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 QuantConnect.Orders;
+
+namespace QuantConnect.Securities.Option
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="ISecurityPortfolioModel"/> for options that supports
+    /// default fills as well as option exercising.
+    /// </summary>
+    public class OptionPortfolioModel : SecurityPortfolioModel
+    {
+        /// <summary>
+        /// Performs application of an OrderEvent to the portfolio
+        /// </summary>
+        /// <param name="portfolio">The algorithm's portfolio</param>
+        /// <param name="security">Option security</param>
+        /// <param name="fill">The order event fill object to be applied</param>
+        public override void ProcessFill(SecurityPortfolioManager portfolio, Security security, OrderEvent fill)
+        {
+            if (fill.Ticket.OrderType == OrderType.OptionExercise)
+            {
+                base.ProcessFill(portfolio, portfolio.Securities[fill.Symbol], fill);
+                // Update the order event message with the P&L
+                UpdateExerciseOrderEventMessage(security, fill);
+            }
+            else
+            {
+                // we delegate the call to the base class (default behavior)
+                base.ProcessFill(portfolio, security, fill);
+            }
+        }
+
+        private static void UpdateExerciseOrderEventMessage(Security security, OrderEvent fill)
+        {
+            var lastTradeProfit = security.Holdings.LastTradeProfit;
+            var message = "";
+            if (lastTradeProfit >= 0)
+            {
+                message += $". Profit: +{lastTradeProfit.ToStringInvariant()}";
+            }
+            else
+            {
+                message += $". Loss: {lastTradeProfit.ToStringInvariant()}";
+            }
+            fill.Message = fill.Message + message;
+        }
+
+        /// <summary>
+        /// Helper method to determine the close trade profit
+        /// </summary>
+        /// <remarks>For SettlementType.Cash we apply funds and add in the result to the profit</remarks>
+        protected override ConvertibleCashAmount ProcessCloseTradeProfit(SecurityPortfolioManager portfolio, Security security, OrderEvent fill)
+        {
+            var baseResult = base.ProcessCloseTradeProfit(portfolio, security, fill);
+
+            var ticket = fill.Ticket;
+            if (ticket.OrderType == OrderType.OptionExercise && security.Symbol.SecurityType.IsOption())
+            {
+                var option = (Option)security;
+                if (option.ExerciseSettlement == SettlementType.Cash)
+                {
+                    var underlying = option.Underlying;
+                    var optionQuantity = fill.Ticket.Quantity;
+                    var cashQuantity = -option.GetIntrinsicValue(underlying.Close) * option.ContractUnitOfTrade * optionQuantity;
+                    if (cashQuantity != decimal.Zero)
+                    {
+                        security.SettlementModel.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, fill.UtcTime, new CashAmount(cashQuantity, option.QuoteCurrency.Symbol), fill));
+                        return new ConvertibleCashAmount(cashQuantity + baseResult.Amount, option.QuoteCurrency);
+                    }
+                }
+            }
+            return baseResult;
+        }
+    }
+}