GeezerVison is showing github.com — Lean/Algorithm.Python/BasicTemplateFuturesAlgorithm.py at master · QuantConnect/Lean

Expand file tree

BasicTemplateFuturesAlgorithm.py

Copy path

More file actions

Latest commit

History

76 lines (63 loc) · 3.59 KB

BasicTemplateFuturesAlgorithm.py

Copy path

File metadata and controls

76 lines (63 loc) · 3.59 KB

Raw

Copy raw file

Download raw file

Open symbols panel

Edit and raw actions

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# 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 AlgorithmImports import *

### <summary>

### This example demonstrates how to add futures for a given underlying asset.

### It also shows how you can prefilter contracts easily based on expirations, and how you

### can inspect the futures chain to pick a specific contract to trade.

### </summary>

### <meta name="tag" content="using data" />

### <meta name="tag" content="benchmarks" />

### <meta name="tag" content="futures" />

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

def initialize(self):

self.set_start_date(2013, 10, 8)

self.set_end_date(2013, 10, 10)

self.set_cash(1000000)

self.contract_symbol = None

# Subscribe and set our expiry filter for the futures chain

futureSP500 = self.add_future(Futures.Indices.SP_500_E_MINI)

future_gold = self.add_future(Futures.Metals.GOLD)

# set our expiry filter for this futures chain

# SetFilter method accepts timedelta objects or integer for days.

# The following statements yield the same filtering criteria

futureSP500.set_filter(timedelta(0), timedelta(182))

future_gold.set_filter(0, 182)

benchmark = self.add_equity("SPY")

self.set_benchmark(benchmark.symbol)

seeder = FuncSecuritySeeder(self.get_last_known_prices)

self.set_security_initializer(lambda security: seeder.seed_security(security))

def on_data(self,slice):

if not self.portfolio.invested:

for chain in slice.future_chains:

# Get the front contract expiring no earlier than in 90 days, if any, and trade it

front = next(iter(chain.value.expiring_after(self.time + timedelta(90)).front_month()), None)

if front is None: continue

self.contract_symbol = front.symbol

self.market_order(front.symbol , 1)

else:

self.liquidate()

def on_end_of_algorithm(self):

# Get the margin requirements

buying_power_model = self.securities[self.contract_symbol].buying_power_model

name = type(buying_power_model).__name__

if name != 'FutureMarginModel':

raise AssertionError(f"Invalid buying power model. Found: {name}. Expected: FutureMarginModel")

initial_overnight = buying_power_model.initial_overnight_margin_requirement

maintenance_overnight = buying_power_model.maintenance_overnight_margin_requirement

initial_intraday = buying_power_model.initial_intraday_margin_requirement

maintenance_intraday = buying_power_model.maintenance_intraday_margin_requirement

def on_securities_changed(self, changes):

for added_security in changes.added_securities:

if added_security.symbol.security_type == SecurityType.FUTURE and not added_security.symbol.is_canonical() and not added_security.has_data:

raise AssertionError(f"Future contracts did not work up as expected: {added_security.symbol}")