In this project there's a lot of cool stuff going on. It is a simple order flow algorithm with a custom indicator as well. Let's dive into it.
We start by defining a universe of futures we want to trade and a few data structures to store useful information later:
def initialize(self):
self.set_start_date(2024, 1, 1)
self.set_cash(10000000)
self.set_security_initializer(BrokerageModelSecurityInitializer(
self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices)))
tickers = [
Futures.Indices.NASDAQ_100_E_MINI,
Futures.Indices.RUSSELL_2000_E_MINI,
Futures.Indices.SP_500_E_MINI,
Futures.Indices.DOW_30_E_MINI]
self.futures = []
self.indicators = {}
self.fill_prices = {}
self.tp = 0.01
self.sl = 0.01
for ticker in tickers:
future = self.add_future(ticker,
resolution=Resolution.MINUTE,
extended_market_hours=False,
data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
data_mapping_mode=DataMappingMode.OPEN_INTEREST,
contract_depth_offset=0)
self.futures.append(future)
Next let's go over our indicator class. Instead of going through and making variables for each indicators values lets use one object with all of our information to access in one dictionary where the symbol is the key.
class Indicators:
def __init__(self):
self.mas = SimpleMovingAverage(100)
self.ens = entropy_indic()
def update(self, time, price):
self.mas.update(time, price)
self.ens.update(price)
Next let's go through and make our entropy indicator. It will be the rolling entropy of the future and it will have a moving average value to determine if the entropy is high or low relative to the value.
class entropy_indic(PythonIndicator):
def __init__(self):
super().__init__()
self.period = 10
self.ma_period = 20
self.value = 0
self.ma_value = 0
self.queue = deque(maxlen=self.period)
self.ma_queue = deque(maxlen=self.ma_period)
def update(self, input_val):
if not isinstance(input_val, float): return
self.queue.append(input_val)
if len(self.queue) == self.period:
self.get_entropy()
self.ma_queue.append(self.value)
if self.is_ready:
self.get_entropy_ma()
return self.is_ready
def get_entropy(self):
tmp_list = list(self.queue)
tmp_arr = np.array(tmp_list)
base = 2
value, counts = np.unique(tmp_arr, return_counts=True)
probs = counts / np.sum(counts)
En = entropy(probs, base=base)
self.value = En
def get_entropy_ma(self):
tmp_list = list(self.ma_queue)
tmp_arr = np.array(tmp_list)
ma_val = sum(tmp_arr) / self.period
self.ma_value = ma_val
@property
def is_ready(self):
return len(self.ma_queue) == self.ma_period
If someone has a more efficient way to do that drop it below!
Next in on data we go through and initialize if necessary our indicators for each future, update them, then take and manage trades.
def on_data(self, data):
for future in self.futures:
current_contract = future.mapped
if current_contract not in self.indicators:
self.indicators[current_contract] = Indicators()
continue
c = self.securities[current_contract].Close
self.indicators[current_contract].mas.Update(self.Time, c)
self.indicators[current_contract].ens.update(c)
if not self.indicators[current_contract].mas.IsReady or not self.indicators[current_contract].ens.is_ready:
trade_bars = self.history[TradeBar](current_contract, 100+1, Resolution.MINUTE)
for trade_bar in trade_bars:
self.indicators[current_contract].mas.update(self.time, trade_bar.close)
self.indicators[current_contract].ens.update(trade_bar.close)
continue
if not self.portfolio[current_contract].invested:
a = self.securities[current_contract].ask_size
b = self.securities[current_contract].bid_size
delta = b - a
bid_imb = b > a * 3 and delta > 0
ask_imb = a > b * 3 and delta < 0
ma_val = self.indicators[current_contract].mas.Current.Value
en_val = self.indicators[current_contract].ens.value
en_ma_val = self.indicators[current_contract].ens.ma_value
if ma_val < c and en_val < en_ma_val:
if bid_imb:
self.market_order(current_contract, 1, tag="LONG ENTRY")
self.fill_prices[current_contract] = c
elif ask_imb:
self.market_order(current_contract, -1, tag="SHORT ENTRY")
self.fill_prices[current_contract] = c
elif ma_val > c and en_val > en_ma_val:
if bid_imb:
self.market_order(current_contract, -1, tag="SHORT ENTRY")
self.fill_prices[current_contract] = c
elif ask_imb:
self.market_order(current_contract, 1, tag="LONG ENTRY")
self.fill_prices[current_contract] = c
else:
if self.portfolio[current_contract].is_long:
if c >= self.fill_prices[current_contract] * (1 + self.tp):
self.liquidate(current_contract, tag="LONG EXIT")
self.fill_prices[current_contract] = None
elif c <= self.fill_prices[current_contract] * (1 - self.sl):
self.liquidate(current_contract, tag="LONG EXIT")
self.fill_prices[current_contract] = None
elif self.portfolio[current_contract].is_short:
if c <= self.fill_prices[current_contract] * (1 - self.tp):
self.liquidate(current_contract, tag="SHORT EXIT")
self.fill_prices[current_contract] = None
elif c >= self.fill_prices[current_contract] * (1 + self.sl):
self.liquidate(current_contract, tag="SHORT EXIT")
self.fill_prices[current_contract] = None
In older backtests adding risk management with QC's built in models didn't work so I'm just doing it manually. using self.fill_prices in a similar way to self.indicators.
Hope you guys enjoyed drop any suggestions!
Mia Alissi
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
.ekz.
Brilliant share! I've been looking for a good futures example that uses order flow in some way, and this is great. Thanks for this.
Joseph Matteo Scorsone
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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