Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
namespace QuantConnect.Algorithm.CSharp { public class FutureChainProviderAlgorithm : QCAlgorithm { private Symbol _futureContract = string.Empty; private readonly HashSet<Symbol> _contractsAdded = new HashSet<Symbol>(); public Symbol SP500 = QuantConnect.Symbol.Create("ES", SecurityType.Future, Market.CME); public override void Initialize() { SetStartDate(2015, 12, 24); SetEndDate(2015, 12, 24); SetCash(100000); AddEquity("SPY", Resolution.Minute); } public override void OnData(Slice data) { if (!(Securities.ContainsKey(_futureContract) && Portfolio[_futureContract].Invested)) { var futureChains = FutureChainProvider.GetFutureContractList(SP500, Time); var contracts = (from symbol in futureChains where ((symbol.ID.Date - data.Time).TotalDays < 100 && (symbol.ID.Date - data.Time).TotalDays > 10) select symbol); Plot("Contracts", "Count", contracts.Count()); } } } }