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>
+### Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.FuturesChain(Symbol, bool)"/>
+### method to get a future chain.
+### </summary>
+class FuturesChainFullDataRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 7)
+
+        future = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE).symbol
+
+        chain = self.futures_chain(future, flatten=True)
+
+        # Demonstration using data frame:
+        df = chain.data_frame
+
+        for index, row in df.iterrows():
+            if row['bidprice'] == 0 and row['askprice'] == 0 and row['volume'] == 0:
+                raise AssertionError("FuturesChain() returned contract with no data.");
+
+        # Get contracts expiring within 6 months, with the latest expiration date, and lowest price
+        contracts = df.loc[(df.expiry <= self.time + timedelta(days=180))]
+        contracts = contracts.sort_values(['expiry', 'lastprice'], ascending=[False, True])
+        self._future_contract = contracts.index[0]
+
+        self.add_future_contract(self._future_contract)
+
+    def on_data(self, data):
+        # Do some trading with the selected contract for sample purposes
+        if not self.portfolio.invested:
+            self.set_holdings(self._future_contract, 0.5)
+        else:
+            self.liquidate()