Jing Wu
49 lines
2.2 KiB
Python
49 lines
2.2 KiB
Python
from datetime import timedelta
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class BasicTemplateFuturesHisotoryAlgorithm(QCAlgorithm):
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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.
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It also shows how you can inspect the futures chain to pick a specific contract to trade. '''
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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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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 = 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.MarketOrder(front.Symbol , 1)
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else:
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self.Liquidate()
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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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def OnSecuritiesChanged(self, changes):
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if changes == SecurityChanges.None: return
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for change in changes.AddedSecurities:
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history = self.History(change.Symbol, 1, Resolution.Minute)
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history = history.sortlevel(['time'], ascending=False)[:1]
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self.Log("History: " + str(history.index.get_level_values('symbol').values[0])
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+ ": " + str(history.index.get_level_values('time').values[0])
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+ " > " + str(history['close'].values))
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