About US Futures
The US Futures dataset by AlgoSeek provides Futures data, including price, volume, open interest, and expiry. The data covers the 75 most liquid contracts, starts in May 2009, and is delivered on any frequency from tick to daily. This dataset is created by monitoring the trading activity on the CFE, CBOT, NYMEX, ICE*, SGX, India, and COMEX markets.
This dataset does not include ICE Futures, except for Sugar until July 2021.
About AlgoSeek
AlgoSeek is a leading historical intraday US market data provider offering the most comprehensive and detailed market data and analytics products in the financial industry covering equities, futures, options, cash forex, and cryptocurrencies. AlgoSeek data is built for quantitative trading and machine learning. For more information about AlgoSeek, visit algoseek.com.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
from AlgorithmImports import *
from QuantConnect.DataSource import *
class USFuturesDataAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2013, 12, 20)
self.set_end_date(2014, 2, 20)
self.set_cash(1000000)
self.universe_settings.asynchronous = True
# Requesting data
self.mini_gold = self.add_future(Futures.Metals.GOLD)
self.mini_gold.set_filter(0, 90)
self.micro_gold = self.add_future(Futures.Metals.MICRO_GOLD)
self.micro_gold.set_filter(0, 90)
self.contract = {self.mini_gold.symbol: None, self.micro_gold.symbol: None}
def on_data(self, slice: Slice) -> None:
for kvp in slice.future_chains:
symbol = kvp.Key
if symbol in self.contract:
chain = kvp.Value
# Select the contract with the greatest open interest
most_liquid_contract = sorted(chain, key=lambda contract: contract.open_interest, reverse=True)[0]
if self.contract[symbol] is None or most_liquid_contract.symbol != self.contract[symbol].symbol:
if self.contract[symbol] is not None:
self.liquidate(self.contract[symbol].symbol)
self.contract[symbol] = most_liquid_contract
if symbol == self.mini_gold.symbol:
self.market_order(self.contract[symbol].symbol, 1)
elif symbol == self.micro_gold.symbol:
self.market_order(self.contract[symbol].symbol, -1)
def on_securities_changed(self, changes: SecurityChanges) -> None:
for security in changes.added_securities:
# Historical data
history = self.history(security.symbol, 10, Resolution.MINUTE)
self.debug(f"We got {len(history)} from our history request for {security.symbol}")
Example Applications
The US Futures dataset enables you to accurately design Futures strategies. Examples include the following strategies:
- Buying the Futures contract with the most open interest to reduce slippage and market impact
- Trading bull calendar spreads to reduce volatility and margin requirements
Pricing
Cloud Access
Free access to the most popular US Futures in QuantConnect Cloud for backtest and research.
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