Add Example to Writing Algorithms / Universes / Futures (#2055)

* add trading logic in examples

03 Writing Algorithms/12 Universes/06 Futures/99 Examples.html

@@ -1,21 +1,101 @@
 <p>The following examples demonstrate some common Futures universes.</p>
 
 <h4>Example 1: Contracts Expiring On Quarter End</h4>
-<p>If you run strategies with a quarterly trading cycle, you can filter Future contracts that expire only on quarter ends to reduce the need of rollovers.</p>
+<p>To reduce the need for rolling over, you can filter Future contracts that expire only on quarter ends to save transaction costs. The following example trades a simple EMA cross strategy on SP500 EMini Future contracts that expire on quarter ends.</p>
 <div class="section-example-container">
 	<pre class="csharp">public class QuarterlyFuturesAlgorithm : QCAlgorithm
 {
+    private Future _future;
+    private ExponentialMovingAverage _ema;
+    // A variable to control the algorithm trading in daily frequency only, since the indicator signal is by daily.
+    private int _day = -1;
+
     public override void Initialize()
     {
-        var future = AddFuture("ES");
-        future.SetFilter(futureFilterUniverse => futureFilterUniverse.ExpirationCycle(new int[] { 3, 6, 9, 12 }));
+        SetStartDate(2024, 3, 1);
+        SetEndDate(2024, 5, 1);
+        SetCash(10000000);
+
+        // Request ES Future data for trading. We only use the continuous contract for indicator values.
+        _future = AddFuture(
+            Futures.Indices.SP500EMini,
+            extendedMarketHours: true,
+            dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+            dataMappingMode: DataMappingMode.OpenInterest
+        );
+        // We only filter the ones expiring on quarter ends to reduce the transaction cost needed for rolling over contracts.
+        _future.SetFilter(futureFilterUniverse =&gt; futureFilterUniverse.ExpirationCycle(new int[] { 3, 6, 9, 12 }));
+
+        // Create an EMA indicator to track trends for trade signal generation.
+        _ema = EMA(_future.Symbol, 20, Resolution.Daily);
+        // Warm up the indicator for immediate readiness.
+        WarmUpIndicator(_future.Symbol, _ema, Resolution.Daily);
+
+    }
+
+    public override void OnData(Slice slice)
+    {
+        // Get the chain to trade from the filtered contracts.
+        if (_day != slice.Time.Day &amp;&amp; slice.FutureChains.TryGetValue(_future.Symbol, out var chain))
+        {
+            // Select the contract with the nearest expiry.
+            var contract = chain.MinBy(x =&gt; x.Expiry);
+
+            // Trade an EMA cross strategy to follow the trend.
+            var quantity = Portfolio[_future.Symbol].Quantity;
+            if (contract.LastPrice &gt; _ema &amp;&amp; quantity &lt;= 0)
+            {
+                MarketOrder(contract.Symbol, 1-quantity);
+            }
+            else if (contract.LastPrice &lt; _ema &amp;&amp; quantity &gt;= 0)
+            {
+                MarketOrder(contract.Symbol, -1-quantity);
+            }
+
+            _day = slice.Time.Day;
+        }
     }
 }</pre>
 	<pre class="python">class QuarterlyFuturesAlgorithm(QCAlgorithm):
+
+    def initialize(self) -&gt; None:
+        self.set_start_date(2024, 3, 1)
+        self.set_end_date(2024, 5, 1)
+        self.set_cash(10000000)
+
+        # Request ES Future data for trading.
+        self.future = self.add_future(
+            Futures.Indices.SP_500_E_MINI,
+            extended_market_hours=True,
+            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
+            data_mapping_mode=DataMappingMode.OPEN_INTEREST,
+        )
+        # We only filter the ones expiring on quarter ends to reduce the transaction cost needed for rolling over contracts.
+        self.future.set_filter(lambda future_filter_universe: future_filter_universe.expiration_cycle([3, 6, 9, 12]))
+
+        # Create an EMA indicator to track trends for trade signal generation.
+        self._ema = self.ema(self.future.symbol, 20, Resolution.DAILY)
+        # Warm up the indicator for immediate readiness.
+        self.warm_up_indicator(self.future.symbol, self._ema, Resolution.DAILY)
+
+        # A variable to control the algorithm trading in daily frequency only, since the indicator signal is by daily.
+        self._day = -1
 
-    def initialize(self):
-        future = self.add_future("ES")
-        future.set_filter(lambda future_filter_universe: future_filter_universe.expiration_cycle([3, 6, 9, 12]))</pre>
+    def on_data(self, slice: Slice) -&gt; None:
+        # Get the chain to trade from the filtered contracts.
+        chain = slice.future_chains.get(self.future.symbol)
+        if self._day != slice.time.day and chain:
+            # Select the contract with the nearest expiry.
+            contract = min(chain, key=lambda x: x.expiry)
+
+            # Trade an EMA cross strategy to follow the trend.
+            quantity = self.portfolio[self.future.symbol].quantity
+            if contract.last_price &gt; self._ema.current.value and quantity &lt;= 0:
+                self.market_order(contract.symbol, 1-quantity)
+            elif contract.last_price &lt; self._ema.current.value and quantity &gt;= 0:
+                self.market_order(contract.symbol, -1-quantity)
+
+            self._day = slice.time.day</pre>
 </div>
 
 <h4>Example 2: Contracts Expiring Within One Week</h4>
@@ -26,17 +106,95 @@ <h4>Example 2: Contracts Expiring Within One Week</h4>
 <div class="section-example-container">
 	<pre class="csharp">public class WeeklyFuturesAlgorithm : QCAlgorithm
 {
+    private Future _future;
+    private BollingerBands _bb;
+
     public override void Initialize()
     {
-        var future = AddFuture("ES");
-        future.SetFilter(futureFilterUniverse => futureFilterUniverse.Expiration(0, 7));
+        SetStartDate(2024, 6, 1);
+        SetEndDate(2024, 7, 1);
+        SetCash(100000000);
+
+        // Request ES Future data for trading. The continuous contract data is only used for indicator values.
+        _future = AddFuture(
+            Futures.Indices.SP500EMini,
+            extendedMarketHours: true,
+            dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+            dataMappingMode: DataMappingMode.OpenInterest
+        );
+        // Select the contracts expiring within a week since they have the highest liquidity.
+        _future.SetFilter(futureFilterUniverse =&gt; futureFilterUniverse.Expiration(0, 7));
+
+        // Create a BollingerBand indicator to identify extreme prices for trade signal generation.
+        _bb = BB(_future.Symbol, 60, 2);
+        // Warm up the indicator for immediate readiness.
+        WarmUpIndicator(_future.Symbol, _bb, Resolution.Minute);
+    }
+
+    public override void OnData(Slice slice)
+    {
+        // Trade based on updated data.
+        if (slice.FutureChains.TryGetValue(_future.Symbol, out var chain))
+        {
+            // Select the contract with the nearest expiry.
+            var contract = chain.MinBy(x =&gt; x.Expiry);
+
+            // Trade a mean-reversal strategy based on Bollinger Band signal.
+            var quantity = Portfolio[_future.Symbol].Quantity;
+            if (contract.LastPrice &gt; _bb.UpperBand &amp;&amp; quantity &gt;= 0)
+            {
+                MarketOrder(contract.Symbol, -1-quantity);
+            }
+            else if (contract.LastPrice &lt; _bb.LowerBand &amp;&amp; quantity &lt;= 0)
+            {
+                MarketOrder(contract.Symbol, 1-quantity);
+            }
+            else if ((Portfolio[_future.Symbol].IsLong &amp;&amp; contract.LastPrice &gt; _bb.MiddleBand) ||
+            (Portfolio[_future.Symbol].IsShort &amp;&amp; contract.LastPrice &lt; _bb.MiddleBand))
+            {
+                Liquidate(contract.Symbol);
+            }
+        }
     }
 }</pre>
 	<pre class="python">class WeeklyFuturesAlgorithm(QCAlgorithm):
+
+    def initialize(self) -&gt; None:
+        self.set_start_date(2024, 6, 1)
+        self.set_end_date(2024, 7, 1)
+        self.set_cash(100000000)
+
+        # Request ES Future data for trading. The continuous contract data is only used for indicator values.
+        self.future = self.add_future(
+            Futures.Indices.SP_500_E_MINI,
+            extended_market_hours=True,
+            data_normalization_mode=DataNormalizationMode.BACKWARDS_RATIO,
+            data_mapping_mode=DataMappingMode.OPEN_INTEREST
+        )
+        # Select the contracts expiring within a week since they have the highest liquidity.
+        self.future.set_filter(lambda future_filter_universe: future_filter_universe.expiration(0, 7))
+
+        # Create a BollingerBand indicator to identify extreme prices for trade signal generation.
+        self._bb = self.bb(self.future.symbol, 60, 2)
+        # Warm up the indicator for immediate readiness.
+        self.warm_up_indicator(self.future.symbol, self._bb, Resolution.MINUTE)
+
+    def on_data(self, slice: Slice) -&gt; None:
+        # Trade based on updated data.
+        chain = slice.future_chain.get(self.future.symbol)
+        if chain:
+            # Select the contract with the nearest expiry.
+            contract = min(chain, key=lambda x: x.expiry)
 
-    def initialize(self):
-        future = self.add_future("ES")
-        future.set_filter(lambda future_filter_universe: future_filter_universe.expiration(0, 7))</pre>
+            # Trade a mean-reversal strategy based on Bollinger Band signal.
+            quantity = self.portfolio[self.future.symbol].quantity
+            if contract.last_price &gt; self._bb.upper_band.current.value and quantity >= 0:
+                self.market_order(contract.symbol, -1-quantity)
+            elif contract.last_price &lt; self._bb.lower_band.current.value and quantity <= 0:
+                self.market_order(contract.symbol, 1-quantity)
+            elif (self.portfolio[self.future.symbol].is_short and contract.last_price &lt; self._bb.middle_band.current.value)\
+            or (self.portfolio[self.future.symbol].is_long and contract.last_price &gt; self._bb.middle_band.current.value):
+                self.liquidate(contract.symbol)</pre>
 </div>
 
 <h4>Other Examples</h4>