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.Indicators import *
from QuantConnect.Securities import *
from QuantConnect.Data.Consolidators import *
from datetime import timedelta
class BasicTemplateFuturesConsolidationAlgorithm(QCAlgorithm):
_futureContracts = []
def Initialize(self):
self.SetStartDate(2018, 11, 1)
self.SetEndDate(2018, 12, 31)
self.SetCash(1000000)
# Subscribe and set our expiry filter for the futures chain
future = self.AddFuture(Futures.Indices.SP500EMini)
#future.SetFilter(timedelta(0), timedelta(182))
#future = self.AddSecurity(SecurityType.Future, "ES", Resolution.Minute);
#future = self.AddFuture("ES",Resolution.Minute)
def OnData(self,slice):
for chain in slice.FutureChains:
for contract in chain.Value:
if contract.Symbol not in self._futureContracts:
self._futureContracts.append(contract.Symbol)
consolidator = QuoteBarConsolidator(timedelta(minutes=5))
consolidator.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator(contract.Symbol, consolidator)
self.Log("Data" + str(slice))
def OnDataConsolidated(self, sender, quoteBar):
self.Log("OnDataConsolidated called on " + str(self.Time))
self.Log(str(quoteBar))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.Indicators import *
from QuantConnect.Securities import *
from QuantConnect.Data.Consolidators import *
from datetime import timedelta
import decimal
class BasicTemplateFuturesConsolidationAlgorithm(QCAlgorithm):
vState = 'FLAT'
symbol = '/ESZ18'
ha = HeikinAshi
def Initialize(self):
self.SetStartDate(2018, 12, 1)
self.SetEndDate(2018, 12, 2)
self.SetCash(1000000)
# Subscribe and set our expiry filter for the futures chain
future = self.AddFuture(Futures.Indices.SP500EMini)
self.window = RollingWindow[QuoteBar](2)
self.HA_open_win = RollingWindow[IndicatorDataPoint](10)
self.HA_close_win = RollingWindow[IndicatorDataPoint](10)
self._futureContracts = []
def OnData(self,slice):
for chain in slice.FutureChains:
for contract in chain.Value:
if ((contract.Symbol not in self._futureContracts)):
self._futureContracts.append(contract.Symbol)
self.Log("symbol: {0}".format(contract))
self.HA = HeikinAshi(contract.Symbol)
consolidator = QuoteBarConsolidator(timedelta(minutes=2))
consolidator.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator(contract.Symbol, consolidator)
self.RegisterIndicator(contract.Symbol, self.HA, consolidator)
def OnDataConsolidated(self, sender, data):
#self.Log("OnDataConsolidated called on " + str(self.Time))
#self.Log(f"BAR - {data.Time} - {data.Open} {data.Close} {data.High} {data.Low}")
self.Log("Data: {0}".format(data))
if not (self.HA.IsReady): return
self.window.Add(data)
#self.HA_open_win.Add(data)
#self.HA_close_win.Add(data)
if not (self.HA_open_win.IsReady):return
if not (self.HA_close_win.IsReady):return
self.Log(self.HA_open_win[0])
currBar = data[0] # Current bar had index zero.
pastBar = data[1] # Past bar has index one.
#self.Log("Price: {0} -> {1} ... {2} -> {3}".format(pastBar.Time, pastBar.Close, currBar.Time, currBar.Close))
if self.vState == "FLAT":
if(currBar.Close > pastBar.Close + 1):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
self.vState = "LONG"
self.Log("vState: {0}".format(self.vState))
elif(currBar.Close < pastBar.Close - 1):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
self.vState = "SHORT"
self.Log("vState: {0}".format(self.vState))
elif self.vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
self.vState = "FLAT"
self.Log("vState: {0}".format(self.vState))
elif self.vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
self.vState = "FLAT"
self.Log("vState: {0}".format(self.vState))### set before initiak=lise function
vState = "FLAT"
symbol = 'ES'
### include in: OnData(self,slice):
### you previously had it in: def OnDataConsolidated(self, sender, data): don't know if that is correct
global vState
if vState == "FLAT":
if(currBar.Open > (pastBar.Open + 1) and currBar.Close > pastBar.Close):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
vState = "LONG"
#elif(currBar.Close < pastBar.Close - 1):
elif(currBar.Open < (pastBar.Open - 1) and currBar.Close < pastBar.Close):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
vState = "SHORT"
elif vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
vState = "FLAT"
elif vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
vState = "FLAT"### set before initiak=lise function
vState = "FLAT"
symbol = 'ES'
### include in: OnData(self,slice):
### you previously had it in: def OnDataConsolidated(self, sender, data): don't know if that is correct
global vState
if vState == "FLAT":
if(currBar.Open > (pastBar.Open + 1) and currBar.Close > pastBar.Close):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
vState = "LONG"
#elif(currBar.Close < pastBar.Close - 1):
elif(currBar.Open < (pastBar.Open - 1) and currBar.Close < pastBar.Close):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
vState = "SHORT"
elif vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
vState = "FLAT"
elif vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
vState = "FLAT"### set before initiak=lise function
vState = "FLAT"
symbol = 'ES'
### include in: OnData(self,slice):
### you previously had it in: def OnDataConsolidated(self, sender, data): don't know if that is correct
global vState
if vState == "FLAT":
if(currBar.Open > (pastBar.Open + 1) and currBar.Close > pastBar.Close):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
vState = "LONG"
#elif(currBar.Close < pastBar.Close - 1):
elif(currBar.Open < (pastBar.Open - 1) and currBar.Close < pastBar.Close):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
vState = "SHORT"
elif vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
vState = "FLAT"
elif vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
vState = "FLAT"### set before initiak=lise function
vState = "FLAT"
symbol = 'ES'
### include in: OnData(self,slice):
### you previously had it in: def OnDataConsolidated(self, sender, data): don't know if that is correct
global vState
if vState == "FLAT":
if(currBar.Open > (pastBar.Open + 1) and currBar.Close > pastBar.Close):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
vState = "LONG"
#elif(currBar.Close < pastBar.Close - 1):
elif(currBar.Open < (pastBar.Open - 1) and currBar.Close < pastBar.Close):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
vState = "SHORT"
elif vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
vState = "FLAT"
elif vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
vState = "FLAT"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.Indicators import *
from QuantConnect.Securities import *
from QuantConnect.Data.Consolidators import *
from datetime import timedelta
class BasicTemplateFuturesConsolidationAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 11, 1)
self.SetEndDate(2018, 12, 31)
self.SetCash(1000000)
#future = self.AddFuture(Futures.Indices.SP500EMini)
future = self.AddFuture("ES",Resolution.Minute)
consolidator = TradeBarConsolidator(timedelta(minutes=2))
consolidator.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator(future, consolidator)
def OnDataConsolidated(self, sender, bar):
self.Debug(str(self.Time) + " > New Bar!")### set before initiak=lise function
vState = "FLAT"
symbol = 'ES'
### include in: OnData(self,slice):
### you previously had it in: def OnDataConsolidated(self, sender, data): don't know if that is correct
global vState
if vState == "FLAT":
if(currBar.Open > (pastBar.Open + 1) and currBar.Close > pastBar.Close):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
vState = "LONG"
#elif(currBar.Close < pastBar.Close - 1):
elif(currBar.Open < (pastBar.Open - 1) and currBar.Close < pastBar.Close):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
vState = "SHORT"
elif vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
vState = "FLAT"
elif vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
vState = "FLAT"### set before initiak=lise function
vState = "FLAT"
symbol = 'ES'
### include in: OnData(self,slice):
### you previously had it in: def OnDataConsolidated(self, sender, data): don't know if that is correct
global vState
if vState == "FLAT":
if(currBar.Open > (pastBar.Open + 1) and currBar.Close > pastBar.Close):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
vState = "LONG"
#elif(currBar.Close < pastBar.Close - 1):
elif(currBar.Open < (pastBar.Open - 1) and currBar.Close < pastBar.Close):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
vState = "SHORT"
elif vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
vState = "FLAT"
elif vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
vState = "FLAT"### set before initiak=lise function
vState = "FLAT"
symbol = 'ES'
### include in: OnData(self,slice):
### you previously had it in: def OnDataConsolidated(self, sender, data): don't know if that is correct
global vState
if vState == "FLAT":
if(currBar.Open > (pastBar.Open + 1) and currBar.Close > pastBar.Close):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
vState = "LONG"
#elif(currBar.Close < pastBar.Close - 1):
elif(currBar.Open < (pastBar.Open - 1) and currBar.Close < pastBar.Close):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
vState = "SHORT"
elif vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
vState = "FLAT"
elif vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
vState = "FLAT"### set before initiak=lise function
vState = "FLAT"
symbol = 'ES'
### include in: OnData(self,slice):
### you previously had it in: def OnDataConsolidated(self, sender, data): don't know if that is correct
global vState
if vState == "FLAT":
if(currBar.Open > (pastBar.Open + 1) and currBar.Close > pastBar.Close):
### = BTO signal
self.MarketOrder(currBar.Symbol , 1)
vState = "LONG"
#elif(currBar.Close < pastBar.Close - 1):
elif(currBar.Open < (pastBar.Open - 1) and currBar.Close < pastBar.Close):
### = STO signal
self.MarketOrder(currBar.Symbol , -1)
vState = "SHORT"
elif vState == "LONG":
if(currBar.Close < currBar.Open):
### = STC signal
self.MarketOrder(currBar.Symbol , -1)
vState = "FLAT"
elif vState == "SHORT":
if(currBar.Close > currBar.Open):
### = BTC signal
self.MarketOrder(currBar.Symbol , 1)
vState = "FLAT"
