
+                case "RUT":
+                    return 1;
+                default:
+                    // SPXW, NQX, NDXP, RUTW
+                    return 0;
+            }
+        }
+    }
+}