Market Uncertainty Resolution Following the Unemployment Announcements

1from AlgorithmImports import *
2#endregion
3
4class MarketUncertaintyResolutionFollowingTheUnemploymentAnnouncements(QCAlgorithm):
5
6def Initialize(self):
7self.SetStartDate(2011, 1, 1) # VIX starts from 2011
8self.SetCash(100000)
9
10self.unemployment_rate_dates:list[datetime.datetime] = []
11
12csv:str = self.Download('data.quantpedia.com/backtesting_data/economic/UNEMPLOYMENT_RATE.csv')
13lines:list[str] = csv.split('\r\n')
14
15for line in lines[1:]: # skip header
16    if line == '':
17        continue
18
19    split:list[str] = line.split(';')
20    date_str:str = split[0]
21    date:datetime.date = datetime.strptime(date_str, '%d.%m.%Y').date()
22    self.unemployment_rate_dates.append(date)
23
24# subscribe vix
25self.continuous_contract:Future = self.AddFuture(Futures.Indices.VIX, resolution = Resolution.Minute,
26                                          dataNormalizationMode = DataNormalizationMode.BackwardsRatio,
27                                          dataMappingMode = DataMappingMode.FirstDayMonth,
28                                          contractDepthOffset = 0)
29
30def OnData(self, data: Slice):
31curr_time:datetime.datetime = self.Time
32curr_date:datetime.date = curr_time.date()
33next_day:datetime.date = curr_date + timedelta(days=1)
34
35# NOTE The futures listed in CME or CBOT have their data set in Chicago Time
36# EST -> Chicago time conversion
37if next_day in self.unemployment_rate_dates and curr_time.hour == 15 and curr_time.minute == 15:
38    # buy VIX contract
39    mapped_contract_symbol:Symbol = self.Securities[self.continuous_contract.Mapped].Symbol
40    self.SetHoldings(mapped_contract_symbol, 1)
41
42elif curr_date in self.unemployment_rate_dates and curr_time.hour == 15 and curr_time.minute == 15:
43    # sell VIX contract
44    self.Liquidate()