Improves Futures Examples

03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/01 Universes/99 Examples.html

@@ -12,7 +12,7 @@ <h4>Example 1: Rollover</h4>
         var future = AddFuture(Futures.Indices.SP500EMini, extendedMarketHours: true);
         _future = future.Symbol;
         // We only want to hold position of the front month contract.
-        future.SetFilter((u) =&gt; u.OnlyApplyFilterAtMarketOpen().FrontMonth());
+        future.SetFilter(u =&gt; u.FrontMonth());
     }
 
     public override void OnSecuritiesChanged(SecurityChanges changes)
@@ -40,7 +40,7 @@ <h4>Example 1: Rollover</h4>
         future = self.add_future(Futures.Indices.SP_500_E_MINI, extended_market_hours=True)
         self._future = future.symbol
         # 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())
+        future.set_filter(lambda u: u.front_month())
 
     def on_securities_changed(self, changes: SecurityChanges) -&gt; None:
         # Liquidate if expired (or not being the front month contract anymore) and exit universe.
@@ -60,7 +60,7 @@ <h4>Example 2: Continuous Future Indicator</h4>
 <div class="section-example-container">
     <pre class="csharp">public class FutureExampleAlgorithm : QCAlgorithm
 {
-    private dynamic _future;
+    private Future _future;
 
     public override void Initialize()
     {
@@ -69,20 +69,20 @@ <h4>Example 2: Continuous Future Indicator</h4>
             dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
             extendedMarketHours: true);
         // We only want to hold position of the front month contract.
-        (_future as Future).SetFilter((u) =&gt; u.OnlyApplyFilterAtMarketOpen().FrontMonth());
+        _future.SetFilter(u =&gt; u.FrontMonth());
         // Create a 252-day EMA indicator as a trend estimator.
-        _future.ema = EMA(_future.Symbol, 252, Resolution.Daily);
+        ((dynamic)_future).ema = EMA(_future.Symbol, 252, Resolution.Daily);
         // Warm up the EMA indicator to make it readily available.
-        WarmUpIndicator((Symbol)_future.Symbol, (ExponentialMovingAverage)_future.ema);
+        WarmUpIndicator(_future.Symbol, _future.Get&lt;ExponentialMovingAverage&gt;("ema"));
     }
 
     public override void OnData(Slice slice)
     {
         // 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))
+        if (slice.Bars.TryGetValue(_future.Symbol, out var bar))
         {
             // 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)
+            if (_future.Get&lt;ExponentialMovingAverage&gt;("ema") >= bar.Close)
             {
                 SetHoldings(_future.Mapped, 0.1m);
             }
@@ -91,7 +91,7 @@ <h4>Example 2: Continuous Future Indicator</h4>
             {
                 SetHoldings(_future.Mapped, -0.1m);
             }
-        }
+         }
     }
 
     public override void OnSecuritiesChanged(SecurityChanges changes)
@@ -110,17 +110,18 @@ <h4>Example 2: Continuous Future Indicator</h4>
             data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
             extended_market_hours=True)
         # 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())
+        self._future.set_filter(lambda u: u.front_month())
         # Create a 252-day EMA indicator as a trend estimator.
         self._future.ema = self.ema(self._future.symbol, 252, Resolution.DAILY)
         # 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:
         # 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:
+        bar = slice.bars.get(self._future.symbol)
+        if bar:
             # 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:
+            if self._future.ema.current.value >= bar.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:
@@ -145,7 +146,7 @@ <h4>Example 3: Contango</h4>
         var future = AddFuture(Futures.Metals.MicroGold, extendedMarketHours: true);
         _future = future.Symbol;
         // 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));
+        future.SetFilter((u) =&gt; u.Expiration(0, 183));
     }
 
     public override void OnData(Slice slice)
@@ -183,7 +184,7 @@ <h4>Example 3: Contango</h4>
         future = self.add_future(Futures.Metals.MICRO_GOLD, extended_market_hours=True)
         self._future = future.symbol
         # 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))
+        future.set_filter(lambda u: u.expiration(0, 183))
 
     def on_data(self, slice: Slice) -&gt; None:
         # Get Future chain only for the selected Future contract.

03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/02 Individual Contracts/99 Examples.html

@@ -33,10 +33,10 @@ <h4>Example 1: Add the Front-Month Contract</h4>
         # Get all the contracts that are currently tradable.
         contract_symbols = self.future_chain_provider.get_future_contract_list(self._future.symbol, self.time)
         # Get the contract with the closest expiry.
-        self._contract_symbol = sorted(contract_symbols, key=lambda x: x.id.date)[0]
+        self._contract_symbol = min(contract_symbols, key=lambda x: x.id.date)
         # Add the Futures contract.
         self.add_future_contract(self._contract_symbol)
         # Plot the contract price.
         self.plot_indicator("Price", self.identity(self._contract_symbol, Resolution.DAILY))
         self.set_end_date(self._contract_symbol.id.date)</pre>
-</div>
+</div>

03 Writing Algorithms/03 Securities/99 Asset Classes/07 Future Options/01 Requesting Data/01 Universes/99 Examples.html

@@ -18,32 +18,30 @@ <h4>Example 1: Call Spread</h4>
         _underlying.SetFilter(0, 182);
         // Use CallSpread filter to obtain the 2 best-matched contracts that forms a call spread.
         // It simplifies from further filtering and reduce computation on redundant subscription.
-        AddFutureOption(_underlying.Symbol, (u) =&gt; u.IncludeWeeklys().CallSpread(5, 5, -5));
+        AddFutureOption(_underlying.Symbol, (u) =&gt; u.CallSpread(5, 5, -5));
     }
 
     public override void OnData(Slice slice)
     {
+        if (Portfolio.Invested)
+            return;
+
         // Create canonical symbol for the mapped future contract, since we need that to access the option chain.
         var symbol = QuantConnect.Symbol.CreateCanonicalOption(_underlying.Mapped);
 
         // Get option chain data for the mapped future only.
-        if (!Portfolio.Invested && 
-            slice.OptionChains.TryGetValue(symbol, out var chain))
-        {
-            // It requires 2 contracts with different strikes to form a call spread, so we make sure at least 2 contracts are present.
-            if (chain.Count() &lt; 2)
-            {
-                return;
-            }
+        // It requires 2 contracts with different strikes to form a call spread, so we make sure at least 2 contracts are present.
+        if (!slice.OptionChains.TryGetValue(symbol, out var chain) || chain.Count() &lt; 2)
+            return;
 
-            // Separate the contracts by strike, as we need to access their strike.
-            var itmStrike = chain.Min(x =&gt; x.Strike);
-            var otmStrike = chain.Max(x =&gt; x.Strike);
+        // Separate the contracts by strike, as we need to access their strike.
+        var expiry = chain.Min(x =&gt; x.Expiry);
+        var itmStrike = chain.Min(x =&gt; x.Strike);
+        var otmStrike = chain.Max(x =&gt; x.Strike);
 
-            // Use abstraction method to order a bull call spread to avoid manual error.
-            var optionStrategy = OptionStrategies.BullCallSpread(symbol, itmStrike, otmStrike, chain.First().Expiry);
-            Buy(optionStrategy, 1);
-        }
+        // Use abstraction method to order a bull call spread to avoid manual error.
+        var optionStrategy = OptionStrategies.BullCallSpread(symbol, itmStrike, otmStrike, expiry);
+        Buy(optionStrategy, 1);
     }
 }</pre>
     <pre class="python">class FutureOptionAlgorithm(QCAlgorithm):
@@ -57,27 +55,29 @@ <h4>Example 1: Call Spread</h4>
         self.underlying.set_filter(0, 182)
         # Use CallSpread filter to obtain the 2 best-matched contracts that forms a call spread.
         # It simplifies from further filtering and reduce computation on redundant subscription.
-        self.add_future_option(self.underlying.symbol, lambda u: u.include_weeklys().call_spread(5, 5, -5))
+        self.add_future_option(self.underlying.symbol, lambda u: u.call_spread(5, 5, -5))
 
     def on_data(self, slice: Slice) -&gt; None:
+        if self.portfolio.invested:
+            return
         # Create canonical symbol for the mapped future contract, since we need that to access the option chain.
         symbol = Symbol.create_canonical_option(self.underlying.mapped)
 
         # Get option chain data for the mapped future only.
+        # It requires 2 contracts with different strikes to form a call spread, so we make sure at least 2 contracts are present.
         chain = slice.option_chains.get(symbol)
-        if not self.portfolio.invested and chain:
-            # It requires 2 contracts with different strikes to form a call spread, so we make sure at least 2 contracts are present.
-            if len(list(chain)) &lt; 2:
-                return
+        if not chain or len(list(chain)) &lt; 2:
+            return
 
-            # Separate the contracts by strike, as we need to access their strike.
-            sorted_by_strike = sorted([x.strike for x in chain])
-            itm_strike = sorted_by_strike[0]
-            otm_strike = sorted_by_strike[-1]
+        # Separate the contracts by strike, as we need to access their strike.
+        expiry = min([x.expiry for x in chain])
+        sorted_by_strike = sorted([x.strike for x in chain])
+        itm_strike = sorted_by_strike[0]
+        otm_strike = sorted_by_strike[-1]
 
-            # Use abstraction method to order a bull call spread to avoid manual error.
-            option_strategy = OptionStrategies.bull_call_spread(symbol, itm_strike, otm_strike, otm_call.expiry)
-            self.buy(option_strategy, 1)</pre>
+        # Use abstraction method to order a bull call spread to avoid manual error.
+        option_strategy = OptionStrategies.bull_call_spread(symbol, itm_strike, otm_strike, expiry)
+        self.buy(option_strategy, 1)</pre>
 </div>
 
 <p>Note that since both the underlying Future and the Future Option are expiring on the same day and are cash-settling in most cases, Lean can exercise the Future Option into account cash automatically at expiry and we do not need to handle the option exercise/assignment event.</p>

03 Writing Algorithms/12 Universes/06 Futures/99 Examples.html

@@ -29,16 +29,14 @@ <h4>Example 2: Contracts Expiring Within One Week</h4>
     public override void Initialize()
     {
         var future = AddFuture("ES");
-        future.SetFilter(futureFilterUniverse => futureFilterUniverse.Expiration(0, 7).OnlyApplyFilterAtMarketOpen());
+        future.SetFilter(futureFilterUniverse => futureFilterUniverse.Expiration(0, 7));
     }
 }</pre>
 	<pre class="python">class WeeklyFuturesAlgorithm(QCAlgorithm):
 
     def initialize(self):
         future = self.add_future("ES")
-        future.set_filter(
-            lambda future_filter_universe: future_filter_universe.expiration(0, 7).only_apply_filter_at_market_open()
-        )</pre>
+        future.set_filter(lambda future_filter_universe: future_filter_universe.expiration(0, 7))</pre>
 </div>
 
 <h4>Other Examples</h4>