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.Linq;
+using Python.Runtime;
+using QuantConnect.Data;
+using QuantConnect.Python;
+using System.Collections.Generic;
+
+namespace QuantConnect.Research
+{
+    /// <summary>
+    /// Class to manage information from History Request of Options
+    /// </summary>
+    public class OptionHistory : DataHistory<Slice>
+    {
+        /// <summary>
+        /// Create a new instance of <see cref="OptionHistory"/>.
+        /// </summary>
+        /// <param name="data"></param>
+        public OptionHistory(IEnumerable<Slice> data)
+            : base(data, new Lazy<PyObject>(() => new PandasConverter().GetDataFrame(data), isThreadSafe: false))
+        {
+        }
+
+        /// <summary>
+        /// Gets all data from the History Request that are written in a pandas.DataFrame
+        /// </summary>
+        [Obsolete("Please use the 'DataFrame' property")]
+        public PyObject GetAllData() => DataFrame;
+
+        /// <summary>
+        /// Gets all strikes in the option history
+        /// </summary>
+        /// <returns></returns>
+        public PyObject GetStrikes()
+        {
+            var strikes = Data.SelectMany(x => x.OptionChains.SelectMany(y => y.Value.Contracts.Keys.Select(z => (double)z.ID.StrikePrice).Distinct()));
+            using (Py.GIL())
+            {
+                return strikes.Distinct().ToList().ToPython();
+            }
+        }
+
+        /// <summary>
+        /// Gets all expiry dates in the option history
+        /// </summary>
+        /// <returns></returns>
+        public PyObject GetExpiryDates()
+        {
+            var expiry = Data.SelectMany(x => x.OptionChains.SelectMany(y => y.Value.Contracts.Keys.Select(z => z.ID.Date).Distinct()));
+            using (Py.GIL())
+            {
+                return expiry.Distinct().ToList().ToPython();
+            }
+        }
+    }
+}