Jhonathan Abreu
01eb907f98
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* Support CFDs in IB * Add new currency pair util method * Minor changes to IB fee model and tests * Add CFD USA market hours * Add new Market interactivebrokers for cfds * Add sample algorithm illustrating manually adding market hours to MHDB * Update MHDB and SPDB
71 lines
4.5 KiB
Python
71 lines
4.5 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 AlgorithmImports import *
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import Newtonsoft.Json as json
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### <summary>
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### Algorithm illustrating how to manually set market hours and symbol properties database entries to be picked up by the algorithm's securities.
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### This specific case illustrates how to do it for CFDs to match InteractiveBrokers brokerage, which has different market hours
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### depending on the CFD underlying asset.
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### </summary>
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class ManuallySetMarketHoursAndSymbolPropertiesDatabaseEntriesAlgorithm(QCAlgorithm):
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'''
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Algorithm illustrating how to manually set market hours and symbol properties database entries to be picked up by the algorithm's securities.
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This specific case illustrates how to do it for CFDs to match InteractiveBrokers brokerage, which has different market hours
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depending on the CFD underlying asset.
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'''
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def Initialize(self):
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self.SetStartDate(2013,10, 7)
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self.SetEndDate(2013,10,11)
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self.SetCash(100000)
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self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
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# Some brokerages like InteractiveBrokers make a difference on CFDs depending on the underlying (equity, index, metal, forex).
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# Depending on this, the market hours can be different. In order to be more specific with the market hours,
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# we can set the MarketHoursDatabase entry for the CFDs.
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# Equity CFDs are usually traded the same hours as the equity market.
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equityMarketHoursEntry = self.MarketHoursDatabase.GetEntry(Market.USA, None, SecurityType.Equity)
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self.MarketHoursDatabase.SetEntry(Market.InteractiveBrokers, "", SecurityType.Cfd, equityMarketHoursEntry.ExchangeHours, equityMarketHoursEntry.DataTimeZone)
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# The same can be done for the symbol properties, in case they are different depending on the underlying
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equitySymbolProperties = self.SymbolPropertiesDatabase.GetSymbolProperties(Market.USA, None, SecurityType.Equity, Currencies.USD)
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self.SymbolPropertiesDatabase.SetEntry(Market.InteractiveBrokers, None, SecurityType.Cfd, equitySymbolProperties)
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spyCfd = self.AddCfd("SPY", market=Market.InteractiveBrokers)
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if json.JsonConvert.SerializeObject(spyCfd.Exchange.Hours) != json.JsonConvert.SerializeObject(equityMarketHoursEntry.ExchangeHours):
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raise Exception("Expected the SPY CFD market hours to be the same as the underlying equity market hours.")
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if json.JsonConvert.SerializeObject(spyCfd.SymbolProperties) != json.JsonConvert.SerializeObject(equitySymbolProperties):
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raise Exception("Expected the SPY CFD symbol properties to be the same as the underlying equity symbol properties.")
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# We can also do it for a specific ticker
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audUsdForexMarketHoursEntry = self.MarketHoursDatabase.GetEntry(Market.Oanda, None, SecurityType.Forex)
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self.MarketHoursDatabase.SetEntry(Market.InteractiveBrokers, "AUDUSD", SecurityType.Cfd, audUsdForexMarketHoursEntry.ExchangeHours, audUsdForexMarketHoursEntry.DataTimeZone)
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audUsdForexSymbolProperties = self.SymbolPropertiesDatabase.GetSymbolProperties(Market.Oanda, "AUDUSD", SecurityType.Forex, Currencies.USD)
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self.SymbolPropertiesDatabase.SetEntry(Market.InteractiveBrokers, "AUDUSD", SecurityType.Cfd, audUsdForexSymbolProperties)
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audUsdCfd = self.AddCfd("AUDUSD", market=Market.InteractiveBrokers)
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if json.JsonConvert.SerializeObject(audUsdCfd.Exchange.Hours) != json.JsonConvert.SerializeObject(audUsdForexMarketHoursEntry.ExchangeHours):
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raise Exception("Expected the AUDUSD CFD market hours to be the same as the underlying forex market hours.")
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if json.JsonConvert.SerializeObject(audUsdCfd.SymbolProperties) != json.JsonConvert.SerializeObject(audUsdForexSymbolProperties):
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raise Exception("Expected the AUDUSD CFD symbol properties to be the same as the underlying forex symbol properties.")
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