smartquant
113 lines
4.3 KiB
C#
113 lines
4.3 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.Data.Market;
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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 add futures for a given underlying.
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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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/// </summary>
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public class BasicTemplateFuturesAlgorithmDaily : QCAlgorithm
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{
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// S&P 500 EMini futures
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private const string RootSP500 = Futures.Indices.SP500EMini;
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public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.USA);
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// Gold futures
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private const string RootGold = Futures.Metals.Gold;
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public Symbol Gold = QuantConnect.Symbol.Create(RootGold, SecurityType.Future, Market.USA);
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public override void Initialize()
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{
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SetStartDate(2013, 10, 08);
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SetEndDate(2013, 10, 11);
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SetCash(1000000);
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var futureSP500 = AddFuture(RootSP500, Resolution.Daily);
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var futureGold = AddFuture(RootGold, Resolution.Daily);
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// set our expiry filter for this futures chain
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futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
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futureGold.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
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SetBenchmark(d => 1m);
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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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// find the front contract expiring no earlier than in 90 days
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var contract = (
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from futuresContract in chain.Value.OrderBy(x => x.Expiry)
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where futuresContract.Expiry > Time.Date.AddDays(90)
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select futuresContract
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).FirstOrDefault();
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// if found, trade it
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if (contract != null)
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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}
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else
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{
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Liquidate();
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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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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<TradeBar>(change.Symbol, 1, Resolution.Daily);
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foreach (var data in history.OrderByDescending(x => x.Time).Take(1))
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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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}
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}
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