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 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 |
from datetime import timedelta ### <summary> ### This example demonstrates how to get access to futures history for a given root symbol. ### It also shows how you can prefilter contracts easily based on expirations, and inspect the futures ### chain to pick a specific contract to trade. ### </summary> class BasicTemplateFuturesHistoryAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2013, 10, 8) self.SetEndDate(2013, 10, 9) self.SetCash(1000000) # Subscribe and set our expiry filter for the futures chain # find the front contract expiring no earlier than in 90 days futureES = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Minute) futureES.SetFilter(timedelta(0), timedelta(182)) futureGC = self.AddFuture(Futures.Metals.Gold, Resolution.Minute) futureGC.SetFilter(timedelta(0), timedelta(182)) self.SetBenchmark("SPY") def OnData(self,slice): if not self.Portfolio.Invested: for chain in slice.FutureChains: for contract in chain.Value: """ self.Log("{0},Bid={1} Ask={2} Last={3} OI={4}".format( contract.Symbol.Value, contract.BidPrice, contract.AskPrice, contract.LastPrice, contract.OpenInterest)) """ def OnSecuritiesChanged(self, changes): #if changes == SecurityChanges.None: return for change in changes.AddedSecurities: history = self.History(change.Symbol, 10, Resolution.Daily).sort_index(level='time', ascending=False)[:3] self.Log(change.Symbol) for i in range(len(history)): self.Log("History: " + str(history.iloc[i].name[0]) + ": " + str(history.iloc[i].name[1].strftime("%m/%d/%Y %I:%M:%S %p")) + " > " + str(history.iloc[i]['close'])) def OnOrderEvent(self, orderEvent): # Order fill event handler. On an order fill update the resulting information is passed to this method. # Order event details containing details of the events self.Log(str(orderEvent))