wehub-resource-sync
68 lines
3.0 KiB
Python
68 lines
3.0 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 add futures with daily resolution.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="benchmarks" />
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### <meta name="tag" content="futures" />
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class BasicTemplateFuturesDailyAlgorithm(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(2014, 10, 10)
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self.set_cash(1000000)
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resolution = self.get_resolution()
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extended_market_hours = self.get_extended_market_hours()
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# Subscribe and set our expiry filter for the futures chain
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self.future_sp500 = self.add_future(Futures.Indices.SP_500_E_MINI, resolution, extended_market_hours=extended_market_hours)
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self.future_gold = self.add_future(Futures.Metals.GOLD, resolution, extended_market_hours=extended_market_hours)
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# set our expiry filter for this futures chain
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# SetFilter method accepts timedelta objects or integer for days.
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# The following statements yield the same filtering criteria
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self.future_sp500.set_filter(timedelta(0), timedelta(182))
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self.future_gold.set_filter(0, 182)
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def on_data(self,slice):
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if not self.portfolio.invested:
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for chain in slice.future_chains:
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# Get contracts expiring no earlier than in 90 days
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contracts = list(filter(lambda x: x.expiry > self.time + timedelta(90), chain.value))
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# if there is any contract, trade the front contract
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if len(contracts) == 0: continue
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contract = sorted(contracts, key = lambda x: x.expiry)[0]
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# if found, trade it.
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self.market_order(contract.symbol, 1)
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# Same as above, check for cases like trading on a friday night.
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elif all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
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self.liquidate()
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def on_securities_changed(self, changes: SecurityChanges) -> None:
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if len(changes.removed_securities) > 0 and \
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self.portfolio.invested and \
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all(x.exchange.hours.is_open(self.time, True) for x in self.securities.values() if x.invested):
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self.liquidate()
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def get_resolution(self):
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return Resolution.DAILY
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def get_extended_market_hours(self):
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return False
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