Jing Wu
106 lines
4.0 KiB
C#
106 lines
4.0 KiB
C#
/*
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* 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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*
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*/
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using System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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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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public class BasicTemplateFuturesHistoryAlgorithm : QCAlgorithm
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{
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// S&P 500 EMini futures
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private string [] roots = new []
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{
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Futures.Indices.SP500EMini,
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Futures.Metals.Gold,
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};
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public override void Initialize()
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{
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SetStartDate(2013, 10, 8);
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SetEndDate(2013, 10, 9);
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SetCash(1000000);
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foreach (var root in roots)
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{
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// set our expiry filter for this futures chain
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AddFuture(root, Resolution.Minute).SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
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}
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var benchmark = AddEquity("SPY");
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SetBenchmark(benchmark.Symbol);
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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foreach(var chain in slice.FutureChains)
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{
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foreach(var contract in chain.Value)
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{
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Log(String.Format("{0},Bid={1} Ask={2} Last={3} OI={4}",
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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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}
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}
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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foreach (var change in changes.AddedSecurities)
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{
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var history = History(change.Symbol, 10, Resolution.Daily);
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foreach (var data in history.OrderByDescending(x => x.Time).Take(3))
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{
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Log("History: " + data.Symbol.Value + ": " + data.Time + " > " + data.Close);
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}
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}
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}
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/// <summary>
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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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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the evemts</param>
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/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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}
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}
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