# 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.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Securities import *
from datetime import timedelta
import decimal as d
import numpy as np
class FuturesMomentumAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 1, 1)
self.SetEndDate(2016, 8, 18)
self.SetCash(100000)
fastPeriod = 20
slowPeriod = 60
self._tolerance = d.Decimal(1 + 0.001)
self.IsUpTrend = False
self.IsDownTrend = False
self.SetWarmUp(max(fastPeriod, slowPeriod))
self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
# Adds SPY to be used in our EMA indicators
equity = self.AddEquity("SPY", Resolution.Daily)
## SP500 Emini futures
future = self.AddFuture(Futures.Indices.SP500EMini)
future.SetFilter(timedelta(0), timedelta(90))
def OnData(self, slice):
for chain in slice.FuturesChains:
# find the front contract expiring no earlier than in 30 days
contracts = list(filter(lambda x: x.Expiry > self.Time + timedelta(30), chain.Value))
# if there is any contract, trade the front contract
if len(contracts) == 0: continue
contract = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]
## VERY arbitrary code: buy every hour on the 15-min, sell 30min later
if self.Time.minute == 15:
self.MarketOrder(contract.Symbol, 1)
if self.Time.minute == 45:
self.MarketOrder(contract.Symbol, -1)
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))