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
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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 *
+
+from Alphas.ConstantAlphaModel import ConstantAlphaModel
+from Selection.FutureUniverseSelectionModel import FutureUniverseSelectionModel
+
+### <summary>
+### Basic template futures framework algorithm uses framework components
+### to define an algorithm that trades futures.
+### </summary>
+class BasicTemplateFuturesFrameworkAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+
+        self.universe_settings.resolution = Resolution.MINUTE
+        self.universe_settings.extended_market_hours = self.get_extended_market_hours()
+
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+        self.set_cash(100000)
+
+        # set framework models
+        self.set_universe_selection(FrontMonthFutureUniverseSelectionModel(self.select_future_chain_symbols))
+        self.set_alpha(ConstantFutureContractAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1)))
+        self.set_portfolio_construction(SingleSharePortfolioConstructionModel())
+        self.set_execution(ImmediateExecutionModel())
+        self.set_risk_management(NullRiskManagementModel())
+
+
+    def select_future_chain_symbols(self, utc_time):
+        new_york_time = Extensions.convert_from_utc(utc_time, TimeZones.NEW_YORK)
+        if new_york_time.date() < date(2013, 10, 9):
+            return [ Symbol.create(Futures.Indices.SP_500_E_MINI, SecurityType.FUTURE, Market.CME) ]
+        else:
+            return [ Symbol.create(Futures.Metals.GOLD, SecurityType.FUTURE, Market.COMEX) ]
+
+    def get_extended_market_hours(self):
+        return False
+
+class FrontMonthFutureUniverseSelectionModel(FutureUniverseSelectionModel):
+    '''Creates futures chain universes that select the front month contract and runs a user
+    defined future_chain_symbol_selector every day to enable choosing different futures chains'''
+    def __init__(self, select_future_chain_symbols):
+        super().__init__(timedelta(1), select_future_chain_symbols)
+
+    def filter(self, filter):
+        '''Defines the futures chain universe filter'''
+        return (filter.front_month()
+                      .only_apply_filter_at_market_open())
+
+class ConstantFutureContractAlphaModel(ConstantAlphaModel):
+    '''Implementation of a constant alpha model that only emits insights for future symbols'''
+    def __init__(self, _type, direction, period):
+        super().__init__(_type, direction, period)
+
+    def should_emit_insight(self, utc_time, symbol):
+        # only emit alpha for future symbols and not underlying equity symbols
+        if symbol.security_type != SecurityType.FUTURE:
+            return False
+
+        return super().should_emit_insight(utc_time, symbol)
+
+class SingleSharePortfolioConstructionModel(PortfolioConstructionModel):
+    '''Portfolio construction model that sets target quantities to 1 for up insights and -1 for down insights'''
+    def create_targets(self, algorithm, insights):
+        targets = []
+        for insight in insights:
+            targets.append(PortfolioTarget(insight.symbol, insight.direction))
+        return targets