# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# 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 clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Orders import *
from QuantConnect.Securities import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from QuantConnect.Algorithm.Framework.Selection import *
from Alphas.ConstantAlphaModel import ConstantAlphaModel
from Selection.FutureUniverseSelectionModel import FutureUniverseSelectionModel
from QuantConnect.Algorithm.Framework.Execution import *
from QuantConnect.Algorithm.Framework.Risk import *
from datetime import date, timedelta
### <summary>
### Basic template futures framework algorithm uses framework components
### to define an algorithm that trades futures.
### </summary>
class BasicTemplateFuturesFrameworkAlgorithm(QCAlgorithm):
def Initialize(self):
self.UniverseSettings.Resolution = Resolution.Minute
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 18)
self.SetCash(100000)
# set framework models
self.SetUniverseSelection(FrontMonthFutureUniverseSelectionModel(self.SelectFutureChainSymbols))
self.SetAlpha(MyAlphaModel(self))
self.SetPortfolioConstruction(SingleSharePortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
def SelectFutureChainSymbols(self, utcTime):
return [ Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME) ]
class FrontMonthFutureUniverseSelectionModel(FutureUniverseSelectionModel):
'''Creates futures chain universes that select the front month contract and runs a user
defined futureChainSymbolSelector every day to enable choosing different futures chains'''
def __init__(self, select_future_chain_symbols):
super().__init__(timedelta(1), select_future_chain_symbols)
def Filter(self, filter):
'''Defines the futures chain universe filter'''
return (filter.FrontMonth()
.OnlyApplyFilterAtMarketOpen())
class MyAlphaModel(AlphaModel):
def __init__(self, algorithm):
fastPeriod = 20
slowPeriod = 60
self._tolerance = 1 + 0.001
self.IsUpTrend = False
self.IsDownTrend = False
symbol = algorithm.AddEquity("SPY", Resolution.Daily).Symbol
self._fast = algorithm.EMA(symbol, fastPeriod, Resolution.Daily)
self._slow = algorithm.EMA(symbol, slowPeriod, Resolution.Daily)
# Warm up history
history = algorithm.History(symbol, slowPeriod, Resolution.Daily).loc[symbol]
for idx, row in history.iterrows():
self._fast.Update(idx, row.close)
self._slow.Update(idx, row.close)
def Update(self, algorithm, slice):
if not (algorithm.UtcTime.hour == 16 and algorithm.UtcTime.minute == 0 and algorithm.UtcTime.second == 0):
return []
insights = []
for symbol in slice.Keys:
if symbol.SecurityType != SecurityType.Future:
continue
insights.append(Insight.Price(symbol, timedelta(minutes=59), InsightDirection.Up))
return insights
class SingleSharePortfolioConstructionModel(PortfolioConstructionModel):
all_insights = []
def CreateTargets(self, algorithm, insights):
targets = []
active_symbols = []
expired_symbols = []
active_insights = []
while len(self.all_insights) > 0:
insight = self.all_insights.pop()
symbol = insight.Symbol
if insight.IsActive(algorithm.UtcTime):
active_insights.append(insight)
if symbol not in active_symbols:
active_symbols.append(symbol)
else:
if symbol not in expired_symbols:
expired_symbols.append(symbol)
for insight in insights:
active_insights.append(insight)
if insight.Symbol not in active_symbols:
active_symbols.append(insight.Symbol)
self.all_insights = active_insights
liquidate_symbols = [ symbol for symbol in expired_symbols if symbol not in active_symbols ]
for symbol in active_symbols:
targets.append(PortfolioTarget(symbol, 1))
for symbol in liquidate_symbols:
targets.append(PortfolioTarget(symbol, 0))
return targets