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@LouisSzeto
LouisSzeto committed Sep 18, 2024
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110 changes: 54 additions & 56 deletions ...3 Securities/99 Asset Classes/06 Futures/01 Requesting Data/01 Universes/99 Examples.html
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Expand Up @@ -7,45 +7,47 @@ <h4>Example 1: Rollover</h4>

public override void Initialize()
{
// Add subscription of ES Futures
var future = AddFuture(Futures.Indices.SP500EMini, extendedMarketHours: true);
_future = future.Symbol;
// Filter the universe to front month contract
// We only want to hold position of the front month contract
future.SetFilter((u) =&gt; u.OnlyApplyFilterAtMarketOpen().FrontMonth());
}

public override void OnSecuritiesChanged(SecurityChanges changes)
{
// Liquidate if expired and exit universe
// Liquidate if expired (or not being the front month contract anymore) and exit universe
foreach (var removed in changes.RemovedSecurities)
{
Liquidate(removed.Symbol);
}

// Roll position to newly mapped contract
foreach (var added in changes.AddedSecurities)
{
// Make sure the newly added contract is an actual mapped tradable contract
if (!added.Symbol.IsCanonical())
{
// Roll over by ordering the same quantity
// Use limit order since market on open order is not supported on Future and avoid extreme quote filling
LimitOrder(added.Symbol, 1m, Securities[_future].Price);
}
}
}</pre>
<pre class="python">def initialize(self) -&gt; None:
# Add subscription of ES Futures
future = self.add_future(Futures.Indices.SP_500_E_MINI, extended_market_hours=True)
self._future = future.symbol
# Filter the universe to front month contract
# We only want to hold position of the front month contract
future.set_filter(lambda u: u.only_apply_filter_at_market_open().front_month())

def on_securities_changed(self, changes: SecurityChanges) -&gt; None:
# Liquidate if expired and exit universe
# Liquidate if expired (or not being the front month contract anymore) and exit universe
for removed in changes.removed_securities:
self.liquidate(removed.symbol)

# Roll position to newly mapped contract
for added in changes.added_securities:
# Make sure the newly added contract is an actual mapped tradable contract
if not added.symbol.is_canonical():
# Roll over by ordering the same quantity
# Use limit order since market on open order is not supported on Future and avoid extreme quote filling
self.limit_order(added.symbol, 1, self.securities[self._future].price)</pre>
</div>

Expand All @@ -56,70 +58,68 @@ <h4>Example 2: Continuous Future Indicator</h4>

public override void Initialize()
{
// Add subscription of ES Futures with backward ratio normalization for continuous contract
// Use backward ratio normalization for continuous contract to feed smooth, comparable price series to the indicator
_future = AddFuture(Futures.Indices.SP500EMini,
dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
extendedMarketHours: true);
// Filter the universe to front month contract
// We only want to hold position of the front month contract
(_future as Future).SetFilter((u) =&gt; u.OnlyApplyFilterAtMarketOpen().FrontMonth());
// Create 252-day EMA indicator
// Create a 252-day EMA indicator as a trend estimator
_future.ema = EMA(_future.Symbol, 252, Resolution.Daily);
// Warm up indicator
// Warm up the EMA indicator to make it readily available
WarmUpIndicator((Symbol)_future.Symbol, (ExponentialMovingAverage)_future.ema);
}

public override void OnData(Slice slice)
{
if (!slice.Bars.ContainsKey(_future.Symbol))
// Ensure the TradeBar data is available for the Future. Only use updated price data to update the indicator and make trading decision
if (slice.Bars.ContainsKey(_future.Symbol))
{
return;
}

// Long the mapped contract if the current price above EMA
if (_future.ema.Current.Value &gt;= slice.Bars[_future.Symbol].Close)
{
SetHoldings(_future.Mapped, 0.1m);
}
// Short otherwise
else
{
SetHoldings(_future.Mapped, -0.1m);
// Buy the mapped contract if the trend is estimated to go up (price above EMA)
if (_future.ema.Current.Value &gt;= slice.Bars[_future.Symbol].Close)
{
SetHoldings(_future.Mapped, 0.1m);
}
// Short the mapped contract if the trend is estimated to go down (price below EMA)
else
{
SetHoldings(_future.Mapped, -0.1m);
}
}
}

public override void OnSecuritiesChanged(SecurityChanges changes)
{
// Liquidate if expired and exit universe
// Liquidate if expired (or not being the front month contract anymore) and exit universe
foreach (var removed in changes.RemovedSecurities)
{
Liquidate(removed.Symbol);
}
}</pre>
<pre class="python">def initialize(self) -&gt; None:
# Add subscription of ES Futures
# Use backward ratio normalization for continuous contract to feed smooth, comparable price series to the indicator
self._future = self.add_future(Futures.Indices.SP_500_E_MINI,
data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
extended_market_hours=True)
# Filter the universe to front month contract
# We only want to hold position of the front month contract
self._future.set_filter(lambda u: u.only_apply_filter_at_market_open().front_month())
# Create 252-day EMA indicator
# Create a 252-day EMA indicator as a trend estimator
self._future.ema = self.ema(self._future.symbol, 252, Resolution.DAILY)
# Warm up indicator
# Warm up the EMA indicator to make it readily available
self.warm_up_indicator(self._future.symbol, self._future.ema)

def on_data(self, slice: Slice) -&gt; None:
if not self._future.symbol in slice.bars:
return

# Long the mapped contract if the current price above EMA
if self._future.ema.current.value &gt;= slice.bars[self._future.symbol].close:
self.set_holdings(self._future.mapped, 0.1)
# Short otherwise
else:
self.set_holdings(self._future.mapped, -0.1)
# Ensure the TradeBar data is available for the Future. Only use updated price data to update the indicator and make trading decision
if self._future.symbol in slice.bars:
# Buy the mapped contract if the trend is estimated to go up (price above EMA)
if self._future.ema.current.value &gt;= slice.bars[self._future.symbol].close:
self.set_holdings(self._future.mapped, 0.1)
# Short the mapped contract if the trend is estimated to go down (price below EMA)
else:
self.set_holdings(self._future.mapped, -0.1)

def on_securities_changed(self, changes: SecurityChanges) -&gt; None:
# Liquidate if expired and exit universe
# Liquidate if expired (or not being the front month contract anymore) and exit universe
for removed in changes.removed_securities:
self.liquidate(removed.symbol)</pre>
</div>
Expand All @@ -131,28 +131,27 @@ <h4>Example 3: Contango</h4>

public override void Initialize()
{
// Add subscription of micro gold Futures
// Allow extended market hours trade, which is common for Future
var future = AddFuture(Futures.Metals.MicroGold, extendedMarketHours: true);
_future = future.Symbol;
// Filter the universe to contracts expires within 3 months
future.SetFilter((u) =&gt; u.OnlyApplyFilterAtMarketOpen().Expiration(0, 95));
// Limit the expiration to within 6 months, as the longer the expiration, the higher the price uncertainty
future.SetFilter((u) =&gt; u.OnlyApplyFilterAtMarketOpen().Expiration(0, 183));
}

public override void OnData(Slice slice)
{
// Get Future chain
// Get Future chain only for the selected Future contract
if (!Portfolio.Invested && slice.FutureChains.TryGetValue(_future, out var chain))
{
// It takes 2 contracts with different expiries to form a horizontal spread arbitration to earn price difference in contango
if (chain.Count() &lt; 2) return;

// Get the far and near contract
var farContract = chain.MaxBy(x =&gt; x.Expiry);
var nearContract = chain.MinBy(x =&gt; x.Expiry);

// Check if the far contract price is 1% higher than the near one
// If so, short the far contract and buy the near one to earn the horizontal spread premium
if (farContract.BidPrice &gt;= nearContract.AskPrice * 1.01m)
{
// If so, short the far contract and buy the near one to earn the premium
MarketOrder(farContract.Symbol, -1);
MarketOrder(nearContract.Symbol, 1);
}
Expand All @@ -161,39 +160,38 @@ <h4>Example 3: Contango</h4>

public override void OnSecuritiesChanged(SecurityChanges changes)
{
// Liquidate all positions if a contract expired and exit universe
// Liquidate if expired (or not being the front month contract anymore) and exit universe
foreach (var removed in changes.RemovedSecurities)
{
Liquidate();
}
}</pre>
<pre class="python">def initialize(self) -&gt; None:
# Add subscription of micro gold Futures
# Allow extended market hours trade, which is common for Future
future = self.add_future(Futures.Metals.MICRO_GOLD, extended_market_hours=True)
self._future = future.symbol
# Filter the universe to contracts expires within 3 months
future.set_filter(lambda u: u.only_apply_filter_at_market_open().expiration(0, 95))
# Limit the expiration to within 6 months, as the longer the expiration, the higher the price uncertainty
future.set_filter(lambda u: u.only_apply_filter_at_market_open().expiration(0, 183))

def on_data(self, slice: Slice) -&gt; None:
# Get Future chain
# Get Future chain only for the selected Future contract
chain = slice.future_chains.get(self._future)
if not self.portfolio.invested and chain:
# It takes 2 contracts with different expiries to form a horizontal spread arbitration to earn price difference in contango
if len(list(chain)) &lt; 2:
return

# Get the far and near contract
sorted_by_expiry = sorted(chain, key=lambda x: x.expiry)
far_contract = sorted_by_expiry[-1]
near_contract = sorted_by_expiry[0]

# Check if the far contract price is 1% higher than the near one
# If so, short the far contract and buy the near one to earn the horizontal spread premium
if far_contract.bid_price &gt;= near_contract.ask_price * 1.01:
# If so, short the far contract and buy the near one to earn the premium
self.market_order(far_contract.symbol, -1)
self.market_order(near_contract.symbol, 1)

def on_securities_changed(self, changes: SecurityChanges) -&gt; None:
# Liquidate all positions if a contract expired and exit universe
# Liquidate if expired (or not being the front month contract anymore) and exit universe
for removed in changes.removed_securities:
self.liquidate()</pre>
</div>

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