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.Collections.Generic;
+
+namespace QuantConnect.Securities.Option.StrategyMatcher
+{
+    /// <summary>
+    /// Matches <see cref="OptionPositionCollection"/> against a collection of <see cref="OptionStrategyDefinition"/>
+    /// according to the <see cref="OptionStrategyMatcherOptions"/> provided.
+    /// </summary>
+    public class OptionStrategyMatcher
+    {
+        /// <summary>
+        /// Specifies options controlling how the matcher operates
+        /// </summary>
+        public OptionStrategyMatcherOptions Options { get; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="OptionStrategyMatcher"/> class
+        /// </summary>
+        /// <param name="options">Specifies definitions and other options controlling the matcher</param>
+        public OptionStrategyMatcher(OptionStrategyMatcherOptions options)
+        {
+            Options = options;
+        }
+
+        // TODO : Implement matching multiple permutations and using the objective function to select the best solution
+
+        /// <summary>
+        /// Using the definitions provided in <see cref="Options"/>, attempts to match all <paramref name="positions"/>.
+        /// The resulting <see cref="OptionStrategyMatch"/> presents a single, valid solution for matching as many positions
+        /// as possible.
+        /// </summary>
+        public OptionStrategyMatch MatchOnce(OptionPositionCollection positions)
+        {
+            // these definitions are enumerated according to the configured IOptionStrategyDefinitionEnumerator
+
+            var strategies = new List<OptionStrategy>();
+            foreach (var definition in Options.Definitions)
+            {
+                // simplest implementation here is to match one at a time, updating positions in between
+                // a better implementation would be to evaluate all possible matches and make decisions
+                // prioritizing positions that would require more margin if not matched
+
+                OptionStrategyDefinitionMatch match;
+                while (definition.TryMatchOnce(Options, positions, out match))
+                {
+                    positions = match.RemoveFrom(positions);
+                    strategies.Add(match.CreateStrategy());
+                }
+
+                if (positions.IsEmpty)
+                {
+                    break;
+                }
+            }
+
+            return new OptionStrategyMatch(strategies);
+        }
+    }
+}