Sure, I've included the code, it's from another post on the forum. The data I've generated is for all 2021 and as you can see in the code I'm also trying to backtest for the same period.
Can you try to generate a future and see if you can load it with my code?
from AlgorithmImports import *
import clr
import decimal as d
import pandas as pd
class Mtebfuture(QCAlgorithm):
def Initialize(self):
self.contract = None
self.SetStartDate(2021, 8, 1) #Set Start Date
self.SetEndDate(2021, 11, 1) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.SetWarmUp(TimeSpan.FromDays(45)) # Set warm up
self.SetTimeZone('Europe/Vilnius') # Set timezone
self.new_day = True
self.reset = True
# Risk management
# Subscribe and set our expiry filter for the futures chain
futureES = self.AddFuture('e7', resolution = Resolution.Minute, market = 'CME')
futureES.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(360))
# Indicators
self.slow_sma = None
self.slow_sma_period = 50
self.fast_sma = None
self.fast_sma_period = 18
def OnData(self, slice):
self.Debug('***')
if not self.InitUpdateContract(slice):
return
# Reset any open positions based on a contract rollover.
if self.reset:
self.reset = False
self.Log('RESET: closing all positions')
self.Liquidate()
def InitUpdateContract(self, slice):
# Reset daily - everyday we check whether futures need to be rolled
if not self.new_day:
return True
if self.contract != None and (self.contract.Expiry - self.Time).days >= 3: # rolling 3 days before expiry
return True
for chain in slice.FutureChains.Values:
# When selecting contract, if on expiry date then skip first as it would be the same one.
idx = 0
if self.contract != None:
self.Log('Expiry days away {} - {}'.format((self.contract.Expiry-self.Time).days, self.contract.Expiry))
if self.contract != None and (self.contract.Expiry - self.Time).days < 3:
idx = 1
contracts = list(chain.Contracts.Values)
chain_contracts = list(contracts) #[contract for contract in chain]
chain_contracts = sorted(chain_contracts, key=lambda x: x.Expiry)
if len(chain_contracts) < 2:
return False
first = chain_contracts[idx]
second = chain_contracts[idx+1]
if (first.Expiry - self.Time).days >= 3:
self.contract = first
elif (first.Expiry - self.Time).days < 3 and (second.Expiry - self.Time).days >= 3:
self.contract = second
self.Log("Setting contract to: {}".format(self.contract.Symbol.Value))
self.new_day = False
self.reset = True
# Set up consolidators.
one_hour = TradeBarConsolidator(TimeSpan.FromMinutes(60))
one_hour.DataConsolidated += self.OnHour
self.SubscriptionManager.AddConsolidator(self.contract.Symbol, one_hour)
# Set up indicators.
self.slow_sma = self.SMA(self.contract.Symbol, self.slow_sma_period, Resolution.Hour)
self.fast_sma = self.SMA(self.contract.Symbol, self.fast_sma_period, Resolution.Hour)
history = self.History(self.contract.Symbol, 50*60, Resolution.Minute).reset_index(drop=False)
for bar in history.itertuples():
if bar.time.minute == 0 and ((self.Time-bar.time)/pd.Timedelta(minutes=1)) >= 2:
self.slow_sma.Update(bar.time, bar.close)
self.fast_sma.Update(bar.time, bar.close)
return True
return False
def OnHour(self, sender, bar):
if (self.slow_sma != None and self.slow_sma.IsReady and self.fast_sma != None and self.fast_sma.IsReady):
if bar.Symbol == self.contract.Symbol:
price = bar.Close
holdings = self.Portfolio[self.contract.Symbol].Quantity
if holdings <= 0:
# Go long
if self.fast_sma > self.slow_sma:
self.Log("BUY >> {}".format(price))
self.MarketOrder(self.contract.Symbol, 1)
if holdings > 0 and self.fast_sma < self.slow_sma:
self.Log("SELL >> {}".format(price))
self.Liquidate()
else:
self.Log('SMAs not ready yet')
def OnEndOfDay(self, symbol):
self.new_day = True
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