chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Indicators;
+using QuantConnect.Securities;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to implement a cross moving average for the futures front contract
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="indicator" />
+    /// <meta name="tag" content="futures" />
+    public class EmaCrossFuturesFrontMonthAlgorithm : QCAlgorithm
+    {
+        private const decimal _tolerance = 0.001m;
+        private Symbol _symbol;
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+        private IDataConsolidator _consolidator;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 10, 10);
+            SetCash(1000000);
+
+            var future = AddFuture(Futures.Metals.Gold);
+
+            // Only consider the front month contract
+            // Update the universe once per day to improve performance
+            future.SetFilter(x => x.FrontMonth().OnlyApplyFilterAtMarketOpen());
+
+            // Create two exponential moving averages
+            _fast = new ExponentialMovingAverage(100);
+            _slow = new ExponentialMovingAverage(300);
+
+            // Add a custom chart to track the EMA cross
+            var chart = new Chart("EMA Cross");
+            chart.AddSeries(new Series("Fast", SeriesType.Line, 0));
+            chart.AddSeries(new Series("Slow", SeriesType.Line, 0));
+            AddChart(chart);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            SecurityHolding holding;
+            if (Portfolio.TryGetValue(_symbol, out holding))
+            {
+                // Buy the futures' front contract when the fast EMA is above the slow one
+                if (_fast > _slow * (1 + _tolerance))
+                {
+                    if (!holding.Invested)
+                    {
+                        SetHoldings(_symbol, .1);
+                        PlotEma();
+                    }
+                }
+                else if (holding.Invested)
+                {
+                    Liquidate(_symbol);
+                    PlotEma();
+                }
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (changes.RemovedSecurities.Count > 0)
+            {
+                // Remove the consolidator for the previous contract
+                // and reset the indicators
+                if (_symbol != null && _consolidator != null)
+                {
+                    SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);
+                    _fast.Reset();
+                    _slow.Reset();
+                }
+                // We don't need to call Liquidate(_symbol),
+                // since its positions are liquidated because the contract has expired.
+            }
+
+            // Only one security will be added: the new front contract
+            _symbol = changes.AddedSecurities.SingleOrDefault().Symbol;
+
+            // Create a new consolidator and register the indicators to it
+            _consolidator = ResolveConsolidator(_symbol, Resolution.Minute);
+            RegisterIndicator(_symbol, _fast, _consolidator);
+            RegisterIndicator(_symbol, _slow, _consolidator);
+
+            // Warm up the indicators
+            WarmUpIndicator(_symbol, _fast, Resolution.Minute);
+            WarmUpIndicator(_symbol, _slow, Resolution.Minute);
+
+            PlotEma();
+        }
+
+        private void PlotEma()
+        {
+            Plot("EMA Cross", "Fast", _fast);
+            Plot("EMA Cross", "Slow", _slow);
+        }
+    }
+}