Spread (Basis) Momentum within Commodities

1from AlgorithmImports import *
2import data_tools
3#endregion
4class SpreadMomentum(QCAlgorithm):
5def Initialize(self):
6self.SetStartDate(2009, 1, 1)
7self.SetCash(100000)
8self.tickers = {
9    "CME_S1": Futures.Grains.Soybeans, # Soybean Futures, Continuous Contract
10    "CME_W1": Futures.Grains.Wheat,   # Wheat Futures, Continuous Contract
11    "CME_SM1": Futures.Grains.SoybeanMeal,  # Soybean Meal Futures, Continuous Contract
12    "CME_BO1": Futures.Grains.SoybeanOil,  # Soybean Oil Futures, Continuous Contract
13    "CME_C1": Futures.Grains.Corn,   # Corn Futures, Continuous Contract
14    "CME_O1": Futures.Grains.Oats,   # Oats Futures, Continuous Contract
15    "CME_LC1": Futures.Meats.LiveCattle,  # Live Cattle Futures, Continuous Contract
16    "CME_FC1": Futures.Meats.FeederCattle,  # Feeder Cattle Futures, Continuous Contract
17    "CME_LN1": Futures.Meats.LeanHogs,  # Lean Hog Futures, Continuous Contract
18    "CME_GC1": Futures.Metals.Gold,  # Gold Futures, Continuous Contract
19    "CME_SI1": Futures.Metals.Silver,  # Silver Futures, Continuous Contract
20    "CME_PL1": Futures.Metals.Platinum,  # Platinum Futures, Continuous Contract
21    "CME_HG1": Futures.Metals.Copper,  # Copper Futures, Continuous Contract
22    "CME_LB1": Futures.Forestry.RandomLengthLumber,  # Random Length Lumber Futures, Continuous Contract
23    "CME_PA1": Futures.Metals.Palladium,  # Palladium Futures, Continuous Contract
24    "CME_RB2": Futures.Energies.Gasoline,  # Gasoline Futures, Continuous Contract
25    "ICE_CC1": Futures.Softs.Cocoa,  # Cocoa Futures, Continuous Contract 
26    "ICE_O1": Futures.Energies.HeatingOil,   # Heating Oil Futures, Continuous Contract
27    "ICE_SB1": Futures.Softs.Sugar11CME,   # Sugar No. 11 Futures, Continuous Contract
28    "ICE_WT1": Futures.Energies.CrudeOilWTI,  # WTI Crude Futures, Continuous Contract
29}
30self.futures_data:Dict[str, data_tools.FutureData] = {}
31self.max_missing_days:int = 5
32self.futures_num:int = 4
33self.lookup_period:int = 12 * 21
34min_expiration_days:int = 2
35max_expiration_days:int = 360
36
37# subscribe data
38for qp_ticker, qc_ticker in self.tickers.items():
39    security = self.AddData(data_tools.QuantpediaFutures, qp_ticker, Resolution.Daily)
40    security.SetFeeModel(data_tools.CustomFeeModel())
41    security.SetLeverage(5)
42    qp_symbol:Symbol = security.Symbol
43    # QC futures
44    future:Future = self.AddFuture(qc_ticker, Resolution.Daily)
45    future.SetFilter(timedelta(days=min_expiration_days), timedelta(days=max_expiration_days))
46    self.futures_data[future.Symbol.Value] = data_tools.FuturesData(qp_symbol, self.lookup_period)
47self.recent_month:int = -1
48self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
49def FindAndUpdateContracts(self, futures_chain, ticker) -> None:
50near_contract:FuturesContract = None
51dist_contract:FuturesContract = None
52if ticker in futures_chain:
53    contracts:List[:FuturesContract] = [contract for contract in futures_chain[ticker] if contract.Expiry.date() > self.Time.date()]
54    if len(contracts) >= 2:
55        contracts:List[:FuturesContract] = sorted(contracts, key=lambda x: x.Expiry, reverse=False)
56        near_contract = contracts[0]
57        dist_contract = contracts[1]
58self.futures_data[ticker].update_contracts(near_contract, dist_contract)
59
60def OnData(self, data):
61curr_time:datetime.datetime = self.Time
62curr_date:datetime.date = curr_time.date()
63# daily update qc future data
64if data.FutureChains.Count > 0:
65    for ticker, future_obj in self.futures_data.items():
66        # check if near contract is expired or is not initialized
67        if not future_obj.is_initialized() or \
68            (future_obj.is_initialized() and future_obj.near_contract.Expiry.date() == curr_date):
69            self.FindAndUpdateContracts(data.FutureChains, ticker)
70        # update QC futures rolling return
71        if future_obj.is_initialized():
72            near_c:FuturesContract = future_obj.near_contract
73            dist_c:FuturesContract = future_obj.distant_contract
74            if near_c.Symbol in data and data[near_c.Symbol] and dist_c.Symbol in data and data[dist_c.Symbol]:
75                raw_price1:float = data[near_c.Symbol].Value
76                raw_price2:float = data[dist_c.Symbol].Value
77                if raw_price1 != 0 and raw_price2 != 0:
78                    future_obj.update_rate_of_change(raw_price1, raw_price2, curr_time)
79# update, when qp data still coming
80for _, future_obj in self.futures_data.items():
81    qp_symbol:Symbol = future_obj.quantpedia_future
82    if qp_symbol in data and data[qp_symbol]:
83        future_obj.update_quantpedia_last_update(curr_date)
84# rebalance monthly
85if self.recent_month != curr_time.month:
86    self.recent_month = curr_time.month
87    self.Rebalance(curr_date)
88            
89def Rebalance(self, curr_date:datetime.date) -> None:
90if self.IsWarmingUp: return
91diff:Dict[Symbol, float] = {}
92last_update_date:Dict[str, datetime.date] = data_tools.QuantpediaFutures.get_last_update_date()
93# filter ready futures and reset futures, which do not recieve new data
94for _, future_obj in self.futures_data.items():
95    data_ready_flag:bool = future_obj.is_ready()
96    # make sure data are ready and up to date
97    if data_ready_flag and self.Securities[future_obj.quantpedia_future].GetLastData() and \
98        future_obj.quantpedia_future.Value in last_update_date and self.Time.date() < last_update_date[future_obj.quantpedia_future.Value]:
99        diff[future_obj.quantpedia_future] = future_obj.get_difference()
100    # reset future's data
101    elif data_ready_flag:
102        future_obj.reset_data()
103    
104self.Liquidate()
105# make sure there are enough futures
106if len(diff) < (self.futures_num * 2): return
107
108sorted_by_diff:List[Symbol] = [x[0] for x in sorted(diff.items(), key=lambda item: item[1])]
109long:List[Symbol] = sorted_by_diff[-self.futures_num:]
110short:List[Symbol] = sorted_by_diff[:self.futures_num]
111# Trade execution
112for i, portfolio in enumerate([long, short]):
113    for symbol in portfolio:
114        self.SetHoldings(symbol, ((-1) ** i) / len(portfolio))