Intraday Closing Momentum in Futures

1from AlgorithmImports import *
2from datetime import datetime
3# endregion
4
5class IntradayClosingMomentuminFutures(QCAlgorithm):
6
7def Initialize(self):
8self.SetStartDate(2015, 1, 1)
9self.SetCash(100000)
10
11self.tickers:list[str] = [
12    # equity
13    Futures.Indices.SP500EMini, # E-mini S&P 500 Futures
14    Futures.Indices.NASDAQ100EMini, # E-mini Nasdaq-100 Futures
15    Futures.Indices.Russell2000EMini, # E-mini Russell 2000 Index Futures
16]
17
18self.perf_period_start_time1:datetime = datetime(2000, 1, 1, 9, 31).time()
19self.perf_period_start_time2:datetime = datetime(2000, 1, 1, 10, 0).time()
20self.perf_period_end_time:datetime = datetime(2000, 1, 1, 15, 30).time()
21
22self.open_trade_time:datetime = datetime(2000, 1, 1, 15, 30).time()
23self.close_trade_time:datetime = datetime(2000, 1, 1, 16, 0).time()
24
25# self.perf_period_start_hour1:int = 9
26# self.perf_period_start_minute1:int = 31
27self.perf_period_start_hour2:int = 10
28self.perf_period_start_minute2:int = 0
29self.perf_period_end_hour:int = 15
30self.perf_period_end_minute:int = 30
31
32self.open_trade_hour:int = 15
33self.open_trade_minute:int = 30
34self.close_trade_hour:int = 16
35self.close_trade_minute:int = 0
36self.stored_price_cnt:int = 3
37
38self.portfolio_percentage:float = 0.1
39
40self.long_leg:list[Symbol] = []
41self.short_leg:list[Symbol] = []
42
43self.open_orders:list[list[Symbol, float]] = []
44
45self.futures_data:dict[str, FutureData] = {}
46
47for ticker in self.tickers:
48    future:Symbol = self.AddFuture(ticker, Resolution.Minute)
49    future.SetFilter(0, 90)
50    self.futures_data[ticker] = FutureData(future.Symbol)
51
52def OnData(self, data: Slice):
53if (self.Time.time() == self.perf_period_start_time1) \
54    or (self.Time.time() == self.perf_period_start_time2) \
55    or (self.Time.time() == self.perf_period_end_time):
56    
57    for ticker, future_data in self.futures_data.items():
58        contract:FuturesContract = future_data.contract
59        contract_symbol:Symbol|None = contract.Symbol if contract else None
60
61        if contract_symbol and self.Securities[contract_symbol].Price != 0:
62            hist = self.History(contract_symbol, 1, Resolution.Minute)
63            if not hist.empty:
64                price:float = hist['close'].iloc[-1]
65                future_data.update_prices(price)
66
67        if self.Time.time() == self.perf_period_end_time:
68            if contract_symbol and future_data.prices_ready() and self.Securities[contract_symbol].IsTradable \
69                and (contract.Expiry.date() > (self.Time.date() + timedelta(days=2))):
70
71                if future_data.buy_signal():
72                    self.long_leg.append(contract_symbol)
73
74            future_data.reset_prices()
75
76# find near contract
77for ticker, future_data in self.futures_data.items():
78    curr_contract:FuturesContract|None = future_data.contract
79    # future_data.update_contract(None)
80
81    if curr_contract is None or ((curr_contract.Expiry.date() - timedelta(days=1)) <= self.Time.date()):
82        for chain in data.FuturesChains:
83            if chain.Key.ID.Symbol != ticker:
84                continue
85
86            contracts:list[FuturesContract] = [contract for contract in chain.Value]
87
88            if len(contracts) == 0:
89                continue
90    
91            near_contract:FuturesContract = sorted(contracts, key=lambda x: x.Expiry, reverse=True)[0]
92            future_data.update_contract(near_contract)
93
94# open trade
95if self.Time.time() == self.open_trade_time:
96    long_length = len(self.long_leg)
97
98    if long_length != 0:
99        for contract_symbol in self.long_leg:
100            self.SetHoldings(contract_symbol, (self.portfolio_percentage / long_length) )
101
102    self.long_leg.clear()
103    self.short_leg.clear()
104
105# close trade
106if self.Time.time() == self.close_trade_time:
107    self.Liquidate()
108
109class FutureData:
110def __init__(self, symbol:Symbol, stored_price_cnt:int = 3) -> None:
111self.symbol = symbol
112self.contract = None
113self.prices:RollingWindow = RollingWindow[float](stored_price_cnt)
114self.stored_price_cnt = stored_price_cnt
115
116def update_contract(self, contract) -> None:
117self.contract = contract
118
119def update_prices(self, price:float) -> None:
120self.prices.Add(price)
121
122def prices_ready(self) -> bool:
123return self.prices.IsReady
124
125def buy_signal(self) -> bool:
126result:bool = (self.prices[0] / self.prices[self.stored_price_cnt-1] - 1) > 0 and (self.prices[1] / self.prices[self.stored_price_cnt-1] - 1) > 0
127return result
128
129def reset_prices(self) -> None:
130self.prices.Reset()