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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.
This commit is contained in:
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.PythonTools.pyproj
+1 -1
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@@ -88,6 +88,7 @@
<Compile Include="DropboxCoarseFineAlgorithm.py" />
<Compile Include="DropboxUniverseSelectionAlgorithm.py" />
<Compile Include="DynamicSecurityDataAlgorithm.py" />
<Compile Include="EmaCrossFuturesFrontMonthAlgorithm.py" />
<Compile Include="EmaCrossUniverseSelectionAlgorithm.py" />
<Compile Include="EmaCrossUniverseSelectionFrameworkAlgorithm.py" />
<Compile Include="ETFGlobalRotationAlgorithm.py" />
@@ -133,7 +134,6 @@
<Compile Include="PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py" />
<Compile Include="PortfolioRebalanceOnCustomFuncRegressionAlgorithm.py" />
<Compile Include="PortfolioRebalanceOnDateRulesRegressionAlgorithm.py" />
<Compile Include="PsychSignalSentimentRegressionAlgorithm.py" />
<Compile Include="PythonDictionaryFeatureRegressionAlgorithm.py" />
<Compile Include="PytorchNeuralNetworkAlgorithm.py" />
<Compile Include="QuandlFuturesDataAlgorithm.py" />