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 System;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// EMA cross with SP500 E-mini futures
+    /// In this example, we demostrate how to trade futures contracts using
+    /// a equity to generate the trading signals
+    /// It also shows how you can prefilter contracts easily based on expirations.
+    /// It also shows how you can inspect the futures chain to pick a specific contract to trade.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="futures" />
+    /// <meta name="tag" content="indicators" />
+    /// <meta name="tag" content="strategy example" />
+    public class FuturesMomentumAlgorithm : QCAlgorithm
+    {
+        private const decimal _tolerance = 0.001m;
+        private const int _fastPeriod = 20;
+        private const int _slowPeriod = 60;
+
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+
+        public bool IsReady { get { return _fast.IsReady && _slow.IsReady; } }
+        public bool IsUpTrend { get { return IsReady && _fast > _slow * (1 + _tolerance); } }
+        public bool IsDownTrend { get { return IsReady && _fast < _slow * (1 + _tolerance); } }
+
+        public override void Initialize()
+        {
+            SetStartDate(2016, 1, 1);
+            SetEndDate(2016, 8, 18);
+            SetCash(100000);
+            SetWarmUp(Math.Max(_fastPeriod, _slowPeriod));
+
+            // Adds SPY to be used in our EMA indicators
+            var equity = AddEquity("SPY", Resolution.Daily);
+            _fast = EMA(equity.Symbol, _fastPeriod, Resolution.Daily);
+            _slow = EMA(equity.Symbol, _slowPeriod, Resolution.Daily);
+
+            // Adds the future that will be traded and
+            // set our expiry filter for this futures chain
+            var future = AddFuture(Futures.Indices.SP500EMini);
+            future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested && IsUpTrend)
+            {
+                foreach (var chain in slice.FutureChains)
+                {
+                    // find the front contract expiring no earlier than in 90 days
+                    var contract = (
+                        from futuresContract in chain.Value.OrderBy(x => x.Expiry)
+                        where futuresContract.Expiry > Time.Date.AddDays(90)
+                        select futuresContract
+                        ).FirstOrDefault();
+
+                    // if found, trade it
+                    if (contract != null)
+                    {
+                        MarketOrder(contract.Symbol, 1);
+                    }
+                }
+            }
+
+            if (Portfolio.Invested && IsDownTrend)
+            {
+                Liquidate();
+            }
+        }
+
+        public override void OnEndOfDay(Symbol symbol)
+        {
+            Plot("Indicator Signal", "EOD", IsDownTrend ? -1 : IsUpTrend ? 1 : 0);
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log(orderEvent.ToString());
+        }
+    }
+}