Using Indicators with Futures by Yuval Roth

Yuval Roth

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hi,

I am trying to build a simple algo that uses indicators on Futures.

I keep getting this error at runtime:



During the algorithm initialization, the following exception has occurred: Please register to receive data for symbol ' ' using the AddSecurity() function.

Any idea what am I doing wrong here ?







namespace QuantConnect 

{   

    /*

    *   QuantConnect University: Bollinger Bands Example:

    */

    public class BollingerBandsAlgorithm : QCAlgorithm

    {

        string _symbol = "ZN";

        BollingerBands _bb;

        RelativeStrengthIndex _rsi;

        AverageTrueRange _atr;

        ExponentialMovingAverage _ema;

        SimpleMovingAverage _sma;

        MovingAverageConvergenceDivergence _macd;

        

        decimal _price;

        

        //Initialize the data and resolution you require for your strategy:

        public override void Initialize()

        {

            //Initialize

            SetStartDate(2018, 1, 1);         

            SetEndDate(2018, 2, 1); 

            SetCash(25000);

            

            //Add as many securities as you like. All the data will be passed into the event handler:

            AddSecurity(SecurityType.Future, _symbol, Resolution.Minute);

            

            //Set up Indicators:

            _bb = BB(_symbol, 20, 1, MovingAverageType.Simple, Resolution.Daily);

            _rsi = RSI(_symbol, 14,  MovingAverageType.Simple, Resolution.Daily);

            _atr = ATR(_symbol, 14,  MovingAverageType.Simple, Resolution.Daily);

            _ema = EMA(_symbol, 14, Resolution.Daily);

            _sma = SMA(_symbol, 14, Resolution.Daily);

            _macd = MACD(_symbol, 12, 26, 9, MovingAverageType.Simple, Resolution.Daily);

        }



        public void OnData(TradeBars data) 

        {   

            if (!_bb.IsReady || !_rsi.IsReady) return;

            

            _price = data["ZN"].Close;

            

            if (!Portfolio.HoldStock) 

            { 

                int quantity = (int)Math.Floor(Portfolio.Cash / data[_symbol].Close);

                

                //Order function places trades: enter the string symbol and the quantity you want:

                Order(_symbol,  quantity);

                

                //Debug sends messages to the user console: "Time" is the algorithm time keeper object 

                Debug("Purchased ZN on " + Time.ToShortDateString());

            }

        }

        

        // Fire plotting events once per day:

        public override void OnEndOfDay() {

            if (!_bb.IsReady) return;

            

            Plot("BB", "Price", _price);

            Plot("BB", _bb.UpperBand, _bb.MiddleBand, _bb.LowerBand);

            

            Plot("RSI", _rsi);

            

            Plot("ATR", _atr);

            

            Plot("MACD", "Price", _price);

            Plot("MACD", _macd.Fast, _macd.Slow);

            

            Plot("Averages", _ema, _sma);

        }

    }

}

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Yuval Roth

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Jack Simonson

Hi Yuval,

"ZN" will subscribe to Futures data but dealing with Futures requires that you define a filter for contract expiration dates, and when Futures data gets passed into OnData it is passed Slice objects that contain Futures Chains, which in turn are made up of specific Futures Contracts -- this means that data['ZN'] won't return any sort of data object, and this is the cause of the error you are seeing. Additionally, indicators will need to be made for each specific contract rather than for "ZN". The best place to look to familiarize yourself with these would be to look here and here, and hopefully, this and other posts in the forum will provide helpful guidance.

Amulya Jitendra Agarwal

410 ,

If I use the slices and get my indicators on every contract, then I am not getting any order mostly.

from QuantConnect.Data.Market import *



class MovingAverageCrossAlgorithm(QCAlgorithm):

    '''In this example we look at the canonical 20/30 day moving average cross. This algorithm

    will go long when the 20 crosses above the 30 and will liquidate when the 20 crosses

    back below the 30.'''

    

    def __init__(self):

            # self.symbol = "SPY"

            self.previous = None

            self.fast = None

            self.slow = None

            self.stopMarketTicket = None

            self.spy = None

            

    

    def Initialize(self):

        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        

        self.SetStartDate(2020, 1, 15)  #Set Start Date

        self.SetEndDate(2020, 5, 15)    #Set End Date

        self.SetCash(100000)           #Set Strategy Cash

        # Find more symbols here: http://quantconnect.com/data

        

        

        self.spy = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Hour)

        self.spy.SetFilter(0, 90)

        # self.Securities[self.symbol].FeeModel = ConstantFeeModel(0)



        

    def OnData(self, slice):

        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

        

        Arguments:

            data: TradeBars IDictionary object with your stock data

        '''

        # a couple things to notice in this method:

        #  1. We never need to 'update' our indicators with the data, the engine takes care of this for us

        #  2. We can use indicators directly in math expressions

        #  3. We can easily plot many indicators at the same time    



        

        

        for chain in slice.FutureChains:

            self.popularContracts = [contract for contract in chain.Value if contract.OpenInterest > 1000]

 

            if len(self.popularContracts) == 0:

                continue

            

            sortedByOIContracts = sorted(self.popularContracts, key=lambda k : k.OpenInterest, reverse=True)

            self.liquidContract = sortedByOIContracts[0]

            

            # create a 20 day exponential moving average

            self.fast = self.EMA(self.liquidContract.Symbol, 20, Resolution.Hour)



            # create a 30 day exponential moving average

            self.slow = self.EMA(self.liquidContract.Symbol, 30, Resolution.Hour)

            

            # wait for our slow ema to fully initialize

            if not self.slow.IsReady:

                return    

            

            holdings = self.Portfolio[self.liquidContract.Symbol].Quantity

            # we only want to go long if we're currently short or flat

            if holdings <= 0:

                # if the fast is greater than the slow, we'll go long

                if self.fast.Current.Value > self.slow.Current.Value:

                    self.Log("BUY  >> {0}".format(self.Securities[self.liquidContract.Symbol].Price))

                    self.stopMarketTicket = self.StopMarketOrder(self.liquidContract.Symbol, self.CalculateOrderQuantity(self.liquidContract.Symbol, 1.0), 

                    0.995*self.Securities[self.liquidContract.Symbol].Price)

                   

                    # self.SetHoldings(self.symbol, 0.67)

                 

            # we only want to liquidate if we're currently long

            # if the fast is less than the slow we'll liquidate our long

            if holdings > 0 and self.fast.Current.Value < self.slow.Current.Value:

                self.Log("SELL >> {0}".format(self.Securities[self.liquidContract.Symbol].Price))

                self.Liquidate(self.liquidContract.Symbol) 

                    

                

    

    def OnOrderEvent(self, orderEvent):

        

        if orderEvent.Status != OrderStatus.Filled:

            return

        

        #2. Check if we hit our stop loss (Compare the orderEvent.Id with the stopMarketTicket.OrderId)

        #   It's important to first check if the ticket isn't null (i.e. making sure it has been submitted)

        if self.stopMarketTicket is not None and self.stopMarketTicket.OrderId == orderEvent.OrderId:

            self.Log("Asset Price >> {0}".format(self.Portfolio[self.liquidContract.Symbol].Price))

Jack Simonson

Hey Amulya,

Can you elaborate on what you mean by not getting and orders mostly? There appear to be a lot of conditions for a contract to meet in order to place an order, so I'm not sure if you're experiencing a bug or simply that this strategy trades infrequently. Can you attach a backtest so we can help investigate further?

Yuval Roth

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