AlexCatarino
82 lines
3.4 KiB
Python
82 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.Algorithm import *
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from QuantConnect.Securities import *
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from datetime import timedelta
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### <summary>
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### This example demonstrates how to add futures for a given underlying asset.
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### It also shows how you can prefilter contracts easily based on expirations, and how you
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### can inspect the futures chain to pick a specific contract to trade.
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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="futures" />
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class BasicTemplateFuturesAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 8)
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self.SetEndDate(2013, 10, 10)
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self.SetCash(1000000)
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self.contractSymbol = None
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# Subscribe and set our expiry filter for the futures chain
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futureES = self.AddFuture(Futures.Indices.SP500EMini)
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futureGC = self.AddFuture(Futures.Metals.Gold)
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# set our expiry filter for this futures 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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futureES.SetFilter(0, 182)
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futureGC.SetFilter(timedelta(0), timedelta(182))
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benchmark = self.AddEquity("SPY");
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self.SetBenchmark(benchmark.Symbol);
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def OnData(self,slice):
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if not self.Portfolio.Invested:
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for chain in slice.FutureChains:
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# Get contracts expiring no earlier than in 90 days
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contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value))
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# if there is any contract, trade the front contract
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if len(contracts) == 0: continue
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front = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]
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self.contractSymbol = front.Symbol
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self.MarketOrder(front.Symbol , 1)
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else:
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self.Liquidate()
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def OnEndOfAlgorithm(self):
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# Get the margin requirements
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buyingPowerModel = self.Securities[self.contractSymbol].BuyingPowerModel
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name = type(buyingPowerModel).__name__
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if name != 'FutureMarginModel':
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raise Exception(f"Invalid buying power model. Found: {name}. Expected: FutureMarginModel")
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initialOvernight = buyingPowerModel.InitialOvernightMarginRequirement
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maintenanceOvernight = buyingPowerModel.MaintenanceOvernightMarginRequirement
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initialIntraday = buyingPowerModel.InitialIntradayMarginRequirement
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maintenanceIntraday = buyingPowerModel.MaintenanceIntradayMarginRequirement
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