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>
+    /// Provides an implementation of <see cref="IOptionStrategyLegPredicateReferenceValue"/> that references an option
+    /// leg from the list of already matched legs by index. The property referenced is defined by <see cref="PredicateTargetValue"/>
+    /// </summary>
+    public class OptionStrategyLegPredicateReferenceValue : IOptionStrategyLegPredicateReferenceValue
+    {
+        private readonly int _index;
+
+        /// <summary>
+        /// Gets the target of this value
+        /// </summary>
+        public PredicateTargetValue Target { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="IOptionStrategyLegPredicateReferenceValue"/> class
+        /// </summary>
+        /// <param name="index">The legs list index</param>
+        /// <param name="target">The property value being referenced</param>
+        public OptionStrategyLegPredicateReferenceValue(int index, PredicateTargetValue target)
+        {
+            _index = index;
+            Target = target;
+        }
+
+        /// <summary>
+        /// Resolves the value of the comparand specified in an <see cref="OptionStrategyLegPredicate"/>.
+        /// For example, the predicate may include ... > legs[0].Strike, and upon evaluation, we need to
+        /// be able to extract leg[0].Strike for the currently contemplated set of legs adhering to a
+        /// strategy's definition.
+        /// </summary>
+        public object Resolve(IReadOnlyList<OptionPosition> legs)
+        {
+            if (_index >= legs.Count)
+            {
+                throw new InvalidOperationException(
+                    $"OptionStrategyLegPredicateReferenceValue[{_index}] is unable to be resolved. Only {legs.Count} legs were provided."
+                );
+            }
+
+            var leg = legs[_index];
+            switch (Target)
+            {
+                case PredicateTargetValue.Right:      return leg.Right;
+                case PredicateTargetValue.Strike:     return leg.Strike;
+                case PredicateTargetValue.Expiration: return leg.Expiration;
+                default:
+                    throw new ArgumentOutOfRangeException();
+            }
+        }
+    }
+}