wehub-resource-sync
41 lines
2.2 KiB
Python
41 lines
2.2 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from AlgorithmImports import *
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### <summary>
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### This example demonstrates how to use the FutureUniverseSelectionModel to select futures contracts for a given underlying asset.
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### The model is set to update daily, and the algorithm ensures that the selected contracts meet specific criteria.
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### This also includes a check to ensure that only future contracts are added to the algorithm's universe.
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### </summary>
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class AddFutureUniverseSelectionModelRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 8)
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self.set_end_date(2013, 10, 10)
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self.set_universe_selection(FutureUniverseSelectionModel(
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timedelta(days=1),
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lambda time: [ Symbol.create(Futures.Indices.SP_500_E_MINI, SecurityType.FUTURE, Market.CME) ]
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))
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def on_securities_changed(self, changes):
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if len(changes.added_securities) > 0:
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for security in changes.added_securities:
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if security.symbol.security_type != SecurityType.FUTURE:
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raise RegressionTestException(f"Expected future security, but found '{security.symbol.security_type}'")
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if security.symbol.id.symbol != "ES":
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raise RegressionTestException(f"Expected future symbol 'ES', but found '{security.symbol.id.symbol}'")
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def on_end_of_algorithm(self):
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if len(self.active_securities) == 0:
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raise RegressionTestException("No active securities found. Expected at least one active security") |