美国假日效应在欧盟市场的应用

1from AlgorithmImports import *
2class USHolidayEUMarkets(QCAlgorithm):
3def Initialize(self):
4 self.SetStartDate(2012, 1, 1)
5 self.SetCash(100000)           
6 
7 data = self.AddData(QuantpediaFutures, "EUREX_FDAX1", Resolution.Daily)
8 data.SetFeeModel(CustomFeeModel())
9 self.symbol = data.Symbol
10 
11def OnData(self, data):
12 if self.securities[self.symbol].get_last_data() and self.time.date() > QuantpediaFutures.get_last_update_date()[self.symbol]:
13     self.liquidate()
14     return
15 calendar1 = self.TradingCalendar.GetDaysByType(TradingDayType.PublicHoliday, self.Time, self.Time)
16 calendar2 = self.TradingCalendar.GetDaysByType(TradingDayType.Weekend, self.Time, self.Time + timedelta(days=2))
17 
18 holidays = [i.Date for i in calendar1]
19 weekends = [i.Date for i in calendar2]
20 
21 # subtract weekends in all holidays
22 public_holidays = list(set(holidays) - set(weekends))
23 if data.contains_key(self.symbol) and data[self.symbol]:
24     if not self.Portfolio.Invested and len(public_holidays) > 0:
25         self.SetHoldings(self.symbol, 1)
26     if self.Portfolio.Invested and len(public_holidays) == 0:
27         self.Liquidate()
28# Quantpedia data.
29# NOTE: IMPORTANT: Data order must be ascending (datewise)
30class QuantpediaFutures(PythonData):
31_last_update_date:Dict[Symbol, datetime.date] = {}
32@staticmethod
33def get_last_update_date() -> Dict[Symbol, datetime.date]:
34return QuantpediaFutures._last_update_date
35def GetSource(self, config, date, isLiveMode):
36 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
37def Reader(self, config, line, date, isLiveMode):
38 data = QuantpediaFutures()
39 data.Symbol = config.Symbol
40 
41 if not line[0].isdigit(): return None
42 split = line.split(';')
43 
44 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
45 data['back_adjusted'] = float(split[1])
46 data['spliced'] = float(split[2])
47 data.Value = float(split[1])
48 if config.Symbol not in QuantpediaFutures._last_update_date:
49     QuantpediaFutures._last_update_date[config.Symbol] = datetime(1,1,1).date()
50 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol]:
51     QuantpediaFutures._last_update_date[config.Symbol] = data.Time.date()
52 return data
53# Custom fee model.
54class CustomFeeModel(FeeModel):
55def GetOrderFee(self, parameters):
56 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
57 return OrderFee(CashAmount(fee, "USD"))