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.
+
+from AlgorithmImports import *
+
+### <summary>
+### This example demonstrates how to add futures with daily resolution.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="benchmarks" />
+### <meta name="tag" content="futures" />
+class BasicTemplateFuturesDailyAlgorithm(QCAlgorithm):
+    def initialize(self):
+        self.set_start_date(2013, 10, 8)
+        self.set_end_date(2014, 10, 10)
+        self.set_cash(1000000)
+
+        resolution = self.get_resolution()
+        extended_market_hours = self.get_extended_market_hours()
+
+        # Subscribe and set our expiry filter for the futures chain
+        self.future_sp500 = self.add_future(Futures.Indices.SP_500_E_MINI, resolution, extended_market_hours=extended_market_hours)
+        self.future_gold = self.add_future(Futures.Metals.GOLD, resolution, extended_market_hours=extended_market_hours)
+
+        # 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
+        self.future_sp500.set_filter(timedelta(0), timedelta(182))
+        self.future_gold.set_filter(0, 182)
+
+    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
+                contract = sorted(contracts, key = lambda x: x.expiry)[0]
+
+                # if found, trade it.
+                self.market_order(contract.symbol, 1)
+        # Same as above, check for cases like trading on a friday night.
+        elif all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
+            self.liquidate()
+
+    def on_securities_changed(self, changes: SecurityChanges) -> None:
+        if len(changes.removed_securities) > 0 and \
+            self.portfolio.invested and \
+            all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
+            self.liquidate()
+
+    def get_resolution(self):
+        return Resolution.DAILY
+
+    def get_extended_market_hours(self):
+        return False