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 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" />
+class EmaCrossFuturesFrontMonthAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 8)
+        self.set_end_date(2013, 10, 10)
+        self.set_cash(1000000)
+
+        future = self.add_future(Futures.Metals.GOLD)
+
+        # Only consider the front month contract
+        # Update the universe once per day to improve performance
+        future.set_filter(lambda x: x.front_month().only_apply_filter_at_market_open())
+
+        # Symbol of the current contract
+        self._symbol = None
+
+        # Create two exponential moving averages
+        self.fast = ExponentialMovingAverage(100)
+        self.slow = ExponentialMovingAverage(300)
+        self.tolerance = 0.001
+        self.consolidator = None
+
+        # Add a custom chart to track the EMA cross
+        chart = Chart('EMA Cross')
+        chart.add_series(Series('Fast', SeriesType.LINE, 0))
+        chart.add_series(Series('Slow', SeriesType.LINE, 0))
+        self.add_chart(chart)
+
+    def on_data(self,slice):
+
+        holding = None if self._symbol is None else self.portfolio.get(self._symbol)
+        if holding is not None:
+            # Buy the futures' front contract when the fast EMA is above the slow one
+            if self.fast.current.value > self.slow.current.value * (1 + self.tolerance):
+                if not holding.invested:
+                    self.set_holdings(self._symbol, .1)
+                    self.plot_ema()
+            elif holding.invested:
+                self.liquidate(self._symbol)
+                self.plot_ema()
+
+    def on_securities_changed(self, changes):
+        if len(changes.removed_securities) > 0:
+            # Remove the consolidator for the previous contract
+            # and reset the indicators
+            if self._symbol is not None and self.consolidator is not None:
+                self.subscription_manager.remove_consolidator(self._symbol, self.consolidator)
+                self.fast.reset()
+                self.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
+        self._symbol = changes.added_securities[0].symbol
+
+        # Create a new consolidator and register the indicators to it
+        self.consolidator = self.resolve_consolidator(self._symbol, Resolution.MINUTE)
+        self.register_indicator(self._symbol, self.fast, self.consolidator)
+        self.register_indicator(self._symbol, self.slow, self.consolidator)
+
+        #  Warm up the indicators
+        self.warm_up_indicator(self._symbol, self.fast, Resolution.MINUTE)
+        self.warm_up_indicator(self._symbol, self.slow, Resolution.MINUTE)
+
+        self.plot_ema()
+
+    def plot_ema(self):
+        self.plot('EMA Cross', 'Fast', self.fast.current.value)
+        self.plot('EMA Cross', 'Slow', self.slow.current.value)