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 |
# 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.Data import * from QuantConnect.Algorithm import * from QuantConnect.Securities import * 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> ### <meta name="tag" content="using data" /> ### <meta name="tag" content="history and warm up" /> ### <meta name="tag" content="history" /> ### <meta name="tag" content="futures" /> 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(lambda x: 1000000) def OnData(self,slice): if self.Portfolio.Invested: return 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): for change in changes.AddedSecurities: history = self.History(change.Symbol, 12*60+35, Resolution.Minute).sort_index(level='time', ascending=False)[:3] for index, row in history.iterrows(): self.Log("History: " + str(index[1]) + ": " + index[2].strftime("%m/%d/%Y %I:%M:%S %p") + " > " + str(row.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))