How select Futures contract for its own order condition by Gmamuze Cht

Gmamuze Cht

edit

Hi Everyone,

I have implemented several Futures contract in my code,

I have different conditions for each Futures to place orders. In this case i have to check which contract must be selected.

I tried that :

       public override void OnData(Slice slice)

        {

        	if (!Portfolio.Invested)

            {

                foreach(var chain in slice.FutureChains)

                {



                    // find the front contract expiring no earlier than in 90 days

                    var contract = (from futuresContract in chain.Value.OrderBy(x => x.Expiry) where futuresContract.Expiry > Time.Date.AddDays(90) select futuresContract).FirstOrDefault();



                    // if found, perform logic

                    if (contract != null && contract.LastPrice != 0)

                    {

                    	if (contract.StartsWith("ES"))

                    	

                    {

But the line :

if (contract.StartsWith("ES"))

return an access violation due to its protection level.

How can i do ?

Update Backtest

4 Comments

Gmamuze Cht

, ,

Accepted Answer

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Gmamuze Cht

7.7k Pro ,

Hi Everyone,

Does the code below seem correct to you?

var contractSP500 = (from futuresContract in chain.Value.OrderBy(Symbol => Symbol).ThenBy(x => x.Expiry) 

                    where futuresContract.Symbol.Contains("ES")

                    where futuresContract.Expiry > Time.Date.AddDays(90) 

                    select futuresContract).FirstOrDefault();

					

var contractDOW30 = (from futuresContract in chain.Value.OrderBy(Symbol => Symbol).ThenBy(x => x.Expiry) 

                    where futuresContract.Symbol.Contains("YM")

                    where futuresContract.Expiry > Time.Date.AddDays(90) 

                    select futuresContract).FirstOrDefault();

I get this RunTime Error below, but i don't know if it's these var contract in trouble or an other block of code.

System.InvalidOperationException: Failed to compare two elements in the array. ---> System.ArgumentException: At least one object must implement IComparable.

at System.Collections.Comparer.Compare (System.Object a, System.Object b) [0x00069] in :0

at System.Collections.Generic.ObjectComparer`1[T].Compare (T x, T y) [0x00000] in :0

at System.Linq.EnumerableSorter`2[TElement, TKey].CompareAnyKeys (System.Int32 index1, System.Int32 index2) [0x00000] in <92922d9bda2f4e1cba9242d052be6d43>:0

at System.Collections.Generic.ComparisonComparer`1[T].Compare (T x, T y) [0x00000] in :0

at System.Collections.Generic.ArraySortHelper`1[T].SwapIfGreater (T[] keys, System.Comparison`1[T] comparer, System.Int32 a, System.Int32 b) [0x00004] in :0

at System.Collections.Generic.ArraySortHelper`1[T].IntroSort (T[] keys, System.Int32 lo, System.Int32 hi, System.Int32 depthLimit, System.Comparison`1[T] comparer) [0x00019] in :0

at System.Collections.Generic.ArraySortHelper`1[T].IntrospectiveSort (T[] keys, System.Int32 left, System.Int32 length, System.Comparison`1[T] comparer) [0x00015] in :0

at System.Collections.Generic.ArraySortHelper`1[T].Sort (T[] keys, System.Int32 index, System.Int32 length, System.Collections.Generic.IComparer`1[T] comparer) [0x0000a] in :0

--- End of inner exception stack trace ---

at System.Collections.Generic.ArraySortHelper`1[T].Sort (T[] keys, System.Int32 index, System.Int32 length, System.Collections.Generic.IComparer`1[T] comparer) [0x00036] in :0

at System.Array.Sort[T] (T[] array, System.Int32 index, System.Int32 length, System.Collections.Generic.IComparer`1[T] comparer) [0x00048] in :0

at System.Linq.EnumerableSorter`2[TElement, TKey].QuickSort (System.Int32[] keys, System.Int32 lo, System.Int32 hi) [0x00019] in <92922d9bda2f4e1cba9242d052be6d43>:0

at System.Linq.EnumerableSorter`1[TElement].Sort (TElement[] elements, System.Int32 count) [0x00009] in <92922d9bda2f4e1cba9242d052be6d43>:0

at System.Linq.OrderedEnumerable`1[TElement].SortedMap (System.Linq.Buffer`1[TElement] buffer) [0x00006] in <92922d9bda2f4e1cba9242d052be6d43>:0

at System.Linq.OrderedEnumerable`1+d__3[TElement].MoveNext () [0x0003d] in <92922d9bda2f4e1cba9242d052be6d43>:0

at System.Linq.Enumerable+WhereEnumerableIterator`1[TSource].MoveNext () [0x0004e] in <92922d9bda2f4e1cba9242d052be6d43>:0

at System.Linq.Enumerable.TryGetFirst[TSource] (System.Collections.Generic.IEnumerable`1[T] source, System.Boolean& found) [0x00045] in <92922d9bda2f4e1cba9242d052be6d43>:0

at System.Linq.Enumerable.FirstOrDefault[TSource] (System.Collections.Generic.IEnumerable`1[T] source) [0x00000] in <92922d9bda2f4e1cba9242d052be6d43>:0

at QuantConnect.Algorithm.CSharp.TestAlgo.OnData (QuantConnect.Data.Slice slice) [0x00021] in Test.cs:84

at QuantConnect.Lean.Engine.AlgorithmManager.Run (QuantConnect.Packets.AlgorithmNodePacket job, QuantConnect.Interfaces.IAlgorithm algorithm, QuantConnect.Lean.Engine.DataFeeds.ISynchronizer synchronizer, QuantConnect.Lean.Engine.TransactionHandlers.ITransactionHandler transactions, QuantConnect.Lean.Engine.Results.IResultHandler results, QuantConnect.Lean.Engine.RealTime.IRealTimeHandler realtime, QuantConnect.Lean.Engine.Server.ILeanManager leanManager, QuantConnect.Lean.Engine.Alpha.IAlphaHandler alphas, System.Threading.CancellationToken token) [0x0139a] in Lean.Engine.Alpha.IAlphaHandler alphas, System.Threading.CancellationToken token) [0x0139a] in :0

Gmamuze Cht

7.7k Pro ,

I am finding it ! :D

var contractSP500 = (from futuresContract in chain.Value.OrderBy(x => x.Symbol == "ES").ThenBy(x => x.Expiry) 

                    where futuresContract.Expiry > Time.Date.AddDays(90) 

                    select futuresContract).FirstOrDefault();

					

var contractDOW30 = (from futuresContract in chain.Value.OrderBy(x => x.Symbol == "YM").ThenBy(x => x.Expiry) 

                    where futuresContract.Expiry > Time.Date.AddDays(90) 

                    					select futuresContract).FirstOrDefault();

Gmamuze Cht

7.7k Pro ,

It seems they are no effect to apply

OrderBy(x => x.Symbol == "ES").

But :

if (contractSP500.Symbol.StartsWith("ES"))

   MarketOrder(contractDOW30.Symbol, 10);

   Debug("contract en cours : " + chain.Value.Symbol);

   Debug("contract en cours : " + contractDOW30);

Have one

Alethea Lin

STAFF Pro ,

Hi Gmamuze,

Thank you for your effort trying to solve the problem yourself. Could you please provide your full algorithm for further assistance?

Gmamuze Cht

, , edit

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