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 System.Collections.Generic;
+
+namespace QuantConnect.Securities.Option.StrategyMatcher
+{
+    /// <summary>
+    /// Stub class providing an idea towards an optimal <see cref="IOptionPositionCollectionEnumerator"/> implementation
+    /// that still needs to be implemented.
+    /// </summary>
+    public class AbsoluteRiskOptionPositionCollectionEnumerator : IOptionPositionCollectionEnumerator
+    {
+        private readonly Func<Symbol, decimal> _marketPriceProvider;
+
+        /// <summary>
+        /// Intializes a new instance of the <see cref="AbsoluteRiskOptionPositionCollectionEnumerator"/> class
+        /// </summary>
+        /// <param name="marketPriceProvider">Function providing the current market price for a provided symbol</param>
+        public AbsoluteRiskOptionPositionCollectionEnumerator(Func<Symbol, decimal> marketPriceProvider)
+        {
+            _marketPriceProvider = marketPriceProvider;
+        }
+
+        /// <summary>
+        /// Enumerates the provided <paramref name="positions"/>. Positions enumerated first are more
+        /// likely to be matched than those appearing later in the enumeration.
+        /// </summary>
+        public IEnumerable<OptionPosition> Enumerate(OptionPositionCollection positions)
+        {
+            if (positions.IsEmpty)
+            {
+                yield break;
+            }
+
+            var marketPrice = _marketPriceProvider(positions.Underlying);
+
+            var longPositions = new List<OptionPosition>();
+            var shortPuts = new SortedDictionary<decimal, OptionPosition>();
+            var shortCalls = new SortedDictionary<decimal, OptionPosition>();
+            foreach (var position in positions)
+            {
+                if (!position.Symbol.HasUnderlying)
+                {
+                    yield return position;
+                }
+
+                if (position.Quantity > 0)
+                {
+                    longPositions.Add(position);
+                }
+                else
+                {
+                    switch (position.Right)
+                    {
+                        case OptionRight.Put:
+                            shortPuts.Add(position.Strike, position);
+                            break;
+
+                        case OptionRight.Call:
+                            shortCalls.Add(position.Strike, position);
+                            break;
+
+                        default:
+                            throw new ApplicationException(
+                                "The skies are falling, the oceans rising - you're having a bad time"
+                            );
+                    }
+                }
+            }
+
+            throw new NotImplementedException("This implementation needs to be completed.");
+        }
+    }
+}