AlexCatarino
80 lines
3.4 KiB
Python
80 lines
3.4 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Data import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Indicators import *
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from QuantConnect.Securities import *
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from QuantConnect.Data.Consolidators import *
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from datetime import timedelta
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### <summary>
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### A demonstration of consolidating options data into larger bars for your algorithm.
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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="consolidating data" />
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### <meta name="tag" content="options" />
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class BasicTemplateOptionsConsolidationAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 11)
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self.SetCash(1000000)
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# Subscribe and set our filter for the options chain
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option = self.AddOption('SPY')
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# set our strike/expiry filter for this option chain
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# SetFilter method accepts timedelta objects or integer for days.
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# The following statements yeild the same filtering criteria
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option.SetFilter(-2, +2, 0, 180)
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# option.SetFilter(-2, +2, timedelta(0), timedelta(180))
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self.consolidators = dict()
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def OnData(self,slice):
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pass
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def OnQuoteBarConsolidated(self, sender, quoteBar):
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self.Log("OnQuoteBarConsolidated called on " + str(self.Time))
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self.Log(str(quoteBar))
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def OnTradeBarConsolidated(self, sender, tradeBar):
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self.Log("OnTradeBarConsolidated called on " + str(self.Time))
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self.Log(str(tradeBar))
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def OnSecuritiesChanged(self, changes):
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for security in changes.AddedSecurities:
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if security.Type == SecurityType.Equity:
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consolidator = TradeBarConsolidator(timedelta(minutes=5))
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consolidator.DataConsolidated += self.OnTradeBarConsolidated
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else:
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consolidator = QuoteBarConsolidator(timedelta(minutes=5))
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consolidator.DataConsolidated += self.OnQuoteBarConsolidated
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self.SubscriptionManager.AddConsolidator(security.Symbol, consolidator)
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self.consolidators[security.Symbol] = consolidator
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for security in changes.RemovedSecurities:
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consolidator = self.consolidators.pop(security.Symbol)
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self.SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator)
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if security.Type == SecurityType.Equity:
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consolidator.DataConsolidated -= self.OnTradeBarConsolidated
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else:
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consolidator.DataConsolidated -= self.OnQuoteBarConsolidated |