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Adds EmaCrossFuturesFrontMonthAlgorithm

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This example shows how to create an EMA cross algorithm for a futures' front contract. Once the contract is added, the indicators are registered to a new consolidator and warmed up with historical data. When a contract is removed, the consolidator is removed and the indicators are reseted. We don't need to liquidate it, because it's liquidated automatically since it has expired.
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AlexCatarino
2020-06-04 00:21:49 +01:00
parent fe503bbeb1
commit f008e90202
5 changed files with 235 additions and 1 deletions
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Algorithm.Python/QuantConnect.Algorithm.Python.csproj
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@@ -181,6 +181,7 @@
<None Include="DropboxBaseDataUniverseSelectionAlgorithm.py" />
<None Include="DropboxUniverseSelectionAlgorithm.py" />
<None Include="DropboxCoarseFineAlgorithm.py" />
<None Include="EmaCrossFuturesFrontMonthAlgorithm.py" />
<None Include="EmaCrossUniverseSelectionAlgorithm.py" />
<None Include="EmaCrossUniverseSelectionFrameworkAlgorithm.py" />
<None Include="ETFGlobalRotationAlgorithm.py" />