Jhonathan Abreu
69d2f5ae82
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* Make FOPs selection universe file-based for backtesting * Make FOPs option chains universe file based * Make Future universe selection file-based like option universe * Make Future universe selection file-based like option universe * Abstraction cleanup * Add FuturesChains API to QC algorithm Also refactor future chain provider to use the new FutureUniverse instead of zip file names * Update regression algorithms stats * Refactor QuantBook option and future history to use new universes * Fix failing tests * Fix failing tests * Fix failing tests * Minor future chains unit test improvement * Add futures chains DataFrame property Also, remove IDerivativeSecurity interface from Future * Add DataFrame property to FuturesChains class * Add regression algorithms * Add regression algorithms * Replace QCAlgorithm.FutureChainProvider usages with new FuturesChain api * Minor fixes * Reduce number of universe files in repo * Minor data fixes * Regression algorithms updates * Add implicit conversion from FuturesContract to Symbol Modified algorithms to use futures contract objects directly instead of accessing their Symbol property. Removed unnecessary import statements and redundant lines in various files. * Improve resolution handling for history requests * Changed _auxiliaryData field to lazily-initialized AuxiliaryData property * Refactor data handling in BaseChain and TimeSliceFactory - Added `AddData` method to `BaseChain` for adding market data - Refactored `TimeSliceFactory` to use `BaseChain.AddData` method * Remove specific constructors and indexers from Chain classes Removed public indexers in `BaseChains` for getting or setting `BaseChain` instances by `ticker` or `Symbol`, which were used for Pythonnet compatibility. * Remove chain cache logic from FuturesChainUniverse * Refactor class and interface names for clarity Renamed `FileBasedUniverse` to `BaseChainUniverseData` and `IFileBasedUniverse` to `IChainUniverseData`. * Add base class for options and futures contracts - Introduced `BaseContract` as an abstract base class for contracts, consolidating common properties and methods. - Removed ISymbolInterface * Add minor fix for future options tickers parsing Added tests * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Clean chain provider classes up * Remove ZipEntryName other classes and unused code Removed ZipEntryName class and references across various files. Removed DataQueueFuturesChainUniverseDataCollectionEnumerator and DataQueueOptionChainUniverseDataCollectionEnumerator classes. Removed OptionChainUniverseSubscriptionEnumeratorFactory class. Removed unused code for handling OptionChainUniverse and FuturesChainUniverse in FileSystemDataFeed.cs and LiveTradingDataFeed.cs. Removed several test files related to enumerator factories and universe data collection. * Minor changes and cleanup * Trigger Build * Trigger Build * Refactor FuturesContract data handling Forward price data from bars and ticks stored in private fields for improved memory usage * Fix: use universe data for market data in FuturesContract * Update regression algorithms stats after rebase Added HSI futures universe files * Sort configs by internal flag Internals go first * Throw from option universe data filters for future options Future options IV, Open interest and greeks are not supported for future options * Minor changes * Improve some regression algorithms * Minor fix for failing unit tests * Update FOPs universe file header Removed greeks and IV columns. Updated FOPs universe files: removed outdated columns. * Minor unit test fix * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Minor fix * Add history provider as constructor argument for chain providers * Update new regression algorithms data points count * Minor fix for FakeDataQueue * Add initialize method to chain providers classes * Minor changes * Trigger Build * Trigger Build * Trigger Build * Minor fix * Minor fix * Trigger Build * Trigger Build * Trigger Build * Trigger Build * Add logs to ProcessedDataProvider * Removed test logs * Minor fix * Support downloading options and futures universe files from api data provider
68 lines
3.0 KiB
Python
68 lines
3.0 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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### <summary>
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### This example demonstrates how to add futures with daily resolution.
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### </summary>
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### <meta name="tag" content="using data" />
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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.set_start_date(2013, 10, 8)
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self.set_end_date(2014, 10, 10)
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self.set_cash(1000000)
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resolution = self.get_resolution()
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extended_market_hours = self.get_extended_market_hours()
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# Subscribe and set our expiry filter for the futures chain
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self.future_sp500 = self.add_future(Futures.Indices.SP_500_E_MINI, resolution, extended_market_hours=extended_market_hours)
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self.future_gold = self.add_future(Futures.Metals.GOLD, resolution, extended_market_hours=extended_market_hours)
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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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self.future_sp500.set_filter(timedelta(0), timedelta(182))
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self.future_gold.set_filter(0, 182)
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def on_data(self,slice):
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if not self.portfolio.invested:
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for chain in slice.future_chains:
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# Get contracts expiring no earlier than in 90 days
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contracts = list(filter(lambda x: x.expiry > self.time + timedelta(90), chain.value))
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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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contract = sorted(contracts, key = lambda x: x.expiry)[0]
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# if found, trade it.
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self.market_order(contract.symbol, 1)
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# Same as above, check for cases like trading on a friday night.
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elif all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
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self.liquidate()
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def on_securities_changed(self, changes: SecurityChanges) -> None:
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if len(changes.removed_securities) > 0 and \
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self.portfolio.invested and \
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all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
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self.liquidate()
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def get_resolution(self):
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return Resolution.DAILY
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def get_extended_market_hours(self):
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return False
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