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BasicTemplateFuturesHistoryAlgorithm.py
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85 lines (71 loc) · 3.63 KB
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Data import *
from QuantConnect.Algorithm import *
from QuantConnect.Securities import *
from datetime import timedelta
### <summary>
### This example demonstrates how to get access to futures history for a given root symbol.
### It also shows how you can prefilter contracts easily based on expirations, and inspect the futures
### chain to pick a specific contract to trade.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="history and warm up" />
### <meta name="tag" content="history" />
### <meta name="tag" content="futures" />
class BasicTemplateFuturesHistoryAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013, 10, 8)
self.SetEndDate(2013, 10, 9)
self.SetCash(1000000)
# Subscribe and set our expiry filter for the futures chain
# find the front contract expiring no earlier than in 90 days
futureES = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute)
futureES.SetFilter(timedelta(0), timedelta(182))
futureGC = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)
futureGC.SetFilter(timedelta(0), timedelta(182))
self.SetBenchmark(lambda x: 1000000)
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.Every(timedelta(hours=1)), self.MakeHistoryCall)
self.successCount = 0
def MakeHistoryCall(self):
history = self.History(self.Securities.keys(), 10, Resolution.Minute)
if len(history) < 10:
raise Exception(f'Empty history at {self.Time}')
self.successCount += 1
def OnEndOfAlgorithm(self):
if self.successCount < 49:
raise Exception(f'Scheduled Event did not assert history call as many times as expected: {_successCount}/49')
def OnData(self,slice):
if self.Portfolio.Invested: return
for chain in slice.FutureChains:
for contract in chain.Value:
self.Log(f'{contract.Symbol.Value},' +
f'Bid={contract.BidPrice} ' +
f'Ask={contract.AskPrice} ' +
f'Last={contract.LastPrice} ' +
f'OI={contract.OpenInterest}')
def OnSecuritiesChanged(self, changes):
for change in changes.AddedSecurities:
history = self.History(change.Symbol, 10, Resolution.Minute).sort_index(level='time', ascending=False)[:3]
for index, row in history.iterrows():
self.Log(f'History: {index[1]} : {index[2]:%m/%d/%Y %I:%M:%S %p} > {row.close}')
def OnOrderEvent(self, orderEvent):
# Order fill event handler. On an order fill update the resulting information is passed to this method.
# Order event details containing details of the events
self.Log(f'{orderEvent}')