Support extended market hours for futures (#6522)
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* Support extended market hours in AddFuture() * Support extended market hours in AddFutureContract() * Add C# regression algorithm * Add Python regression algorithm * Add regression algorithm for future contracts * Add regression algorithm checking market hour ranges * Fixed future regression algorithms to use extended market hours * Fixed future regression algorithms to use extended market hours * Fixed future regression algorithms to use extended market hours * Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours * Update future market hours to include extended in market hours database * Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours * Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours * Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours * Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours * Fixed BasicTemplateFuturesAlgorithm to use extended market hours * Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours * Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours * Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours * Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours * Fixed ContinuousFutureRegressionAlgorithm to use extended market hours * Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours * Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours * Fixed ConsolidateRegressionAlgorithm to use extended market hours * Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours * Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours * Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours * Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours * Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours * Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours * Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours * Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours * Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours * Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours * Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours * Fixed FuturesExpiredContractRegression to use extended market hours * Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours * Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours * Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours * Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours * Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours * Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours * Fixed WarmupFutureRegressionAlgorithm to use extended market hours * Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours * Fixed AlgorithmHistoryTests to use extended market hours for futures * Fixed AlgorithmTradingTests to use extended market hours for futures * Fixed BrokerageSetupHandlerTests to use extended market hours for futures * Fixed TimeRulesTests to use extended market hours for futures * Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures * Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures * Fixed FileSystemDataFeedTests to use extended market hours for futures * Fixed QuantBookHistoryTests to use extended market hours for futures * Split BasicTemplateContinuousFutureAlgorithm to have an extended market version * Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours * Split BasicTemplateFuturesAlgorithm to have an extended market version * Split BasicTemplateFuturesAlgorithm to have an extended market version * Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version * Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version * Revert AddFutureContractWithContinuousRegressionAlgorithm * Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data * Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm * Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm * Revert ConsolidateRegressionAlgorithm * Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs * Revert ContinuousFutureBackMonthRegressionAlgorithm * Revert ContinuousFutureHistoryRegressionAlgorithm * Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm * Revert ContinuousFutureRegressionAlgorithm * Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs * Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm * Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version * Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version * Revert FutureOptionBuySellCallIntradayRegressionAlgorithm * Revert FutureOptionCallITMExpiryRegressionAlgorithm * Revert FutureOptionDailyRegressionAlgorithm * Revert FutureOptionPutITMExpiryRegressionAlgorithm * Revert FutureSharingTickerRegressionAlgorithm * Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm * Revert FuturesExpiredContractRegression * Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm * Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm * Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm * Revert OpenInterestFuturesRegressionAlgorithm * Revert RegisterIndicatorRegressionAlgorithm * Revert SetHoldingsFutureRegressionAlgorithm * Revert WarmupFutureRegressionAlgorithm * Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm * Some cleanup * Address changes request * Address changes request * Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm
This commit is contained in:
Jhonathan Abreu
@@ -20,23 +20,23 @@ from AlgorithmImports import *
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### <meta name="tag" content="benchmarks" />
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### <meta name="tag" content="futures" />
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class BasicTemplateFuturesDailyAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 8)
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self.SetEndDate(2014, 10, 10)
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self.SetCash(1000000)
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self.contractSymbol = None
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resolution = self.GetResolution()
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extendedMarketHours = self.GetExtendedMarketHours()
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# Subscribe and set our expiry filter for the futures chain
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futureSP500 = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Daily)
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futureGold = self.AddFuture(Futures.Metals.Gold, Resolution.Daily)
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self.futureSP500 = self.AddFuture(Futures.Indices.SP500EMini, resolution, extendedMarketHours=extendedMarketHours)
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self.futureGold = self.AddFuture(Futures.Metals.Gold, resolution, extendedMarketHours=extendedMarketHours)
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# set our expiry filter for this futures chain
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# SetFilter method accepts timedelta objects or integer for days.
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# The following statements yield the same filtering criteria
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futureSP500.SetFilter(timedelta(0), timedelta(182))
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futureGold.SetFilter(0, 182)
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self.futureSP500.SetFilter(timedelta(0), timedelta(182))
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self.futureGold.SetFilter(0, 182)
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def OnData(self,slice):
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if not self.Portfolio.Invested:
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@@ -46,13 +46,28 @@ class BasicTemplateFuturesDailyAlgorithm(QCAlgorithm):
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# if there is any contract, trade the front contract
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if len(contracts) == 0: continue
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front = sorted(contracts, key = lambda x: x.Expiry)[0]
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contract = sorted(contracts, key = lambda x: x.Expiry)[0]
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self.contractSymbol = front.Symbol
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# if found and exchange is open, trade it. Exchange could be closed, for example for a bar after 6:00pm on a friday, when futures
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# markets are closed.
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if self.Securities[self.contractSymbol].Exchange.ExchangeOpen:
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self.MarketOrder(front.Symbol , 1)
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# same as before, we have to check if exchange is actually open because market-on-open orders are not supported for futures.
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elif all([x.Exchange.ExchangeOpen for x in self.Securities.Values]):
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self.Liquidate()
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# if found, trade it.
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# Let's check if market is actually open to place market orders. For example: for daily resolution, data can come at a
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# time when market is closed, like 7:00PM.
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if self.Securities[contract.Symbol].Exchange.ExchangeOpen:
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self.MarketOrder(contract.Symbol, 1)
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else:
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# MOO are not allowed for futures, so to make sure, use limit order instead. We use a very big limit price here
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# to make the order fill on next bar.
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self.LimitOrder(contract.Symbol, 1, contract.AskPrice * 2)
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else:
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# Same as above, let's check if market is open to place market orders.
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if any([not self.Securities[x.Symbol].Exchange.ExchangeOpen for x in self.Portfolio.values()]):
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for holdings in sorted(self.Portfolio.values(), key=lambda x: x.Symbol):
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# use a very low limit price here to make the order fill on next bar.
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self.LimitOrder(holdings.Symbol, -holdings.Quantity, 1.0)
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else:
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self.Liquidate()
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def GetResolution(self):
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return Resolution.Daily
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def GetExtendedMarketHours(self):
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return False
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