# 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.Algorithm import *

from QuantConnect.Securities import *

from datetime import timedelta

class BasicTemplateFuturesAlgorithm(QCAlgorithm):

'''This example demonstrates how to add futures for a given underlying.

It also shows how you can prefilter contracts easily based on expirations.

It also shows how you can inspect the futures chain to pick a specific contract to trade.'''

def Initialize(self):

self.SetStartDate(2013, 10, 07)

self.SetEndDate(2013, 10, 11)

self.SetCash(1000000)

# Subscribe and set our expiry filter for the futures chain

futureES = self.AddFuture(Futures.Indices.SP500EMini)

futureES.SetFilter(timedelta(0), timedelta(182))

futureGC = self.AddFuture(Futures.Metals.Gold)

futureGC.SetFilter(timedelta(0), timedelta(182))

def OnData(self,slice):

if not self.Portfolio.Invested:

for chain in slice.FutureChains:

# Get contracts expiring no earlier than in 90 days

contracts = filter(lambda x: x.Expiry > self.Time + timedelta(90), chain.Value)

# if there is any contract, trade the front contract

if len(contracts) == 0: continue

front = sorted(contracts, key = lambda x: x.Expiry, reverse=True)[0]

self.MarketOrder(front.Symbol , 1)

else:

self.Liquidate()

def OnOrderEvent(self, orderEvent):

self.Log(str(orderEvent))