BasicTemplateFuturesHistoryAlgorithm.py

# 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, 10, 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))