Quantopian continuous futures
12 May 2017 Continuous Futures: A continuous future is a specifier for retrieving a chain of contracts all associated with the same root symbol, and the dates 6 Apr 2017 In this tutorial you will learn how to utilize Quantopain Futures API to extract individual futures contract and continuous futures historical prices. 4 Jul 2018 The Quantopian also has a lesson talking about continuous futures and how to set up the parameters（Adjustment styles, roll styles and 10 Oct 2018 There was a runtime error on line 31" Here is my code: def initialize(context): context.future = continuous_future('YM', offset=0, roll='volume', 3 May 2017 I put together a graphic that marks the start and end dates for each future currently existing in the Quantopian database. You'll note some Historical futures price and volume data from 2002 for backtesting, paper, and real money trading. Trade futures contracts from 6:30AM ET - 5PM ET Monday to 19 May 2017 This algo uses recently released Futures API to trade various futures contracts on different asset classes. The logic is relatively simple, and
We have continuous futures which allow you to look back at a historical series of pricing/volume data for a particular underlying asset, adjusted for contract gaps. Continuous futures get you a continuous history of OHLCV data that you can be adjusted in two ways: by ratio ('mul') or by difference ('add').
Here we cover some concerns when handling futures as well as some aspects of how the Quantopian platform takes care of problems with continuous prices. More lecture videos can be found here: https Add .adj('mul') and .adj('add') methods on ContinuousFuture, which when used with history, will calculate and apply adjustments so that the values are adjusted to account for discou Enable unadjusted history for continuous futures. The history array is filled by the values for the underlying contracts, where the contract used changes based on rolls. e.g., if a 1d history window was over the range 2016-01-20 -> 2016-02-29 with contracts with a suffix of F16 that rolls at the beginning of the session on 2016-01-26, G16 on 2016-02-26, and H16 on 2016-03-26. Add the ability for an algorithm to request the current contract for a future chain via data.current. e.g.: data.current(ContinuousFuture('CL', offset=0, roll='calendar'), 'contract') Notes/Questions Since ContinuousFuture will also be used in history and other places where Assets are used. The ContinuousFuture object provides sid and is_exchange_open. Does QuantRocket support continuous futures? Yes. Futures can be queried as individual (non-continuous) contracts or as continuous contracts which are concatenated based on configurable rollover rules. For futures contracts with a corresponding index, you can also collect data for the index and use it as a stand-in for a continuous futures contract. how do you ingest the data? there is multiple issues to be considered here: 1) country_code, 2) trading calendar, 3) minutes in a day. From what i can see, Quantopian dropped futures since mid 2018, and current example of csv ingest only support futures.
allow us to preload all of the data we will need to run backtests and store the data for future runs. Finally, there is only one ingestion for quantopian-quandl .
Add .adj('mul') and .adj('add') methods on ContinuousFuture, which when used with history, will calculate and apply adjustments so that the values are adjusted to account for discou Enable unadjusted history for continuous futures. The history array is filled by the values for the underlying contracts, where the contract used changes based on rolls. e.g., if a 1d history window was over the range 2016-01-20 -> 2016-02-29 with contracts with a suffix of F16 that rolls at the beginning of the session on 2016-01-26, G16 on 2016-02-26, and H16 on 2016-03-26.
We use Quantopian both for simplistic back testing, but also for doing research into future trading strategies, since Quantopian also provides a bunch of free data
4 Jul 2018 The Quantopian also has a lesson talking about continuous futures and how to set up the parameters（Adjustment styles, roll styles and 10 Oct 2018 There was a runtime error on line 31" Here is my code: def initialize(context): context.future = continuous_future('YM', offset=0, roll='volume', 3 May 2017 I put together a graphic that marks the start and end dates for each future currently existing in the Quantopian database. You'll note some
Here we cover some concerns when handling futures as well as some aspects of how the Quantopian platform takes care of problems with continuous prices. More lecture videos can be found here: https
1) If I purchased a {X} month (or offset) continuous futures and didn't touch it at all, does Quantopian automatically roll the position over? For example, suppose I bought a continuous_future("CL", offset=0, roll="calendar", adjustment="mul") , does it: Sell the contract automatically on auto_close_date Buy the next month While keeping the notional exposure the same? 2) Is there any way to Currently, the US futures calendar running from 6:30am-5:00pm is the only one available for trading futures on Quantopian. You have access to the 24 hour data for these futures, you're just limited to placing trades in the 6:30am-5:00pm window. At some point in the future, we'd like to support a full 24 hour calendar. I offer the same course for free (for now) at Udemy. https://www.udemy.com/quantopian-futures/ # The majority of trading in these currency futures is done on a # March quarterly cycle (Mar, Jun, Sep, Dec) but contracts are # listed for the first 3 consecutive months from the present day. We # want the continuous futures to be composed of just the quarterly # contracts. ' JY ': march_cycle_delivery_predicate, ' CD ': march_cycle_delivery We have continuous futures which allow you to look back at a historical series of pricing/volume data for a particular underlying asset, adjusted for contract gaps. Continuous futures get you a continuous history of OHLCV data that you can be adjusted in two ways: by ratio ('mul') or by difference ('add'). Pricing and Volume Data for Futures Contracts: The notebook includes examples of pricing and volume lookups for particular futures contracts. Continuous Futures: A continuous future is a specifier for retrieving a chain of contracts all associated with the same root symbol, and the dates at which activity has rolled from one contract to the next. Continuous futures maintain a reference to the active contract (or history of active contracts) for the particular underlying. Using individual futures contracts from IB via QuantRocket, this is a working example of Quantopian's futures pairs trading algo adapted for Zipline using ContinuousFuture. There's a notebook that goes with it. The hardest part is correctly ingesting the data.
Historical futures price and volume data from 2002 for backtesting, paper, and real money trading. Trade futures contracts from 6:30AM ET - 5PM ET Monday to 19 May 2017 This algo uses recently released Futures API to trade various futures contracts on different asset classes. The logic is relatively simple, and The Getting Started with Futures Tutorial will walk you through the process of researching a quantitative strategy using futures, implementing that strategy in an 5 Sep 2019 How To Improve Your Trading with Quantopian Quantopian is a leading fundamental data from Morningstar, and continuous futures data. In particular, the notion of the "continuous contract" and "roll returns". We will outline the main difficulties of futures and provide an implementation in Python with 13 Aug 2019 https://github.com/quantopian/zipline/issues/2514 My problems include unusual continuous futures rolling logic, and NaNs for part, but not all Does QuantRocket support continuous futures? Yes. Unlike Quantopian, QuantRocket supports live trading and does not run contests or license user- created