AlexCatarino
69 lines
2.8 KiB
Python
69 lines
2.8 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 clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Data import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Indicators import *
|
|
from QuantConnect.Securities import *
|
|
from QuantConnect.Data.Consolidators import *
|
|
from datetime import timedelta
|
|
|
|
### <summary>
|
|
### A demonstration of consolidating futures data into larger bars for your algorithm.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="benchmarks" />
|
|
### <meta name="tag" content="consolidating data" />
|
|
### <meta name="tag" content="futures" />
|
|
class BasicTemplateFuturesConsolidationAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.SetStartDate(2013, 10, 7)
|
|
self.SetEndDate(2013, 10, 11)
|
|
self.SetCash(1000000)
|
|
|
|
# Subscribe and set our expiry filter for the futures chain
|
|
future = self.AddFuture(Futures.Indices.SP500EMini)
|
|
# set our expiry filter for this future chain
|
|
# SetFilter method accepts timedelta objects or integer for days.
|
|
# The following statements yeild the same filtering criteria
|
|
future.SetFilter(0, 182);
|
|
# future.SetFilter(timedelta(0), timedelta(182))
|
|
|
|
self.consolidators = dict()
|
|
|
|
def OnData(self,slice):
|
|
pass
|
|
|
|
def OnDataConsolidated(self, sender, quoteBar):
|
|
self.Log("OnDataConsolidated called on " + str(self.Time))
|
|
self.Log(str(quoteBar))
|
|
|
|
def OnSecuritiesChanged(self, changes):
|
|
for security in changes.AddedSecurities:
|
|
consolidator = QuoteBarConsolidator(timedelta(minutes=5))
|
|
consolidator.DataConsolidated += self.OnDataConsolidated
|
|
self.SubscriptionManager.AddConsolidator(security.Symbol, consolidator)
|
|
self.consolidators[security.Symbol] = consolidator
|
|
|
|
for security in changes.RemovedSecurities:
|
|
consolidator = self.consolidators.pop(security.Symbol)
|
|
self.SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator)
|
|
consolidator.DataConsolidated -= self.OnDataConsolidated |