Jhonathan Abreu
822602a551
Modified algorithms to use futures contract objects directly instead of accessing their Symbol property. Removed unnecessary import statements and redundant lines in various files.
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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