Add Example to Writing Algorithms / Universes / Futures #2055
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| dataMappingMode: DataMappingMode.OpenInterest | ||
| ); | ||
| // To reduce the transaction cost needed for rolling over contracts, we only filter the ones expiring on quarter ends. | ||
| _future.SetFilter(futureFilterUniverse => futureFilterUniverse.ExpirationCycle(new int[] { 3, 6, 9, 12 })); |
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Since you are trading Mapped, the filter doesn't matter. If we replace 3, 6, 9, 12 for 4, 7, 10, 11, the results are the same. In fact, we trade less if we don't use DataMappingMode.OpenInterest because the contract with the highest OI can change more than once during the quarter.
| dataMappingMode: DataMappingMode.OpenInterest | ||
| ); | ||
| // Select the contracts expiring within a week since they have the highest liquidity. | ||
| _future.SetFilter(futureFilterUniverse => futureFilterUniverse.Expiration(0, 7)); |
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Same as the previous algorithm.
I think I shall keep SetFilter? Since the page is for Future universes |
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For the Bollinger Band example, we can trade the Mapped contract without adding the |
I modified the example to check from the FutureChain, now it should limit to 7-day expiring contracts. |
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Add Example to Writing Algorithms / Universes / Futures
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bug-<issue#>-<description>orfeature-<issue#>-<description>