wehub-resource-sync
80 lines
3.7 KiB
Python
80 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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### <summary>
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### This example demonstrates how to add futures for a given underlying asset.
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### It also shows how you can prefilter contracts easily based on expirations, and how you
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### can inspect the futures chain to pick a specific contract to trade.
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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 BasicTemplateFuturesAlgorithm(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(2013, 10, 10)
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self.set_cash(1000000)
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self.contract_symbol = None
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# Subscribe and set our expiry filter for the futures chain
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futureSP500 = self.add_future(Futures.Indices.SP_500_E_MINI)
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future_gold = self.add_future(Futures.Metals.GOLD)
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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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futureSP500.set_filter(timedelta(0), timedelta(182))
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future_gold.set_filter(0, 182)
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benchmark = self.add_equity("SPY")
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self.set_benchmark(benchmark.symbol)
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seeder = FuncSecuritySeeder(self.get_last_known_prices)
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self.set_security_initializer(lambda security: seeder.seed_security(security))
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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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front = sorted(contracts, key = lambda x: x.expiry, reverse=True)[0]
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self.contract_symbol = front.symbol
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self.market_order(front.symbol , 1)
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else:
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self.liquidate()
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def on_end_of_algorithm(self):
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# Get the margin requirements
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buying_power_model = self.securities[self.contract_symbol].buying_power_model
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name = type(buying_power_model).__name__
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if name != 'FutureMarginModel':
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raise AssertionError(f"Invalid buying power model. Found: {name}. Expected: FutureMarginModel")
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initial_overnight = buying_power_model.initial_overnight_margin_requirement
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maintenance_overnight = buying_power_model.maintenance_overnight_margin_requirement
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initial_intraday = buying_power_model.initial_intraday_margin_requirement
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maintenance_intraday = buying_power_model.maintenance_intraday_margin_requirement
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def on_securities_changed(self, changes):
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for added_security in changes.added_securities:
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if added_security.symbol.security_type == SecurityType.FUTURE and not added_security.symbol.is_canonical() and not added_security.has_data:
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raise AssertionError(f"Future contracts did not work up as expected: {added_security.symbol}")
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