From 2e1fbfcc07550dc79235aa7660f721b4808cb751 Mon Sep 17 00:00:00 2001 From: Alexandre Catarino Date: Fri, 8 Nov 2024 22:50:05 +0000 Subject: [PATCH] Improves Futures Examples --- .../01 Universes/99 Examples.html | 29 +++++----- .../02 Individual Contracts/99 Examples.html | 4 +- .../01 Universes/99 Examples.html | 56 +++++++++---------- .../12 Universes/06 Futures/99 Examples.html | 6 +- 4 files changed, 47 insertions(+), 48 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 73342366b8..b7351ffc09 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 @@ -12,7 +12,7 @@

Example 1: Rollover

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) => u.OnlyApplyFilterAtMarketOpen().FrontMonth()); + future.SetFilter(u => u.FrontMonth()); } public override void OnSecuritiesChanged(SecurityChanges changes) @@ -40,7 +40,7 @@

Example 1: Rollover

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) -> None: # Liquidate if expired (or not being the front month contract anymore) and exit universe. @@ -60,7 +60,7 @@

Example 2: Continuous Future Indicator

public class FutureExampleAlgorithm : QCAlgorithm
 {
-    private dynamic _future;
+    private Future _future;
 
     public override void Initialize()
     {
@@ -69,20 +69,20 @@ 
Example 2: Continuous Future Indicator

             dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
             extendedMarketHours: true);
         // We only want to hold position of the front month contract.
-        (_future as Future).SetFilter((u) => u.OnlyApplyFilterAtMarketOpen().FrontMonth());
+        _future.SetFilter(u => 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<ExponentialMovingAverage>("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 >= slice.Bars[_future.Symbol].Close)
+            if (_future.Get<ExponentialMovingAverage>("ema") >= bar.Close)
             {
                 SetHoldings(_future.Mapped, 0.1m);
             }
@@ -91,7 +91,7 @@ 
Example 2: Continuous Future Indicator

             {
                 SetHoldings(_future.Mapped, -0.1m);
             }
-        }
+         }
     }
     
     public override void OnSecuritiesChanged(SecurityChanges changes)
@@ -110,7 +110,7 @@ 
Example 2: Continuous Future Indicator

             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.
@@ -118,9 +118,10 @@ 
Example 2: Continuous Future Indicator

     
     def on_data(self, slice: Slice) -> 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 >= 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 @@ 
Example 3: Contango

         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) => u.OnlyApplyFilterAtMarketOpen().Expiration(0, 183));
+        future.SetFilter((u) => u.Expiration(0, 183));
     }
     
     public override void OnData(Slice slice)
@@ -183,7 +184,7 @@ 
Example 3: Contango

         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) -> None:
         # Get Future chain only for the selected Future contract.
diff --git a/03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/02 Individual Contracts/99 Examples.html b/03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/02 Individual Contracts/99 Examples.html
index eac2dc0bb1..52531359d7 100644
--- a/03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/02 Individual Contracts/99 Examples.html	
+++ b/03 Writing Algorithms/03 Securities/99 Asset Classes/06 Futures/01 Requesting Data/02 Individual Contracts/99 Examples.html	
@@ -33,10 +33,10 @@ 
Example 1: Add the Front-Month Contract

         # 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)
-
+ \ No newline at end of file diff --git a/03 Writing Algorithms/03 Securities/99 Asset Classes/07 Future Options/01 Requesting Data/01 Universes/99 Examples.html b/03 Writing Algorithms/03 Securities/99 Asset Classes/07 Future Options/01 Requesting Data/01 Universes/99 Examples.html index a86995c48d..8bea07d221 100644 --- a/03 Writing Algorithms/03 Securities/99 Asset Classes/07 Future Options/01 Requesting Data/01 Universes/99 Examples.html +++ b/03 Writing Algorithms/03 Securities/99 Asset Classes/07 Future Options/01 Requesting Data/01 Universes/99 Examples.html @@ -18,32 +18,30 @@

Example 1: Call Spread

_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) => u.IncludeWeeklys().CallSpread(5, 5, -5)); + AddFutureOption(_underlying.Symbol, (u) => 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() < 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() < 2) + return; - // Separate the contracts by strike, as we need to access their strike. - var itmStrike = chain.Min(x => x.Strike); - var otmStrike = chain.Max(x => x.Strike); + // Separate the contracts by strike, as we need to access their strike. + var expiry = chain.Min(x => x.Expiry); + var itmStrike = chain.Min(x => x.Strike); + var otmStrike = chain.Max(x => 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); } } 
class FutureOptionAlgorithm(QCAlgorithm):
@@ -57,27 +55,29 @@ 
Example 1: Call Spread

         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) -> 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)) < 2:
-                return
+        if not chain or len(list(chain)) < 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)
+ # 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)

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.

diff --git a/03 Writing Algorithms/12 Universes/06 Futures/99 Examples.html b/03 Writing Algorithms/12 Universes/06 Futures/99 Examples.html index da15af0077..bb3f306328 100644 --- a/03 Writing Algorithms/12 Universes/06 Futures/99 Examples.html +++ b/03 Writing Algorithms/12 Universes/06 Futures/99 Examples.html @@ -29,16 +29,14 @@

Example 2: Contracts Expiring Within One Week

public override void Initialize() { var future = AddFuture("ES"); - future.SetFilter(futureFilterUniverse => futureFilterUniverse.Expiration(0, 7).OnlyApplyFilterAtMarketOpen()); + future.SetFilter(futureFilterUniverse => futureFilterUniverse.Expiration(0, 7)); } } 
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()
-        )
+ future.set_filter(lambda future_filter_universe: future_filter_universe.expiration(0, 7))

Other Examples