Futures consolidator algorithm changes, new basic template algorithm for options consolidators

Changed function of BasicTemplateFuturesConsolidatorAlgorithm.py to use OnSecuritiesChanged to add/remove consolidators. Wrote equivalent algorithm for options data
2019-01-31 11:22:59 -08:00
parent 13ed3bcaf1
commit 27e562ee15
2 changed files with 79 additions and 12 deletions
@@ -0,0 +1,65 @@
+# 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.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Data import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Indicators import *
+from QuantConnect.Securities import *
+from QuantConnect.Data.Consolidators import *
+from datetime import timedelta
+
+### <summary>
+### A demonstration of consolidating options data into larger bars for your algorithm.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="benchmarks" />
+### <meta name="tag" content="consolidating data" />
+### <meta name="tag" content="options" />
+class BasicTemplateOptionsConsolidationAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 7)
+        self.SetEndDate(2013, 10, 11)
+        self.SetCash(1000000)
+
+        # Subscribe and set our filter for the options chain
+        option = self.AddOption('SPY')
+        option.SetFilter(-2, 2, timedelta(0), timedelta(180))
+        self.consolidators = dict()
+    
+    def OnData(self,slice):
+        pass
+
+    def OnDataConsolidated(self, sender, quoteBar):
+        self.Log("OnDataConsolidated called on " + str(self.Time))
+        self.Log(str(quoteBar))
+        
+    def OnSecuritiesChanged(self, changes):
+        for security in changes.AddedSecurities:
+            if security.Type == SecurityType.Equity:
+                consolidator = TradeBarConsolidator(timedelta(minutes=5))
+            else:
+                consolidator = QuoteBarConsolidator(timedelta(minutes=5))
+            consolidator.DataConsolidated += self.OnDataConsolidated
+            self.SubscriptionManager.AddConsolidator(security.Symbol, consolidator)
+            self.consolidators[security.Symbol] = consolidator
+            
+        for security in changes.RemovedSecurities:
+            consolidator = self.consolidators.pop(security.Symbol)
+            self.SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator)