chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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;
+using NUnit.Framework;
+using QuantConnect.Algorithm;
+using QuantConnect.Securities.Option;
+using QuantConnect.Securities;
+using QuantConnect.Data.Market;
+using QuantConnect.Data;
+using System.Linq;
+
+namespace QuantConnect.Tests.Engine
+{
+    [TestFixture, Parallelizable(ParallelScope.Fixtures)]
+    public class DefaultOptionAssignmentModelTests
+    {
+        private static readonly SecurityExchangeHours SecurityExchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
+
+        [TestCase(SecurityType.Equity)]
+        [TestCase(SecurityType.Index)]
+        public void SimulatesAssignment(SecurityType securityType)
+        {
+            var underlyingSymbol = securityType == SecurityType.Index ? Symbols.SPX : Symbols.SPY;
+            var settlementType = securityType == SecurityType.Index ? SettlementType.Cash : SettlementType.PhysicalDelivery;
+            var algorithm = new QCAlgorithm();
+            var sim = new DefaultOptionAssignmentModel();
+            var securities = new SecurityManager(TimeKeeper);
+
+            algorithm.Securities = securities;
+
+            // dictionaries with expected and actual results
+            var expected = new Dictionary<Option, bool>();
+            var actual = new Dictionary<Option, bool>();
+
+            // we build option chain at expiration
+            var expiration = new DateTime(2016, 02, 19);
+            var today = expiration.AddDays(-3);
+            algorithm.SetDateTime(today);
+
+            // we define option chain with expected results for each contract (if it is optimal to exercise it or not)
+            var optionChain = new[] { new { Right = OptionRight.Call, StrikePrice = 190.0m, BidPrice = 27.81m, AskPrice = 28.01m, Exercise = true },
+                                    new { Right = OptionRight.Call, StrikePrice = 193.0m, BidPrice = 24.87m, AskPrice = 24.99m, Exercise = true },
+                                    new { Right = OptionRight.Call, StrikePrice = 196.0m, BidPrice = 21.50m, AskPrice = 21.63m, Exercise = true },
+                                    new { Right = OptionRight.Call, StrikePrice = 198.0m, BidPrice = 18.79m, AskPrice = 18.96m, Exercise = true },
+                                    new { Right = OptionRight.Call, StrikePrice = 200.0m, BidPrice = 17.77m, AskPrice = 17.96m, Exercise = true },
+                                    new { Right = OptionRight.Call, StrikePrice = 202.0m, BidPrice = 15.31m, AskPrice = 15.47m, Exercise = true },
+                                    new { Right = OptionRight.Call, StrikePrice = 220.0m, BidPrice = 15.31m, AskPrice = 15.47m, Exercise = false },
+
+                                    new { Right = OptionRight.Put, StrikePrice = 225.0m, BidPrice = 7.071m, AskPrice = 7.26m, Exercise = false },
+                                    new { Right = OptionRight.Put, StrikePrice = 226.0m, BidPrice = 8.07m, AskPrice = 8.24m, Exercise = false },
+                                    new { Right = OptionRight.Put, StrikePrice = 227.0m, BidPrice = 9.59m, AskPrice = 9.77m, Exercise = false },
+                                    new { Right = OptionRight.Put, StrikePrice = 230.0m, BidPrice = 12.01m, AskPrice = 12.34m, Exercise = true },
+                                    new { Right = OptionRight.Put, StrikePrice = 240.0m, BidPrice = 22.01m, AskPrice = 22.32m, Exercise = true } };
+
+            Func<OptionRight, decimal, decimal, decimal, Option> optionDef =
+                (right, strikePrice, bidPrice, askPrice) =>
+                {
+                    var symbol = Symbol.CreateOption(underlyingSymbol, Market.USA, OptionStyle.American, right, strikePrice, expiration);
+                    var option = new Option(
+                        SecurityExchangeHours,
+                        CreateTradeBarDataConfig(SecurityType.Option, symbol),
+                        new Cash(Currencies.USD, 0, 1m),
+                        new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
+                        ErrorCurrencyConverter.Instance,
+                        RegisteredSecurityDataTypesProvider.Null
+                    ) { ExerciseSettlement = settlementType };
+                    securities.Add(symbol, option);
+
+                    securities[symbol].Holdings.SetHoldings(1, -1000);
+                    securities[symbol].SetMarketPrice(new Tick { Symbol = symbol, AskPrice = askPrice, BidPrice = bidPrice, Value = (askPrice + bidPrice)/2.0m, Time = today });
+                    option.Underlying = securities[symbol.Underlying];
+                    return option;
+                };
+
+            // setting up the underlying instrument
+            securities.Add(
+                underlyingSymbol,
+                new Security(
+                    SecurityExchangeHours,
+                    CreateTradeBarDataConfig(securityType, underlyingSymbol),
+                    new Cash(Currencies.USD, 0, 1m),
+                    SymbolProperties.GetDefault(Currencies.USD),
+                    ErrorCurrencyConverter.Instance,
+                    RegisteredSecurityDataTypesProvider.Null,
+                    new SecurityCache()
+                )
+            );
+            securities[underlyingSymbol].SetMarketPrice(new Tick { Symbol = underlyingSymbol, AskPrice = 217.94m, BidPrice = 217.86m, Value = 217.90m, Time = securities.UtcTime });
+
+            foreach (var def in optionChain)
+            {
+                expected.Add(optionDef(def.Right, def.StrikePrice, def.BidPrice, def.AskPrice), def.Exercise);
+            }
+            // running the simulation
+
+            // checking results
+            foreach (var option in algorithm.Securities.Values.Where(security => security.Symbol.SecurityType.IsOption()).OrderBy(security => security.Symbol))
+            {
+                var result = sim.GetAssignment(new OptionAssignmentParameters((Option)option));
+
+                Assert.AreEqual(expected[(Option)option], result.Quantity > 0, $"Failed on strike: {option.Symbol.ID.StrikePrice}");
+            }
+        }
+
+        private SubscriptionDataConfig CreateTradeBarDataConfig(SecurityType type, Symbol symbol)
+        {
+            if (type == SecurityType.Equity)
+                return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
+            if (type == SecurityType.Forex)
+                return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
+            if (type == SecurityType.Option)
+                return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
+            if (type == SecurityType.Index)
+                return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
+            throw new NotImplementedException(type.ToString());
+        }
+        private static TimeKeeper TimeKeeper
+        {
+            get { return new TimeKeeper(DateTime.Now, new[] { TimeZones.NewYork }); }
+        }
+    }
+}