Jhonathan Abreu
6c93af96a1
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Remove suppport for market orders and MOO orders for futures * Add regression algorithm to assert that limit orders are filled on after hours for futures * Remove suppport for market orders and MOO orders for futures in DefaultBrokerageModel * Update regression algorithms stats * Fixed regression algorithm and clean up * Add unit tests * Fix regression algorithms * Address changes request
59 lines
2.7 KiB
Python
59 lines
2.7 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### This example demonstrates how to add futures with daily resolution.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="benchmarks" />
|
|
### <meta name="tag" content="futures" />
|
|
class BasicTemplateFuturesDailyAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.SetStartDate(2013, 10, 8)
|
|
self.SetEndDate(2014, 10, 10)
|
|
self.SetCash(1000000)
|
|
|
|
self.contractSymbol = None
|
|
|
|
# Subscribe and set our expiry filter for the futures chain
|
|
futureSP500 = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Daily)
|
|
futureGold = self.AddFuture(Futures.Metals.Gold, Resolution.Daily)
|
|
|
|
# set our expiry filter for this futures chain
|
|
# SetFilter method accepts timedelta objects or integer for days.
|
|
# The following statements yield the same filtering criteria
|
|
futureSP500.SetFilter(timedelta(0), timedelta(182))
|
|
futureGold.SetFilter(0, 182)
|
|
|
|
def OnData(self,slice):
|
|
if not self.Portfolio.Invested:
|
|
for chain in slice.FutureChains:
|
|
# Get contracts expiring no earlier than in 90 days
|
|
contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value))
|
|
|
|
# if there is any contract, trade the front contract
|
|
if len(contracts) == 0: continue
|
|
front = sorted(contracts, key = lambda x: x.Expiry)[0]
|
|
|
|
self.contractSymbol = front.Symbol
|
|
# if found and exchange is open, trade it. Exchange could be closed, for example for a bar after 6:00pm on a friday, when futures
|
|
# markets are closed.
|
|
if self.Securities[self.contractSymbol].Exchange.ExchangeOpen:
|
|
self.MarketOrder(front.Symbol , 1)
|
|
# same as before, we have to check if exchange is actually open because market-on-open orders are not supported for futures.
|
|
elif all([x.Exchange.ExchangeOpen for x in self.Securities.Values]):
|
|
self.Liquidate()
|