chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
@@ -0,0 +1,79 @@
+# 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.
+
+from AlgorithmImports import *
+
+### <summary>
+### This example demonstrates how to add futures for a given underlying asset.
+### It also shows how you can prefilter contracts easily based on expirations, and 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="benchmarks" />
+### <meta name="tag" content="futures" />
+class BasicTemplateFuturesAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 8)
+        self.set_end_date(2013, 10, 10)
+        self.set_cash(1000000)
+
+        self.contract_symbol = None
+
+        # Subscribe and set our expiry filter for the futures chain
+        futureSP500 = self.add_future(Futures.Indices.SP_500_E_MINI)
+        future_gold = self.add_future(Futures.Metals.GOLD)
+
+        # set our expiry filter for this futures chain
+        # SetFilter method accepts timedelta objects or integer for days.
+        # The following statements yield the same filtering criteria
+        futureSP500.set_filter(timedelta(0), timedelta(182))
+        future_gold.set_filter(0, 182)
+
+        benchmark = self.add_equity("SPY")
+        self.set_benchmark(benchmark.symbol)
+
+        seeder = FuncSecuritySeeder(self.get_last_known_prices)
+        self.set_security_initializer(lambda security: seeder.seed_security(security))
+
+    def on_data(self,slice):
+        if not self.portfolio.invested:
+            for chain in slice.future_chains:
+                 # Get contracts expiring no earlier than in 90 days
+                contracts = list(filter(lambda x: x.expiry > self.time + timedelta(90), chain.value))
+
+                # if there is any contract, trade the front contract
+                if len(contracts) == 0: continue
+                front = sorted(contracts, key = lambda x: x.expiry, reverse=True)[0]
+
+                self.contract_symbol = front.symbol
+                self.market_order(front.symbol , 1)
+        else:
+            self.liquidate()
+
+    def on_end_of_algorithm(self):
+        # Get the margin requirements
+        buying_power_model = self.securities[self.contract_symbol].buying_power_model
+        name = type(buying_power_model).__name__
+        if name != 'FutureMarginModel':
+            raise AssertionError(f"Invalid buying power model. Found: {name}. Expected: FutureMarginModel")
+
+        initial_overnight = buying_power_model.initial_overnight_margin_requirement
+        maintenance_overnight = buying_power_model.maintenance_overnight_margin_requirement
+        initial_intraday = buying_power_model.initial_intraday_margin_requirement
+        maintenance_intraday = buying_power_model.maintenance_intraday_margin_requirement
+
+    def on_securities_changed(self, changes):
+        for added_security in changes.added_securities:
+            if added_security.symbol.security_type == SecurityType.FUTURE and not added_security.symbol.is_canonical() and not added_security.has_data:
+                raise AssertionError(f"Future contracts did not work up as expected: {added_security.symbol}")