wehub-resource-sync
84 lines
3.7 KiB
Python
84 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 get access to futures history for a given root symbol.
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### It also shows how you can prefilter contracts easily based on expirations, and inspect the futures
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### 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="history and warm up" />
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### <meta name="tag" content="history" />
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### <meta name="tag" content="futures" />
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class BasicTemplateFuturesHistoryAlgorithm(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, 9)
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self.set_cash(1000000)
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extended_market_hours = self.get_extended_market_hours()
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# Subscribe and set our expiry filter for the futures chain
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# find the front contract expiring no earlier than in 90 days
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future_es = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, extended_market_hours=extended_market_hours)
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future_es.set_filter(timedelta(0), timedelta(182))
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future_gc = self.add_future(Futures.Metals.GOLD, Resolution.MINUTE, extended_market_hours=extended_market_hours)
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future_gc.set_filter(timedelta(0), timedelta(182))
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self.set_benchmark(lambda x: 1000000)
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self.schedule.on(self.date_rules.every_day(), self.time_rules.every(timedelta(hours=1)), self.make_history_call)
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self._success_count = 0
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def make_history_call(self):
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history = self.history(self.securities.keys(), 10, Resolution.MINUTE)
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if len(history) < 10:
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raise AssertionError(f'Empty history at {self.time}')
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self._success_count += 1
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def on_end_of_algorithm(self):
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if self._success_count < self.get_expected_history_call_count():
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raise AssertionError(f'Scheduled Event did not assert history call as many times as expected: {self._success_count}/49')
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def on_data(self,slice):
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if self.portfolio.invested: return
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for chain in slice.future_chains:
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for contract in chain.value:
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self.log(f'{contract.symbol.value},' +
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f'Bid={contract.bid_price} ' +
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f'Ask={contract.ask_price} ' +
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f'Last={contract.last_price} ' +
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f'OI={contract.open_interest}')
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def on_securities_changed(self, changes):
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for change in changes.added_securities:
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history = self.history(change.symbol, 10, Resolution.MINUTE).sort_index(level='time', ascending=False)[:3]
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for index, row in history.iterrows():
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self.log(f'History: {index[1]} : {index[2]:%m/%d/%Y %I:%M:%S %p} > {row.close}')
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def on_order_event(self, order_event):
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# Order fill event handler. On an order fill update the resulting information is passed to this method.
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# Order event details containing details of the events
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self.log(f'{order_event}')
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def get_extended_market_hours(self):
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return False
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def get_expected_history_call_count(self):
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return 42
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