Jhonathan Abreu
475f295ce0
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* Allow market orders for futures and FOPs on extended market hours * Update regression algorithms stats * Add futures fill model to allow extended market hours * Add unit tests * Update regression algorithms stats * Update regression algorithms stats * Housekeeping
65 lines
3.0 KiB
Python
65 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.SetStartDate(2013, 10, 8)
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self.SetEndDate(2014, 10, 10)
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self.SetCash(1000000)
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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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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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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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for chain in slice.FutureChains:
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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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# Also check if exchange is open for regular or extended hours. Since daily data comes at 8PM, this allows us prevent the
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# algorithm from trading on friday when there is not after-market.
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if self.Securities[contract.Symbol].Exchange.Hours.IsOpen(self.Time, True):
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self.MarketOrder(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.IsOpen(self.Time, True) for x in self.Securities.Values if x.Invested):
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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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