AlexCatarino
f008e90202
This example shows how to create an EMA cross algorithm for a futures' front contract. Once the contract is added, the indicators are registered to a new consolidator and warmed up with historical data. When a contract is removed, the consolidator is removed and the indicators are reseted. We don't need to liquidate it, because it's liquidated automatically since it has expired.
104 lines
4.2 KiB
Python
104 lines
4.2 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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AddReference("QuantConnect.Indicators")
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from System import *
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from QuantConnect import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Indicators import *
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from QuantConnect.Securities import *
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### <summary>
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### This example demonstrates how to implement a cross moving average for the futures front contract
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="indicator" />
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### <meta name="tag" content="futures" />
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class EmaCrossFuturesFrontMonthAlgorithm(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, 10)
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self.SetCash(1000000)
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future = self.AddFuture(Futures.Metals.Gold);
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# Only consider the front month contract
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future.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen())
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# Symbol of the current contract
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self.symbol = None
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# Create two exponential moving averages
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self.fast = ExponentialMovingAverage(100)
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self.slow = ExponentialMovingAverage(300)
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self.tolerance = 0.001
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self.consolidator = None
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# Add a custom chart to track the EMA cross
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chart = Chart('EMA Cross')
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chart.AddSeries(Series('Fast', SeriesType.Line, 1))
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chart.AddSeries(Series('Slow', SeriesType.Line, 1))
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self.AddChart(chart)
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def OnData(self,slice):
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holding = None if self.symbol is None else self.Portfolio.get(self.symbol)
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if holding is not None:
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# Buy the futures' front contract when the fast EMA is above the slow one
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if self.fast.Current.Value > self.slow.Current.Value * (1 + self.tolerance):
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if not holding.Invested:
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self.SetHoldings(self.symbol, .1)
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self.PlotEma()
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elif holding.Invested:
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self.Liquidate(self.symbol)
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self.PlotEma()
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def OnSecuritiesChanged(self, changes):
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if len(changes.RemovedSecurities) > 0:
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# Remove the consolidator for the previous contract
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# and reset the indicators
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if self.symbol is not None and self.consolidator is not None:
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self.SubscriptionManager.RemoveConsolidator(self.symbol, self.consolidator)
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self.fast.Reset()
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self.slow.Reset()
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# We don't need to call Liquidate(_symbol),
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# since its positions are liquidated because the contract has expired.
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# Only one security will be added: the new front contract
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self.symbol = changes.AddedSecurities[0].Symbol
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# Create a new consolidator and register the indicators to it
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self.consolidator = self.ResolveConsolidator(self.symbol, Resolution.Minute)
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self.RegisterIndicator(self.symbol, self.fast, self.consolidator)
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self.RegisterIndicator(self.symbol, self.slow, self.consolidator)
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# Update the consolidator with historical data
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# This will update the registered indicators
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history = self.History(self.symbol, self.slow.WarmUpPeriod)
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for index, row in history.iterrows():
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time = index[2]
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bar = TradeBar(time, self.symbol, row.open, row.high, row.low, row.close, 0)
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self.consolidator.Update(bar)
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self.PlotEma()
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def PlotEma(self):
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self.Plot('EMA Cross', 'Fast', self.fast.Current.Value)
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self.Plot('EMA Cross', 'Slow', self.slow.Current.Value) |