quantconnect--lean/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs

/*
 * 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.
 *
*/

using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Securities.Future;

namespace QuantConnect.Algorithm.CSharp
{
    /// <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" />
    public class BasicTemplateFuturesDailyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        protected virtual Resolution Resolution => Resolution.Daily;
        protected virtual bool ExtendedMarketHours => false;

        // S&P 500 EMini futures
        private const string RootSP500 = Futures.Indices.SP500EMini;

        // Gold futures
        private const string RootGold = Futures.Metals.Gold;
        private Future _futureSP500;
        private Future _futureGold;

        /// <summary>
        /// Initialize your algorithm and add desired assets.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 10, 08);
            SetEndDate(2014, 10, 10);
            SetCash(1000000);

            _futureSP500 = AddFuture(RootSP500, Resolution, extendedMarketHours: ExtendedMarketHours);
            _futureGold = AddFuture(RootGold, Resolution, extendedMarketHours: ExtendedMarketHours);

            // set our expiry filter for this futures chain
            // SetFilter method accepts TimeSpan objects or integer for days.
            // The following statements yield the same filtering criteria
            _futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
            _futureGold.SetFilter(0, 182);
        }

        /// <summary>
        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
        /// </summary>
        /// <param name="slice">The current slice of data keyed by symbol string</param>
        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested)
            {
                foreach(var chain in slice.FutureChains)
                {
                    // find the front contract expiring no earlier than in 90 days
                    var contract = (
                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)
                        where futuresContract.Expiry > Time.Date.AddDays(90)
                        select futuresContract
                    ).FirstOrDefault();

                    // if found, trade it
                    if (contract != null)
                    {
                        // Let's check if market is actually open to place market orders. For example: for daily resolution, data can come at a
                        // time when market is closed, like 7:00PM.
                        if (Securities[contract.Symbol].Exchange.ExchangeOpen)
                        {
                            MarketOrder(contract.Symbol, 1);
                        }
                        else
                        {
                            // MOO are not allowed for futures, so to make sure, use limit order instead. We use a very big limit price here
                            // to make the order fill on next bar.
                            LimitOrder(contract.Symbol, 1, contract.AskPrice * 2);
                        }
                    }
                }
            }
            else
            {
                // Same as above, let's check if market is open to place market orders.
                if (Portfolio.Values.Any(x => !Securities[x.Symbol].Exchange.ExchangeOpen))
                {
                    foreach (var holdings in Portfolio.Values.OrderBy(x => x.Symbol))
                    {

                        // use a very low limit price here to make the order fill on next bar.
                        LimitOrder(holdings.Symbol, -holdings.Quantity, 1m);
                    }
                }
                else
                {
                    Liquidate();
                }
            }

            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
            {
                if (Time.TimeOfDay != TimeSpan.Zero)
                {
                    throw new Exception($"{Time} unexpected symbol changed event {changedEvent}!");
                }
            }
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public virtual bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public virtual Language[] Languages { get; } = { Language.CSharp, Language.Python };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public virtual long DataPoints => 11721;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public virtual int AlgorithmHistoryDataPoints => 0;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Trades", "56"},
            {"Average Win", "0.30%"},
            {"Average Loss", "-3.89%"},
            {"Compounding Annual Return", "-15.100%"},
            {"Drawdown", "15.200%"},
            {"Expectancy", "-0.784"},
            {"Net Profit", "-15.207%"},
            {"Sharpe Ratio", "-1.13"},
            {"Probabilistic Sharpe Ratio", "0.000%"},
            {"Loss Rate", "80%"},
            {"Win Rate", "20%"},
            {"Profit-Loss Ratio", "0.08"},
            {"Alpha", "-0.093"},
            {"Beta", "-0.081"},
            {"Annual Standard Deviation", "0.091"},
            {"Annual Variance", "0.008"},
            {"Information Ratio", "-1.694"},
            {"Tracking Error", "0.132"},
            {"Treynor Ratio", "1.279"},
            {"Total Fees", "$99.90"},
            {"Estimated Strategy Capacity", "$130000000.00"},
            {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
            {"Fitness Score", "0.011"},
            {"Kelly Criterion Estimate", "0"},
            {"Kelly Criterion Probability Value", "0"},
            {"Sortino Ratio", "-0.225"},
            {"Return Over Maximum Drawdown", "-0.99"},
            {"Portfolio Turnover", "0.028"},
            {"Total Insights Generated", "0"},
            {"Total Insights Closed", "0"},
            {"Total Insights Analysis Completed", "0"},
            {"Long Insight Count", "0"},
            {"Short Insight Count", "0"},
            {"Long/Short Ratio", "100%"},
            {"Estimated Monthly Alpha Value", "$0"},
            {"Total Accumulated Estimated Alpha Value", "$0"},
            {"Mean Population Estimated Insight Value", "$0"},
            {"Mean Population Direction", "0%"},
            {"Mean Population Magnitude", "0%"},
            {"Rolling Averaged Population Direction", "0%"},
            {"Rolling Averaged Population Magnitude", "0%"},
            {"OrderListHash", "b05e6b7d992a1c42edeef553b9f6c1f1"}
        };
    }
}