wehub-resource-sync
91 lines
4.7 KiB
Python
91 lines
4.7 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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### <summary>
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### Continuous Futures Regression algorithm. Asserting and showcasing the behavior of adding a continuous future
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### </summary>
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class ContinuousFutureRegressionAlgorithm(QCAlgorithm):
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'''Basic template algorithm simply initializes the date range and cash'''
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def initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.set_start_date(2013, 7, 1)
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self.set_end_date(2014, 1, 1)
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self._previous_mapped_contract_symbols = []
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self._last_date_log = -1
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self._continuous_contract = self.add_future(Futures.Indices.SP_500_E_MINI,
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data_normalization_mode = DataNormalizationMode.BACKWARDS_RATIO,
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data_mapping_mode = DataMappingMode.LAST_TRADING_DAY,
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contract_depth_offset= 0)
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self._current_mapped_symbol = self._continuous_contract.symbol
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def on_data(self, data):
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'''on_data event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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currently_mapped_security = self.securities[self._continuous_contract.mapped]
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if len(data.keys()) != 1:
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raise ValueError(f"We are getting data for more than one symbols! {','.join(data.keys())}")
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for changed_event in data.symbol_changed_events.values():
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if changed_event.symbol == self._continuous_contract.symbol:
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self._previous_mapped_contract_symbols.append(self.symbol(changed_event.old_symbol))
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self.log(f"SymbolChanged event: {changed_event}")
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if self._current_mapped_symbol == self._continuous_contract.mapped:
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raise ValueError(f"Continuous contract current symbol did not change! {self._continuous_contract.mapped}")
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if self._last_date_log != self.time.month and currently_mapped_security.has_data:
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self._last_date_log = self.time.month
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self.log(f"{self.time}- {currently_mapped_security.get_last_data()}")
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if self.portfolio.invested:
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self.liquidate()
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else:
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# This works because we set this contract as tradable, even if it's a canonical security
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self.buy(currently_mapped_security.symbol, 1)
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if self.time.month == 1 and self.time.year == 2013:
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response = self.history( [ self._continuous_contract.symbol ], 60 * 24 * 90)
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if response.empty:
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raise ValueError("Unexpected empty history response")
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self._current_mapped_symbol = self._continuous_contract.mapped
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def on_order_event(self, order_event):
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if order_event.status == OrderStatus.FILLED:
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self.debug("Purchased Stock: {0}".format(order_event.symbol))
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def on_securities_changed(self, changes):
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self.debug(f"{self.time}-{changes}")
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def on_end_of_algorithm(self):
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expected_mapping_counts = 2
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if len(self._previous_mapped_contract_symbols) != expected_mapping_counts:
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raise ValueError(f"Unexpected symbol changed events: {len(self._previous_mapped_contract_symbols)}, was expecting {expected_mapping_counts}")
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delisted_securities = [
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[security for security in self.securities.total if security.symbol == symbol][0]
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for symbol in self._previous_mapped_contract_symbols
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]
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marked_delisted_securities = [security for security in delisted_securities if security.is_delisted and not security.is_tradable]
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if len(marked_delisted_securities) != len(delisted_securities):
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raise ValueError(f"Not all delisted contracts are properly marked as delisted and non-tradable: "
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f"only {len(marked_delisted_securities)} are marked, was expecting {len(delisted_securities)}")
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