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 QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.Auxiliary;
+
+namespace QuantConnect.Lean.Engine.DataFeeds
+{
+    /// <summary>
+    /// An implementation of <see cref="IOptionChainProvider"/> that reads the list of contracts from open interest zip data files
+    /// </summary>
+    public class BacktestingOptionChainProvider : BacktestingChainProvider, IOptionChainProvider
+    {
+        /// <summary>
+        /// Gets the list of option contracts for a given underlying symbol
+        /// </summary>
+        /// <param name="symbol">The option or the underlying symbol to get the option chain for.
+        /// Providing the option allows targeting an option ticker different than the default e.g. SPXW</param>
+        /// <param name="date">The date for which to request the option chain (only used in backtesting)</param>
+        /// <returns>The list of option contracts</returns>
+        public virtual IEnumerable<Symbol> GetOptionContractList(Symbol symbol, DateTime date)
+        {
+            Symbol canonicalSymbol;
+            if (!symbol.SecurityType.HasOptions())
+            {
+                // we got an option
+                if (symbol.SecurityType.IsOption() && symbol.Underlying != null)
+                {
+                    canonicalSymbol = GetCanonical(symbol, date);
+                }
+                else
+                {
+                    throw new NotSupportedException($"BacktestingOptionChainProvider.GetOptionContractList(): " +
+                        $"{nameof(SecurityType.Equity)}, {nameof(SecurityType.Future)}, or {nameof(SecurityType.Index)} is expected but was {symbol.SecurityType}");
+                }
+            }
+            else
+            {
+                // we got the underlying
+                var mappedUnderlyingSymbol = MapUnderlyingSymbol(symbol, date);
+                canonicalSymbol = Symbol.CreateCanonicalOption(mappedUnderlyingSymbol);
+            }
+
+            return GetSymbols(canonicalSymbol, date);
+        }
+
+        private Symbol GetCanonical(Symbol optionSymbol, DateTime date)
+        {
+            // Resolve any mapping before requesting option contract list for equities
+            // Needs to be done in order for the data file key to be accurate
+            if (optionSymbol.Underlying.RequiresMapping())
+            {
+                var mappedUnderlyingSymbol = MapUnderlyingSymbol(optionSymbol.Underlying, date);
+
+                return Symbol.CreateCanonicalOption(mappedUnderlyingSymbol);
+            }
+            else
+            {
+                return optionSymbol.Canonical;
+            }
+        }
+
+        private Symbol MapUnderlyingSymbol(Symbol underlying, DateTime date)
+        {
+            if (underlying.RequiresMapping())
+            {
+                var mapFileResolver = MapFileProvider.Get(AuxiliaryDataKey.Create(underlying));
+                var mapFile = mapFileResolver.ResolveMapFile(underlying);
+                var ticker = mapFile.GetMappedSymbol(date, underlying.Value);
+                return underlying.UpdateMappedSymbol(ticker);
+            }
+            else
+            {
+                return underlying;
+            }
+        }
+    }
+}