wehub-resource-sync
67 lines
3.2 KiB
Python
67 lines
3.2 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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### A demonstration of consolidating options data into larger bars for your algorithm.
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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="consolidating data" />
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### <meta name="tag" content="options" />
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class BasicTemplateOptionsConsolidationAlgorithm(QCAlgorithm):
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def initialize(self):
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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(1000000)
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# Subscribe and set our filter for the options chain
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option = self.add_option('SPY')
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# set our strike/expiry filter for this option 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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option.set_filter(-2, +2, 0, 180)
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# option.set_filter(-2, +2, timedelta(0), timedelta(180))
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self.consolidators = dict()
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def on_quote_bar_consolidated(self, sender, quote_bar):
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self.log("OnQuoteBarConsolidated called on " + str(self.time))
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self.log(str(quote_bar))
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def on_trade_bar_consolidated(self, sender, trade_bar):
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self.log("OnTradeBarConsolidated called on " + str(self.time))
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self.log(str(trade_bar))
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def on_securities_changed(self, changes):
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for security in changes.added_securities:
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if security.type == SecurityType.EQUITY:
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trade_bar_consolidator = TradeBarConsolidator(timedelta(minutes=5))
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trade_bar_consolidator.data_consolidated += self.on_trade_bar_consolidated
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self.subscription_manager.add_consolidator(security.symbol, trade_bar_consolidator)
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self.consolidators[security.symbol] = trade_bar_consolidator
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else:
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quote_bar_consolidator = QuoteBarConsolidator(timedelta(minutes=5))
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quote_bar_consolidator.data_consolidated += self.on_quote_bar_consolidated
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self.subscription_manager.add_consolidator(security.symbol, quote_bar_consolidator)
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self.consolidators[security.symbol] = quote_bar_consolidator
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for security in changes.removed_securities:
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consolidator = self.consolidators.pop(security.symbol)
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self.subscription_manager.remove_consolidator(security.symbol, consolidator)
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if security.type == SecurityType.EQUITY:
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consolidator.data_consolidated -= self.on_trade_bar_consolidated
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else:
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consolidator.data_consolidated -= self.on_quote_bar_consolidated
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