From d0f41a35073f3509f0ef1bba6644f1cb5314a6f8 Mon Sep 17 00:00:00 2001 From: LouisSzeto Date: Wed, 18 Sep 2024 19:52:27 +0800 Subject: [PATCH] update comments --- .../01 Universes/99 Examples.html | 110 +++++++++--------- 1 file changed, 54 insertions(+), 56 deletions(-) diff --git a/03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/01 Universes/99 Examples.html b/03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/01 Universes/99 Examples.html index 8e24cca936..311333870b 100644 --- a/03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/01 Universes/99 Examples.html +++ b/03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/01 Universes/99 Examples.html @@ -7,45 +7,47 @@

Example 1: Rollover

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) => 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); } } } 
def initialize(self) -> 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) -> 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)
@@ -56,70 +58,68 @@

Example 2: Continuous Future Indicator

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) => 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 >= 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 >= 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); } } 
def initialize(self) -> 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) -> 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 >= 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 >= 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) -> 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)
@@ -131,28 +131,27 @@

Example 3: Contango

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) => 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) => 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() < 2) return; - - // Get the far and near contract var farContract = chain.MaxBy(x => x.Expiry); var nearContract = chain.MinBy(x => 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 >= 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); } @@ -161,39 +160,38 @@

Example 3: Contango

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(); } } 
def initialize(self) -> 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) -> 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)) < 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 >= 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) -> 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()
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