wehub-resource-sync
82 lines
5.2 KiB
Python
82 lines
5.2 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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import Newtonsoft.Json as json
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### <summary>
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### Algorithm illustrating how to manually set market hours and symbol properties database entries to be picked up by the algorithm's securities.
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### This specific case illustrates how to do it for CFDs to match InteractiveBrokers brokerage, which has different market hours
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### depending on the CFD underlying asset.
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### </summary>
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class ManuallySetMarketHoursAndSymbolPropertiesDatabaseEntriesAlgorithm(QCAlgorithm):
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'''
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Algorithm illustrating how to manually set market hours and symbol properties database entries to be picked up by the algorithm's securities.
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This specific case illustrates how to do it for CFDs to match InteractiveBrokers brokerage, which has different market hours
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depending on the CFD underlying asset.
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'''
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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(100000)
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self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE)
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# Some brokerages like InteractiveBrokers make a difference on CFDs depending on the underlying (equity, index, metal, forex).
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# Depending on this, the market hours can be different. In order to be more specific with the market hours,
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# we can set the MarketHoursDatabase entry for the CFDs.
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# Equity CFDs are usually traded the same hours as the equity market.
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equity_market_hours_entry = self.market_hours_database.get_entry(Market.USA, Symbol.EMPTY, SecurityType.EQUITY)
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self.market_hours_database.set_entry(Market.INTERACTIVE_BROKERS, "", SecurityType.CFD, equity_market_hours_entry.exchange_hours, equity_market_hours_entry.data_time_zone)
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# The same can be done for the symbol properties, in case they are different depending on the underlying
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equity_symbol_properties = self.symbol_properties_database.get_symbol_properties(Market.USA, Symbol.EMPTY, SecurityType.EQUITY, Currencies.USD)
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self.symbol_properties_database.set_entry(Market.INTERACTIVE_BROKERS, "", SecurityType.CFD, equity_symbol_properties)
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spy_cfd = self.add_cfd("SPY", market=Market.INTERACTIVE_BROKERS)
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if json.JsonConvert.serialize_object(spy_cfd.exchange.hours) != json.JsonConvert.serialize_object(equity_market_hours_entry.exchange_hours):
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raise AssertionError("Expected the SPY CFD market hours to be the same as the underlying equity market hours.")
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if not self.symbol_properties_are_equivalent(spy_cfd.symbol_properties, equity_symbol_properties):
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raise AssertionError("Expected the SPY CFD symbol properties to be the same as the underlying equity symbol properties.")
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# We can also do it for a specific ticker
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aud_usd_forex_market_hours_entry = self.market_hours_database.get_entry(Market.OANDA, Symbol.EMPTY, SecurityType.FOREX)
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self.market_hours_database.set_entry(Market.INTERACTIVE_BROKERS, "AUDUSD", SecurityType.CFD, aud_usd_forex_market_hours_entry.exchange_hours, aud_usd_forex_market_hours_entry.data_time_zone)
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aud_usd_forex_symbol_properties = self.symbol_properties_database.get_symbol_properties(Market.OANDA, "AUDUSD", SecurityType.FOREX, Currencies.USD)
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self.symbol_properties_database.set_entry(Market.INTERACTIVE_BROKERS, "AUDUSD", SecurityType.CFD, aud_usd_forex_symbol_properties)
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aud_usd_cfd = self.add_cfd("AUDUSD", market=Market.INTERACTIVE_BROKERS)
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if json.JsonConvert.serialize_object(aud_usd_cfd.exchange.hours) != json.JsonConvert.serialize_object(aud_usd_forex_market_hours_entry.exchange_hours):
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raise AssertionError("Expected the AUDUSD CFD market hours to be the same as the underlying forex market hours.")
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if not self.symbol_properties_are_equivalent(aud_usd_cfd.symbol_properties, aud_usd_forex_symbol_properties):
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raise AssertionError("Expected the AUDUSD CFD symbol properties to be the same as the underlying forex symbol properties.")
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def symbol_properties_are_equivalent(self, a, b):
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return (a.description == b.description and
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a.quote_currency == b.quote_currency and
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a.contract_multiplier == b.contract_multiplier and
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a.minimum_price_variation == b.minimum_price_variation and
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a.lot_size == b.lot_size and
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a.market_ticker == b.market_ticker and
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a.minimum_order_size == b.minimum_order_size and
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a.price_magnifier == b.price_magnifier and
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a.strike_multiplier == b.strike_multiplier)
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