AlexCatarino
61 lines
2.4 KiB
Python
61 lines
2.4 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.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.Indicators import *
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from QuantConnect.Securities import *
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from QuantConnect.Data.Consolidators import *
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from QCAlgorithm import QCAlgorithm
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from datetime import timedelta
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### <summary>
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### A demonstration of consolidating futures 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="futures" />
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class BasicTemplateFuturesConsolidationAlgorithm(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 expiry filter for the futures chain
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future = self.AddFuture(Futures.Indices.SP500EMini)
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future.SetFilter(timedelta(0), timedelta(182))
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self._futureContracts = []
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def OnData(self,slice):
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for chain in slice.FutureChains:
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for contract in chain.Value:
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if contract.Symbol not in self._futureContracts:
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self._futureContracts.append(contract.Symbol)
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consolidator = QuoteBarConsolidator(timedelta(minutes=5))
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consolidator.DataConsolidated += self.OnDataConsolidated
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self.SubscriptionManager.AddConsolidator(contract.Symbol, consolidator)
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self.Log("Added new consolidator for " + str(contract.Symbol.Value))
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def OnDataConsolidated(self, sender, quoteBar):
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self.Log("OnDataConsolidated called on " + str(self.Time))
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self.Log(str(quoteBar)) |