Jing Wu
78 lines
3.2 KiB
Python
78 lines
3.2 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.Securities import *
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from datetime import timedelta
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### <summary>
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### This example demonstrates how to get access to futures history for a given root symbol.
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### It also shows how you can prefilter contracts easily based on expirations, and inspect the futures
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### 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="history and warm up" />
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### <meta name="tag" content="history" />
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### <meta name="tag" content="futures" />
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class BasicTemplateFuturesHistoryAlgorithm(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, 9)
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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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# find the front contract expiring no earlier than in 90 days
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futureES = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
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futureES.SetFilter(timedelta(0), timedelta(182))
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futureGC = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)
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futureGC.SetFilter(timedelta(0), timedelta(182))
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self.SetBenchmark(lambda x: 1000000)
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def OnData(self,slice):
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if self.Portfolio.Invested: return
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for chain in slice.FutureChains:
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for contract in chain.Value:
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self.Log("{0},Bid={1} Ask={2} Last={3} OI={4}".format(
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contract.Symbol.Value,
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contract.BidPrice,
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contract.AskPrice,
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contract.LastPrice,
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contract.OpenInterest))
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def OnSecuritiesChanged(self, changes):
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for change in changes.AddedSecurities:
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history = self.History(change.Symbol, 10, Resolution.Minute).sort_index(level='time', ascending=False)[:3]
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for index, row in history.iterrows():
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self.Log("History: " + str(index[1])
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+ ": " + index[2].strftime("%m/%d/%Y %I:%M:%S %p")
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+ " > " + str(row.close))
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def OnOrderEvent(self, orderEvent):
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# Order fill event handler. On an order fill update the resulting information is passed to this method.
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# Order event details containing details of the events
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self.Log(str(orderEvent))
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