BasicTemplateFuturesConsolidationAlgorithm.py

# 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.Data import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Securities import *
from QuantConnect.Data.Consolidators import *
from datetime import timedelta

### <summary>
### A demonstration of consolidating futures data into larger bars for your algorithm.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="benchmarks" />
### <meta name="tag" content="consolidating data" />
### <meta name="tag" content="futures" />
class BasicTemplateFuturesConsolidationAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013, 10, 7)
        self.SetEndDate(2013, 10, 11)
        self.SetCash(1000000)

        # Subscribe and set our expiry filter for the futures chain
        future = self.AddFuture(Futures.Indices.SP500EMini)
        future.SetFilter(timedelta(0), timedelta(182))

        self._futureContracts = []

    def OnData(self,slice):
        for chain in slice.FutureChains:
            for contract in chain.Value:
                if contract.Symbol not in self._futureContracts:
                    self._futureContracts.append(contract.Symbol)

                    consolidator = QuoteBarConsolidator(timedelta(minutes=5))
                    consolidator.DataConsolidated += self.OnDataConsolidated
                    self.SubscriptionManager.AddConsolidator(contract.Symbol, consolidator)

                    self.Log("Added new consolidator for " + str(contract.Symbol.Value))

    def OnDataConsolidated(self, sender, quoteBar):
        self.Log("OnDataConsolidated called on " + str(self.Time))
        self.Log(str(quoteBar))