Spread (Basis) Momentum within Currencies

1from AlgorithmImports import *
2import data_tools
3#endregion
4class SpreadBasisMomentumWithinCurrencies(QCAlgorithm):
5def Initialize(self):
6self.SetStartDate(2009, 1, 1)
7self.SetCash(100000)
8
9self.tickers:Dict[str, str] = {
10    'CME_AD1' : Futures.Currencies.AUD, # Australian Dollar Futures, Continuous Contract #1
11    'CME_BP1' : Futures.Currencies.GBP, # British Pound Futures, Continuous Contract #1
12    'CME_CD1' : Futures.Currencies.CAD, # Canadian Dollar Futures, Continuous Contract #1
13    'CME_EC1' : Futures.Currencies.EUR, # Euro FX Futures, Continuous Contract #1
14    'CME_JY1' : Futures.Currencies.JPY, # Japanese Yen Futures, Continuous Contract #1
15    'CME_MP1' : Futures.Currencies.MXN, # Mexican Peso Futures, Continuous Contract #1
16    'CME_NE1' : Futures.Currencies.NZD, # New Zealand Dollar Futures, Continuous Contract #1
17    'CME_SF1' : Futures.Currencies.CHF, # Swiss Franc Futures, Continuous Contract #1
18}
19self.futures_data:Dict[str, data_tools.FutureData] = {}
20self.futures_count:int = 2
21self.lookup_period:int = 12 * 21
22min_expiration_days:int = 2
23max_expiration_days:int = 360
24
25# subscribe data
26for qp_ticker, qc_ticker in self.tickers.items():
27    security = self.AddData(data_tools.QuantpediaFutures, qp_ticker, Resolution.Daily)
28    security.SetFeeModel(data_tools.CustomFeeModel())
29    security.SetLeverage(5)
30    qp_symbol:Symbol = security.Symbol
31    # QC futures
32    future:Future = self.AddFuture(qc_ticker, Resolution.Daily)
33    future.SetFilter(timedelta(days=min_expiration_days), timedelta(days=max_expiration_days))
34    self.futures_data[future.Symbol.Value] = data_tools.FuturesData(qp_symbol, self.lookup_period)
35self.recent_month:int = -1
36
37def FindAndUpdateContracts(self, futures_chain, ticker) -> None:
38near_contract:FuturesContract = None
39dist_contract:FuturesContract = None
40if ticker in futures_chain:
41    contracts:List[:FuturesContract] = [contract for contract in futures_chain[ticker] if contract.Expiry.date() > self.Time.date()]
42    if len(contracts) >= 2:
43        contracts:List[:FuturesContract] = sorted(contracts, key=lambda x: x.Expiry, reverse=False)
44        near_contract = contracts[0]
45        dist_contract = contracts[1]
46self.futures_data[ticker].update_contracts(near_contract, dist_contract)        
47
48def OnData(self, data: Slice) -> None:
49curr_time:datetime.datetime = self.Time
50curr_date:datetime.date = curr_time.date()
51# daily update qc future data
52if data.FutureChains.Count > 0:
53    for ticker, future_obj in self.futures_data.items():
54        # check if near contract is expired or is not initialized
55        if not future_obj.is_initialized() or \
56            (future_obj.is_initialized() and future_obj.near_contract.Expiry.date() == curr_date):
57            self.FindAndUpdateContracts(data.FutureChains, ticker)
58        # update QC futures rolling return
59        if future_obj.is_initialized():
60            near_c:FuturesContract = future_obj.near_contract
61            dist_c:FuturesContract = future_obj.distant_contract
62            if near_c.Symbol in data and data[near_c.Symbol] and dist_c.Symbol in data and data[dist_c.Symbol]:
63                raw_price1:float = data[near_c.Symbol].Value * self.Securities[ticker].SymbolProperties.PriceMagnifier
64                raw_price2:float = data[dist_c.Symbol].Value * self.Securities[ticker].SymbolProperties.PriceMagnifier
65                if raw_price1 != 0 and raw_price2 != 0:
66                    future_obj.update_rate_of_change(raw_price1, raw_price2, curr_time)
67# update, when qp data still coming
68for _, future_obj in self.futures_data.items():
69    qp_symbol:Symbol = future_obj.quantpedia_future
70    if qp_symbol in data and data[qp_symbol]:
71        future_obj.update_quantpedia_last_update(curr_date)
72# rebalance monthly
73if self.recent_month != curr_time.month:
74    self.recent_month = curr_time.month
75    self.Rebalance(curr_date)
76def Rebalance(self, curr_date:datetime.date) -> None:
77if self.IsWarmingUp: return
78diff:Dict[Symbol, float] = {}
79last_update_date:Dict[str, datetime.date] = data_tools.QuantpediaFutures.get_last_update_date()
80# filter ready futures and reset futures, which do not recieve new data
81for _, future_obj in self.futures_data.items():
82    data_ready_flag:bool = future_obj.is_ready()
83    # make sure data are ready and up to date
84    if data_ready_flag and self.Securities[future_obj.quantpedia_future].GetLastData() and \
85        future_obj.quantpedia_future.Value in last_update_date and self.Time.date() < last_update_date[future_obj.quantpedia_future.Value]:
86        diff[future_obj.quantpedia_future] = future_obj.get_difference()
87    # reset future's data
88    elif data_ready_flag:
89        future_obj.reset_data()
90    
91self.Liquidate()
92# make sure there are enough futures
93if len(diff) < (self.futures_count * 2): return
94
95sorted_by_diff:List[Symbol] = [x[0] for x in sorted(diff.items(), key=lambda item: item[1])]
96long:List[Symbol] = sorted_by_diff[-self.futures_count:]
97short:List[Symbol] = sorted_by_diff[:self.futures_count]
98# Trade execution
99for i, portfolio in enumerate([long, short]):
100    for symbol in portfolio:
101        self.SetHoldings(symbol, ((-1) ** i) / len(portfolio))