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